Dual Momentum Trading Strategy (Gary Antonacci) (Amibroker Code)

The original article can be found here.

Trading rules in plain English:

• Did S&P 500 outperform US Treasury Bills over the last 12 months?
• If the answer is no, then buy US Treasury Bills.
• If the answer is yes, did S&P 500 outperform the world index (ex. USA) over the last 12 months?
• If S&P 500 outperformed the world index, then buy S&P 500.
• If S&P 500 underperformed the world index, then buy the world index (global stocks).

Amibroker Code:

SetOption("initialEquity",100000);
Leverage=1.0 ;
SetOption("accountmargin",100/leverage);
setOption("MaxOpenPositions",6);
setOption("holdminbars",1);
SetTradeDelays( 0, 0, 0, 0 ); 

Fremmed=Foreign("SPY","close",fixup=1);
FremmedTo=Foreign("EFA","close",fixup=1);
FremmedTre=Foreign("AGG","close",fixup=1);

Rank1=ROC(Fremmed,12);
Rank2=ROC(FremmedTo,12);
Rank3=ROC(FremmedTre,12);

setPositionSize(99.95*leverage,spsPercentOfEquity);

// this section is just for visual confirmation of the strategy
SP500= IIf(Rank1>Rank2 AND Rank1>Rank3,1,0);
World=   IIf(Rank1<Rank1 AND Rank1>Rank3,1,0);
Bonds=  IIf(Rank1<Rank3,1,0);

Total= Sum(SP500 + World + Bonds,1);
Plot(Total,"Total",colorRed,styleLine);
Plot(Total,"SP500",colorblack,styleLine);
Plot(Total,"World",colorGreen,styleLine);
Plot(Total,"Bonds",colorBlue,styleLine);
// end of visual confirmation

if( Name() == "SPY" )
{

Buy= Rank1>Rank2 AND Rank1>Rank3   ;
buyPrice=Close;
Sell= C>0 ;
sellPrice= Close ;

}


if( Name() == "EFA" )
{

Buy=  Rank2>Rank1 AND rank1>Rank3 ; ;
buyPrice=Close;
Sell= C>0;   
sellPrice= Close ;

}

if( Name() == "AGG" )
{

Buy=  Rank1<rank3 ;
buyPrice=Close;
Sell= C>0 ; 
sellPrice= Close ;

}