Generalized Protective Momentum

Implementation and example of the Generalized Protective Momentum trading strategy
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更新 2017/1/30


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.

Allocate Smartly 2017, Keuning & Keller’s Generalized Protective Momentum, accessed 30 January 2017, <>

Keller, W.J. and Keuning, J.W., 2016, Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits, SSRN working paper, <>


Semin Ibisevic (2024). Generalized Protective Momentum (, MATLAB Central File Exchange. 取得済み .

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