Consider this blog to be a sub-set to the recent post by HedgeHunter. For those who are using the Dual Momentum model to manage one or more portfolios, the following explanation is how one might move from the default look-back settings to the one-year or 252 trading day look-back settings. The Kipling workbook is used in both examples. Only four cells need to be changed to move from the dual look-back (60- and 100-day) to a 252 trading day look-back.
Default Settings For Main Menu: Below are the default settings for those using the Kipling spreadsheet. The main menu is set up with a dual look-back or a 60- and 100-trading day combination plus a volatility period setting. When working with the ITA portfolios, I do not change any of the salmon colored cells. These are the default settings that have been extensively back-tested.
One-Year or 252-Day Look-Back: Readers familiar with Gary Antonacci’s book, Dual Momentum, are aware that he uses a one-year or 252 trading day look-back period. For those who wish to use the one-year look-back, but still want all the calculations to work in the Kipling spreadsheet, below are the few changes to make.
Change the 60 day look-back to 252. The left pointing arrow indicates the cell to change. So that all calculations are made, change the LRS1 Weight to 98% and the two cells below it to 1% each. The look-back now is essentially 100% allocated to a 252 look-back, but those 1% settings will permit all calculations within the Kipling to be mathematically determined. If the 1% is changed to 0%, the calculations blow up.
My recommendation is to save two spreadsheets, one with the default settings and one with the 252-day look-back settings and then toggle back and forth to see if there are differences in the recommendations.