Dual momentum bot: run Antonacci’s GEM automatically

Written by the Tactfolio research teamPublished Data as of 3 min read

A dual momentum bot runs Gary Antonacci’s Global Equities Momentum (GEM) rules for you. Once a month it holds one fund: US stocks, stocks outside the US, or bonds. On Tactfolio you can read every rule, check the backtest, and run it on paper or in your own Alpaca account.

Key points#

  • The bot checks once a month and holds one of SPY, VEU or AGG.
  • It holds stocks only while US stocks have beaten Treasury bills over 12 months.
  • It usually switches only a few times a year.
  • Its worst backtest loss came in the fast 2020 crash, about a third.
  • You run your own copy, and you choose the balance it trades.

What does the dual momentum bot do?#

The dual momentum bot follows two tests from Antonacci’s 2014 book Dual Momentum Investing. Momentum means assets that have risen lately tend to keep rising for a while.

  • Absolute momentum: have US stocks (SPY) beaten Treasury bills (BIL) over the past 12 months? If not, hold US bonds (AGG).
  • Relative momentum: if they have, hold whichever did better over 12 months, US stocks (SPY) or stocks outside the US (VEU).

Each 12-month return is measured from month-end closes, as the book does. The full rules, sources and yearly results are in the dual momentum strategy guide.

How did dual momentum do in the backtest?#

These figures come from the strategy’s article and were measured on prices through September 25, 2026.

  • Over the ETF era, from August 2008, it returned less than the S&P 500 with a smaller worst drawdown. A drawdown is how far a portfolio falls from its last high point.
  • From early August 2008 to the end of that year it gained about 5%, while the S&P 500 lost more than a quarter.
  • It was fully in stocks in the February and March 2020 crash. It lost about a third and took until early 2021 to recover.
  • In 2022 it lost 17%, almost as much as the S&P 500.

These results are hypothetical, from past prices after trading costs. They are not a track record. How to read a backtest explains each number.

How to run the dual momentum bot on Tactfolio#

Five steps take you from the rules to a running bot.

  1. Open the live strategy. Open the live dual momentum strategy to see its rules and its daily-updated backtest.
  2. Copy it to your account. Sign up for free and copy it. Your copy is yours to change.
  3. Change it if you want. In the builder, try a shorter lookback, a different bond fund, or Treasury bills as the safe asset. The backtest reruns as you edit.
  4. Run it on paper. In Trade, a paper account runs the bot with pretend money at real market prices and emails you a summary after each close.
  5. Connect Alpaca when you are ready. Use your own Alpaca account, paper or live, with your own API keys. The bot trades only the starting balance you give it.

When does the dual momentum bot struggle?#

  • Sudden crashes. A 12-month signal checked once a month cannot react to a fall that happens within weeks.
  • Falling bonds. When stocks and bonds fall together, the bond fallback does not protect you.
  • Leadership changes. When US and foreign stocks trade places often, it can switch late each time.

Common questions#

How often does the dual momentum bot trade?#

It checks at each month end and trades only when the winning fund changes. That usually happens only a few times a year.

What ETFs does the dual momentum bot use?#

It holds SPY for US stocks, VEU for stocks outside the US, and AGG for US bonds. It compares against BIL, a Treasury bill fund, for the absolute momentum test.

Can I change the dual momentum rules?#

Yes. Copy the strategy and change the lookback, the funds or the safe asset. You can also look at Accelerating Dual Momentum, which uses shorter lookbacks.

Does dual momentum still work?#

Since the book came out in late 2014 it has made money but trailed the S&P 500. Its sharpest loss came in 2020. The live record on the strategy page shows how it is doing now.

Sources

The ideas behind this bot