Generalized Protective Momentum
Implementation and example of the Generalized Protective Momentum trading strategy
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
This file demonstrates the use of the Generalized Protective Momentum strategy (a variation of Protective Asset Allocation). The strategy constructs a portfolio consisting of risky and crash protection (CP) assets based on the methodology of Keller and Keuning (2016). Please refer to the references for an explanation of the methodology.
References:
Allocate Smartly 2017, Keuning & Keller’s Generalized Protective Momentum, accessed 30 January 2017, <https://allocatesmartly.com/keuning-kellers-generalized-protective-momentum/>
Keller, W.J. and Keuning, J.W., 2016, Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits, SSRN working paper, <https://ssrn.com/abstract=2759734>
Cite As
Semin Ibisevic (2026). Generalized Protective Momentum (https://uk.mathworks.com/matlabcentral/fileexchange/61342-generalized-protective-momentum), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (203 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | Updated the description |
