Implementation of Vigilant Asset Allocation from Dr. Wouter Keller and JW Keuning

cool stuff, very interesting. thanks for sharing this to the community.....

I find the 2013 period fasinating on a lot of momentum based strategies. Almost always 2013 performs flat or negative when the market itself was rocketing up. I think this has to do with an overreliance on bonds and makes me worried for continued performace in a rising rate market.

Now how do we make a momentum strategy less reliant on bonds?

Just something to think about

LukeI,

I agree with your statement. I think the easy (too easy) answer is to do what others have done with these tactical etf strategies and use SHY or BIL as the risk-free asset to remove any benefit from falling rates or just go to cash instead of the current risk free set. Another interesting point addressed by the guys at Newfound involves timing risk, where they tranche the portfolio into different sets and weight the results to reduce relying on a single day for executing the strategy. I haven't figured out a clean way to do this in QC yet, but will be attempting it this week most likely. At the end of the day, I think this strategy is just a good example and starting point for those new to the platform, and shouldn't be used as the sole basis for a strategy but more-or-less as a building block. Thanks for your comment. Have you done anything in your work that solves the issue or at least mitigates it?

Thanks,

Aaron

Thanks for sharing!

Hi Aaron,

Inspired by your post... I've just posted the implementation of a tactical ETF strategy I published last month at my blog.

The community post is:

https://www.quantconnect.com/forum/discussion/3189/a-simple-tactical-etf-strategy

Any feedback?

Regards,

Ricardo

Aaron,

By using a scheduled "rebalance" function, I can create a True/False boolean value that is used whenever you want the algorithm to fire.

This version has been modifed to use a monthly rebalancing. It takes advantage of the "Turn of the month" effect.

I attached the wrong backtest, the first one seleceted the second best safe. Oops.

For the fun of it, I set the rebalancing to weekly. Still a good algorithm, but no quite as promising.

I can't figure out how to tranche the portfolio. I believe the ke is to take the current portfolio value and symbols and reallocate them, but it's over my head as a coder.

There are a few artifacts of this code here, so check out the commented blocks.

Hi guys,

I am a newbie in coding but I still went reading your code : why are you liquidating the asset every month ? Can't we save some money in fees by not liquidating if the asset we are holding has still the best score ?

Thanks for your answer,

Hi Renaud Jeannot, you are totally right!
We check whether the security is invested before the Liquidate:

With that improvement, we save $356.55 in fees which is about one third, by reducing the number of orders from 383 to 187.