Global Index Trend Rotation
Rotates across the headline equity indices of fourteen countries — the US, Japan, the UK, Germany, Hong Kong, India and others — holding the five with the strongest six-month trend, sized by inverse volatility. Monthly. A country-selection strategy rather than a stock-selection one.
Why this is expected to work
Country equity indices trend for reasons that have nothing to do with individual companies: currency regimes, monetary policy cycles, commodity terms of trade, foreign capital flows. Asness, Moskowitz and Pedersen found momentum in country index returns alongside every other asset class they tested, and cross-country momentum has held up better out of sample than single-stock momentum because the universe is small, capacity-constrained, and driven by slow macro reallocation rather than by information diffusing through analysts. The construction point worth noting is the universe filter: this selects by COUNTRY, not by exchange. Naming exchange codes would mean maintaining a list that breaks whenever a market is added; asking for the countries and letting the exchange-to-country mapping resolve the members means a new market is data, not an edit. One honest caveat: these are price indices in local currency, so an Indian investor holding the underlying would also carry the INR cross, which this backtest does not model.
How the pipeline works
Price 6 months ago
Computes price_6m_ago = @shift(close, 126)
@shift(close, 126) Has 6 months of history
Keeps rows where price_6m_ago > 0
price_6m_ago > 0 6-month trend
Computes trend_6m = close / price_6m_ago
close / price_6m_ago Trend is positive
Keeps rows where trend_6m > 1
trend_6m > 1 Top 5 markets by trend
Selects the top 5 by trend_6m
What this template teaches
- The `countries` universe filter — geography, not exchange codes
- Index securities as a tradeable universe
- Cross-country momentum
- A non-India-centric strategy on the same engine
Country Momentum: Rotating Across Markets, Not Stocks
Equity indices trend for reasons individual companies never explain — currency regimes, policy cycles, capital flows. Cross-country momentum has held up better out of sample than single-stock momentum.
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