This script is a 13612W momentum filter used in the Vigilant Asset Allocation (VAA) and Defensive Asset Allocation (DAA) created by Wouter J. Keller and Jan Willem Keuning.
This asset allocation strategy was uploaded to SSRN in 2017 and 2018.
13612W Calculation Method
(Profitability in Last 1 months * 12 +
Profitability in Last 3 months * 4 +
Profitability in...
