Diversified Trends Indicator

Investment Summary
The Diversified Trends Indicator strategy goes long a future if it is above its exponential moving average, and short the future when below its exponential moving average. Mutual Fund RYMFX and WDTI ETF track this index.

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Investment Performance 
Investment Return (?):19.9%Volatility (?):14.5%Sharpe Ratio:1.35Maximum Drawdown:-16.50%
Investment’s Fundamental Concept:
Momentum strategies exploit a persistent market anomaly where past returns of a price series are positively correlated with future returns. A price series which was in an uptrend in the past tends to continue being in an uptrend in the future. Momentum of a time series can be assessed by examining correlations between different time frames and using tools like Hurst exponent and variance test ratio
Investment’s Logic:
S&P (Standard & Poor’s) Diversified Trends Indicator (DTI) is an index composed of 24 futures. The strategy of this index is long a future if it is above its exponential moving average, and short the future when below its exponential moving average. Mutual Fund RYMFX and WDTI ETF track this index.
Other Investment Strategy Characteristics:
Investment Type:Momentum StrategyInvestment Risk:2/5 LowBacktest Range:30-40 yearsRebalancing period:Daily
Investment Strategy Markets:
  • Diversified Trends Indicator (DTI)
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