Three months ago I removed the portfolio tranching concept. This means that the investment signals has become more responsive to fast price changes. Unfortunately this has lead to increased zig-zag trading. The aim with dual momentum is to catch the persistent trend changes, and to avoid the shorter term noise.
Therefore I decided to re-introduced the portfolio-tranching using four tranches. This also bring the portfolio rules closer back to the original dual momentum specification.
Therefore I decided to re-introduced the portfolio-tranching using four tranches. This also bring the portfolio rules closer back to the original dual momentum specification.
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