Dual Momentum Strategy

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TradeLabX - Dual Momentum Strategy
// Based on Gary Antonacci's Global Equity Momentum (GEM) methodology

//@version=5
strategy("Dual Momentum Strategy [TradeLabX]", 
     overlay=true, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     initial_capital=10000,
     commission_type=strategy.commission.percent,
     commission_value=0.1,
     slippage=1,
     process_orders_on_close=true)

// ═══════════════════════════════════════════════════════════════════════════════
// INPUTS
// ═══════════════════════════════════════════════════════════════════════════════

// Asset Configuration
grp_assets = "═══ ASSET CONFIGURATION ═══"
usEquitySymbol = input.symbol("SPY", "US Equities Symbol", group=grp_assets, tooltip="Primary US equity ETF (default: SPY)")
intlEquitySymbol = input.symbol("EFA", "International Equities Symbol", group=grp_assets, tooltip="International developed markets ETF (default: EFA)")
defensiveSymbol = input.symbol("AGG", "Defensive Asset Symbol", group=grp_assets, tooltip="Bond ETF for defensive positioning (default: AGG)")

// Strategy Parameters
grp_params = "═══ STRATEGY PARAMETERS ═══"
lookbackMonths = input.int(12, "Lookback Period (Months)", minval=1, maxval=24, group=grp_params, tooltip="Number of months for momentum calculation (classic = 12)")
tbillRate = input.float(4.0, "T-Bill Annual Rate (%)", minval=0, maxval=20, step=0.25, group=grp_params, tooltip="Current T-Bill rate for absolute momentum test. Update this manually based on current rates.")

// Display Settings
grp_display = "═══ DISPLAY SETTINGS ═══"
showTable = input.bool(true, "Show Signal Table", group=grp_display)
tablePosition = input.string("top_right", "Table Position", options=["top_right", "top_left", "bottom_right", "bottom_left", "top_center", "bottom_center"], group=grp_display)
showBackground = input.bool(true, "Show Background Color", group=grp_display)
bgTransparency = input.int(90, "Background Transparency", minval=50, maxval=99, group=grp_display)

// Alert Settings
grp_alerts = "═══ ALERT SETTINGS ═══"
alertOnChange = input.bool(true, "Alert on Signal Change", group=grp_alerts)
alertOnMonthEnd = input.bool(true, "Alert on Month End", group=grp_alerts)

// ═══════════════════════════════════════════════════════════════════════════════
// DATA RETRIEVAL
// ═══════════════════════════════════════════════════════════════════════════════

// Request monthly closing prices for each asset
usEquityClose = request.security(usEquitySymbol, "M", close, lookahead=barmerge.lookahead_off)
intlEquityClose = request.security(intlEquitySymbol, "M", close, lookahead=barmerge.lookahead_off)
defensiveClose = request.security(defensiveSymbol, "M", close, lookahead=barmerge.lookahead_off)

// Get historical prices for return calculation
usEquityPast = request.security(usEquitySymbol, "M", close[lookbackMonths], lookahead=barmerge.lookahead_off)
intlEquityPast = request.security(intlEquitySymbol, "M", close[lookbackMonths], lookahead=barmerge.lookahead_off)

// ═══════════════════════════════════════════════════════════════════════════════
// MOMENTUM CALCULATIONS
// ═══════════════════════════════════════════════════════════════════════════════

// Calculate 12-month (or custom lookback) returns
usReturn = (usEquityClose - usEquityPast) / usEquityPast * 100
intlReturn = (intlEquityClose - intlEquityPast) / intlEquityPast * 100

// Convert annual T-Bill rate to comparable period return
tbillReturn = tbillRate  // Already annualized, compare directly to annualized equity returns

// Annualize the equity returns for proper comparison
usReturnAnnualized = usReturn / lookbackMonths * 12
intlReturnAnnualized = intlReturn / lookbackMonths * 12

// ═══════════════════════════════════════════════════════════════════════════════
// DUAL MOMENTUM LOGIC
// ═══════════════════════════════════════════════════════════════════════════════

// Step 1: Relative Momentum - Which equity market is stronger?
usWinsRelative = usReturn > intlReturn
relativeWinner = usWinsRelative ? "US" : "INTL"
winnerReturn = usWinsRelative ? usReturn : intlReturn
winnerReturnAnnualized = usWinsRelative ? usReturnAnnualized : intlReturnAnnualized

// Step 2: Absolute Momentum - Is the winner beating T-Bills?
absoluteMomentumPass = winnerReturnAnnualized > tbillReturn

// Step 3: Final Signal
// Signal codes: 1 = US Equities, 2 = International Equities, 3 = Defensive (Bonds)
var int currentSignal = 3  // Start defensive

if absoluteMomentumPass
    currentSignal := usWinsRelative ? 1 : 2
else
    currentSignal := 3

// Signal names for display
signalName = currentSignal == 1 ? "US EQUITIES" : currentSignal == 2 ? "INTL EQUITIES" : "DEFENSIVE"
signalTicker = currentSignal == 1 ? usEquitySymbol : currentSignal == 2 ? intlEquitySymbol : defensiveSymbol

// ═══════════════════════════════════════════════════════════════════════════════
// MONTH-END DETECTION
// ═══════════════════════════════════════════════════════════════════════════════

// Detect new month for signal change tracking
isNewMonth = month(time) != month(time[1])

// Track signal changes
signalChanged = ta.change(currentSignal) != 0

// ═══════════════════════════════════════════════════════════════════════════════
// STRATEGY EXECUTION
// ═══════════════════════════════════════════════════════════════════════════════

// Execute strategy based on signals (works on any chart)
if currentSignal == 1
    strategy.entry("Long US", strategy.long)
if currentSignal == 2
    strategy.entry("Long INTL", strategy.long)
if currentSignal == 3
    strategy.entry("Long DEF", strategy.long)

// ═══════════════════════════════════════════════════════════════════════════════
// VISUAL DISPLAY - BACKGROUND
// ═══════════════════════════════════════════════════════════════════════════════

// Background colors based on signal
bgColorUS = color.new(color.green, bgTransparency)
bgColorIntl = color.new(color.blue, bgTransparency)
bgColorDef = color.new(color.red, bgTransparency)

bgColor = currentSignal == 1 ? bgColorUS : currentSignal == 2 ? bgColorIntl : bgColorDef
bgcolor(showBackground ? bgColor : na, title="Signal Background")

// ═══════════════════════════════════════════════════════════════════════════════
// VISUAL DISPLAY - TABLE
// ═══════════════════════════════════════════════════════════════════════════════

// Table position mapping
tablePos = tablePosition == "top_right" ? position.top_right :
           tablePosition == "top_left" ? position.top_left :
           tablePosition == "bottom_right" ? position.bottom_right :
           tablePosition == "bottom_left" ? position.bottom_left :
           tablePosition == "top_center" ? position.top_center :
           position.bottom_center

// Create and populate table
var table signalTable = table.new(tablePos, 2, 12, bgcolor=color.new(color.black, 20), border_width=1, border_color=color.gray)

if showTable and barstate.islast
    // Header
    table.cell(signalTable, 0, 0, "DUAL MOMENTUM", text_color=color.white, bgcolor=color.new(#1F4E79, 0), text_size=size.normal)
    table.cell(signalTable, 1, 0, "STRATEGY", text_color=color.white, bgcolor=color.new(#1F4E79, 0), text_size=size.normal)
    
    // Current Signal Section
    table.cell(signalTable, 0, 1, "─── SIGNAL ───", text_color=color.yellow, bgcolor=color.new(color.black, 50), text_size=size.small)
    table.cell(signalTable, 1, 1, "", bgcolor=color.new(color.black, 50))
    
    signalColor = currentSignal == 1 ? color.green : currentSignal == 2 ? color.blue : color.red
    table.cell(signalTable, 0, 2, "HOLD:", text_color=color.white, bgcolor=color.new(color.black, 70), text_size=size.normal)
    table.cell(signalTable, 1, 2, signalName, text_color=color.white, bgcolor=signalColor, text_size=size.normal)
    
    table.cell(signalTable, 0, 3, "Ticker:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 3, signalTicker, text_color=color.white, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    // Momentum Data Section
    table.cell(signalTable, 0, 4, "─── RETURNS ───", text_color=color.yellow, bgcolor=color.new(color.black, 50), text_size=size.small)
    table.cell(signalTable, 1, 4, "", bgcolor=color.new(color.black, 50))
    
    // US Returns
    usReturnColor = usReturn > 0 ? color.green : color.red
    table.cell(signalTable, 0, 5, "US " + str.tostring(lookbackMonths) + "mo:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 5, str.tostring(usReturn, "#.##") + "%", text_color=usReturnColor, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    // International Returns
    intlReturnColor = intlReturn > 0 ? color.green : color.red
    table.cell(signalTable, 0, 6, "INTL " + str.tostring(lookbackMonths) + "mo:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 6, str.tostring(intlReturn, "#.##") + "%", text_color=intlReturnColor, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    // Relative Winner
    relWinnerColor = usWinsRelative ? color.green : color.blue
    table.cell(signalTable, 0, 7, "Rel Winner:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 7, relativeWinner, text_color=relWinnerColor, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    // Absolute Momentum Section
    table.cell(signalTable, 0, 8, "─── ABS MOM ───", text_color=color.yellow, bgcolor=color.new(color.black, 50), text_size=size.small)
    table.cell(signalTable, 1, 8, "", bgcolor=color.new(color.black, 50))
    
    table.cell(signalTable, 0, 9, "Winner Ann:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 9, str.tostring(winnerReturnAnnualized, "#.##") + "%", text_color=winnerReturnAnnualized > tbillRate ? color.green : color.red, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    table.cell(signalTable, 0, 10, "T-Bill Rate:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 10, str.tostring(tbillRate, "#.##") + "%", text_color=color.white, bgcolor=color.new(color.black, 70), text_size=size.small)
    
    absMomColor = absoluteMomentumPass ? color.green : color.red
    absMomText = absoluteMomentumPass ? "PASS ✓" : "FAIL ✗"
    table.cell(signalTable, 0, 11, "Abs Mom Test:", text_color=color.silver, bgcolor=color.new(color.black, 70), text_size=size.small)
    table.cell(signalTable, 1, 11, absMomText, text_color=absMomColor, bgcolor=color.new(color.black, 70), text_size=size.small)

// ═══════════════════════════════════════════════════════════════════════════════
// ALERTS
// ═══════════════════════════════════════════════════════════════════════════════

// Alert on signal change
alertcondition(signalChanged and alertOnChange, title="Signal Changed", message="Dual Momentum Signal Changed!")

// Alert on new month
alertcondition(isNewMonth and alertOnMonthEnd, title="Month End Review", message="New Month - Review Dual Momentum Signal")

// Specific signal alerts
alertcondition(currentSignal == 1 and signalChanged, title="Switch to US Equities", message="Dual Momentum: Switch to US EQUITIES (SPY)")
alertcondition(currentSignal == 2 and signalChanged, title="Switch to Intl Equities", message="Dual Momentum: Switch to INTERNATIONAL EQUITIES (EFA)")
alertcondition(currentSignal == 3 and signalChanged, title="Switch to Defensive", message="Dual Momentum: Switch to DEFENSIVE (AGG)")

// Plot signal for reference (hidden from chart)
plot(currentSignal, title="Current Signal", display=display.none)

// ═══════════════════════════════════════════════════════════════════════════════
// MONTHLY SIGNAL MARKERS
// ═══════════════════════════════════════════════════════════════════════════════

// Plot signal change markers on chart
plotshape(signalChanged and currentSignal == 1, title="US Signal", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, text="US")
plotshape(signalChanged and currentSignal == 2, title="INTL Signal", style=shape.triangleup, location=location.belowbar, color=color.blue, size=size.small, text="INTL")
plotshape(signalChanged and currentSignal == 3, title="DEF Signal", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, text="DEF")