Dual Momentum vs Trend Following (200-day MA)
Two published track records side by side — same data, same methodology, zero verdicts.
Dual Momentum
coreOwns the top relative-momentum names while their own trend is positive; otherwise moves to cash. Holdings are kept until they clearly weaken (a no-trade band), which cuts trading costs without changing the effect.
Full track record →
Trend Following (200-day MA)
coreHolds names trading above their 200-day average; steps aside to cash when trends break down. Defensive by construction.
Full track record →
The numbers, side by side
| Dual Momentum | Trend Following (200-day MA) | |
|---|---|---|
| CAGR | 21.1% | 15.4% |
| Volatility (ann.) | 45.3% | 16.7% |
| Sharpe | 0.58 | 0.76 |
| Sortino | 0.87 | 1.09 |
| Max drawdown | -69.8% | -31.3% |
| Calmar | 0.30 | 0.49 |
| Simulated since | 2021-08 | 2021-04 |
Simulated backtests (~5 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Dual Momentum posted the higher CAGR (21.1% vs 15.4%).
- Trend Following (200-day MA) fell less at its worst (-31.3% vs -69.8%).
- Trend Following (200-day MA) had the calmer ride (volatility 16.7% vs 45.3%).
These are facts from the published snapshots, not a recommendation — different rules fit different risk tolerances. Overlay both equity curves in the interactive comparison tool.