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 | 17.2% | 14.0% |
| Volatility (ann.) | 47.8% | 16.8% |
| Sharpe | 0.50 | 0.67 |
| Sortino | 0.74 | 0.96 |
| Max drawdown | -70.9% | -31.5% |
| Calmar | 0.24 | 0.45 |
| Simulated since | 2021-10 | 2021-06 |
Simulated backtests (up to 6 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 (17.2% vs 14.0%).
- Trend Following (200-day MA) fell less at its worst (-31.5% vs -70.9%).
- Trend Following (200-day MA) had the calmer ride (volatility 16.8% vs 47.8%).
These are facts from the published snapshots, not a recommendation — the rules differ in their risk profile. Overlay both equity curves in the interactive comparison tool.