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Making SACEMS with Variable Lookback Interval the Tracked Baseline

Steve LeCompte | | Posted in: Momentum Investing, Strategic Allocation

Having iteratively compared the Simple Asset Class ETF Momentum Strategy (SACEMS) with a fixed lookback interval to SACEMS with a VIX-based variable lookback interval over several years, we are dropping the former and adopting the latter as the tracked baseline. We are making one other change to eliminate a legacy data workaround. Specifically:

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