The above link will take you to a Portfolio Visualizer site.

Lowell

Great work Lowell! 

I noticed you use a 3 month lookback period.  Could you kindly provide your thoughts on using various lookback periods (3 month, 6 month, 1 year, etc.) and what worked best? 

@csperera - The default look-back built into the Kipling spreadsheet is 60 and 100 trading days.  Those values come from extensive testing by Hedgehunter, developer of the Kipling spreadsheet.

Gary Antonacci recommends using a one-year or 252 trading days look-back for the Dual Momentum model.  I tend to waffle and go back and forth between the two.

Recently, I'm favoring longer look-back periods as they seem to be working better and there is less portfolio churning.  This is particularly important for taxable portfolios.

Lowell