https://algostrategylab.github.io/ Systematic trading strategies backtested properly: exact rules, full metrics, robustness checks, and all the code. One strategy per article. en-us abhinav.neo@gmail.com (Abhinav Taduka) Fri, 23 Oct 2026 18:00:00 GMT https://algostrategylab.github.io/sma-trend-filter/ https://algostrategylab.github.io/sma-trend-filter/ Fri, 23 Oct 2026 18:00:00 GMT abhinav.neo@gmail.com (Abhinav Taduka) Mebane Faber's 10-month moving average filter backtested over 1987-2026 with realistic costs and next-close execution, then put head to head with 12-month absolute momentum. The two filters agree on 88 percent of months; the moving average switches 48 times to momentum's 27 and gives up 1.2 points a year to whipsaw. Every moving-average length longer than 10 months produced a higher return, a higher Sharpe and less trading. Includes component variants, a hysteresis band sweep, an in-sample/out-of-sample split at the 2007 publication date and an anchored walk-forward. All code and result files public. https://algostrategylab.github.io/dual-momentum/ https://algostrategylab.github.io/dual-momentum/ Thu, 22 Oct 2026 16:30:00 GMT abhinav.neo@gmail.com (Abhinav Taduka) Gary Antonacci's Global Equities Momentum backtested over 1997-2026 with realistic costs and next-close execution. Before the book was published it beat the S&P 500 by 5.1 points a year; after, it trailed by 5.4. Includes the exact rules, 90+ metrics against the S&P 500, component ablation, lookback sensitivity, an in-sample/out-of-sample split and an anchored walk-forward. All code and result files public.