The Dynamic Momentum Strategy (DYNMOM) is a proprietary timing algorithm that trades the SPY ETF. Its objective is to maximize the Sharpe ratio and avoid market corrections. Signals are generated monthly.
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Last update: March 28, 2024, after the close of the market.
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Year-to-date performance (no leverage):
| RETURN | YTD MAX. MONTHLY DRAWDOWN | |
| DYNMOM | 10.4% | 0.0% |
Performance of Dynamic Momentum (No leverage, backtest results, January 3, 2005–March 28, 2024)
In backtests, DYNMOM has avoided bear markets and large corrections while delivering a Sharpe ratio of 1.07. The annualized return is 9.6%, and the maximum drawdown is 18%. The analysis of the results shows that this strategy has avoided the 2008, 2018, 2020, and 2022 corrections. There have been 22 trades since 2005, and the win rate is 91%. The average profit/loss has been 9% with a 64.2% market exposure.
According to historical backtests, DYNMOM has the potential to reduce risk while improving performance based on risk-adjusted returns. The strategy’s high win rate, reduced market exposure, and high Sharpe and skew ratios can help decrease the probability of experiencing a significant loss.
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