12M Return Strategy

This strategy is based on the original Dual Momentum concept presented by Gary Antonacci in his book “Dual Momentum Investing.”
It implements the absolute momentum portion of the framework using a 12-month rate of change, combined with a moving-average filter for trend confirmation.

The script automatically adapts the lookback period depending on chart timeframe, ensuring the return calculation always represents approximately one year, whether you are on daily, weekly, or monthly charts.

How the Strategy Works
1. 12-Month Return Calculation

The core signal is the 12-month price return, computed as:

(Current Price ÷ Price from ~1 year ago) − 1

This return:

Plots as a histogram

Turns green when positive

Turns red when negative

The lookback adjusts automatically:

1D chart → 252 bars

1W chart → 52 bars

1M chart → 12 bars

Other timeframes → estimated to approximate 1 calendar year

2. Trend Filter (Moving Average of Return)

To smooth volatility and avoid noise, the strategy applies a moving average to the 12M return:

Default length: 12 periods

Plotted as a white line on the indicator panel

This becomes the benchmark used for crossovers.

3. Trade Signals (Long / Short / Cash)

Trades are generated using a simple crossover mechanism:

Bullish Signal (Go Long)

When:

12M Return crosses ABOVE its MA

Action:

Close short (if any)

Enter long

Bearish Signal (Go Short or Go Flat)

When:

12M Return crosses BELOW its MA

Action:

If shorting is enabled → Enter short

If shorting is disabled → Exit position and go to cash

Shorting can be enabled or disabled with a single input switch.

4. Position Sizing

The strategy uses:

Percent of Equity position sizing

You can specify the percentage of your portfolio to allocate (default 100%).

No leverage is required, but the strategy supports it if your account settings allow.

5. Visual Signals

To improve clarity, the strategy marks signals directly on the indicator panel:

Green Up Arrows: return > MA

Red Down Arrows: return < MA

A status label shows the current mode:

LONG

SHORT

CASH

6. Backtest-Ready

This script is built as a full TradingView strategy, not just an indicator.
This means you can:

Run complete backtests

View performance metrics

Compare long-only vs long/short behavior

Adjust inputs to tune the system

It provides a clean, rule-driven interpretation of the classic absolute momentum approach.

Inspired By: Gary Antonacci – Dual Momentum Investing

This script reflects the absolute momentum side of Antonacci’s original research:

Uses 12-month momentum (the most statistically validated lookback)

Applies a trend-following overlay to control downside risk

Recreates the classic signal structure used in academic studies

It is a simplified, transparent version intended for practical use and educational clarity.

Disclaimer

This script is for educational and research purposes only.
Historical performance does not guarantee future results.
Always use proper risk management.