ADM (Accelerating Dual Momentum)
TacticalPromoderateBased on research by EngineeredPortfolio · EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM)
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Launched May 2, 2018About this Strategy
Accelerating dual momentum averaging 1/3/6-month returns to rank US vs international small-cap equities. Winner must show positive momentum; otherwise the best Treasury bond is selected.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Compute accelerating momentum (avg of 1m, 3m, 6m returns) for SPY and SCZ
- 2If SPY momentum > SCZ momentum AND SPY momentum > 0 → 100% SPY
- 3If SCZ momentum > SPY momentum AND SCZ momentum > 0 → 100% SCZ
- 4Otherwise → 100% in whichever of TLT or TIP has the highest 1-month return
Asset Universe
Pro subscribers only
4 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by EngineeredPortfolio
EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM)
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 3
- Risk Category
- moderate
- Tags
- momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 2 equity + 2 safe haven assets
- Scoring Method
- Accelerating momentum: average of 1m, 3m, and 6m returns
- Concentration
- 100% in a single asset at all times
- Safe Haven Selection
- Best 1-month return between TLT and TIP
- Data Source
- Institutional-grade market data (7 months minimum history)
Asset Classes
ADM (Accelerating Dual Momentum) at a glance
ADM (Accelerating Dual Momentum) is a tactical asset allocation (TAA) strategy by EngineeredPortfolio across US Equity, International Small Cap, Long-Term Treasuries, TIPS, rebalanced monthly. Backtested 1986-02-28 to 2026-05-20 (40.2 years): 15.5% CAGR, 1.04 Sharpe, -25.8% max drawdown, 14.7% volatility.
- Type
- Tactical (TAA)
- Author
- EngineeredPortfolio
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 15.5%
- Sharpe
- 1.04
- Max Drawdown
- -25.8%
- Volatility
- 14.7%
ADM (Accelerating Dual Momentum) — Tactical Asset Allocation Strategy
Accelerating Dual Momentum (ADM) by EngineeredPortfolio is a dual momentum strategy that uses an accelerating momentum measure — the average of 1-month, 3-month, and 6-month returns — to compare US equities (SPY) against international small caps (SCZ). If the winner has positive momentum, the portfolio goes 100% into that equity asset. If neither has positive momentum, the portfolio moves entirely into the better-performing safe haven asset (TLT or TIP) based on 1-month return. The strategy always holds 100% in a single asset.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | ADM (Accelerating Dual Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 15.5% |
| Maximum Drawdown | -25.8% |
| Sharpe Ratio | 1.04 |
| Sortino Ratio | 1.37 |
| Annualized Volatility | 14.7% |
| Calmar Ratio | 0.60 |
| Total Return | 32890.2% |
| Backtest Period | 40.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- EngineeredPortfolio
- Source
- EngineeredPortfolio (2018). Accelerating Dual Momentum (ADM)
Asset Classes
- US Equity
- International Small Cap
- Long-Term Treasuries
- TIPS
Categories
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