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Quantconnect's Idea Stream posted an interesting video on YouTube about Traunch Rebalancing Risk Parity a few months ago.
https://www.youtube.com/watch?v=q1VjM1nHPfE&list=PLD7-B3LE6mz7_H1xzHiy1J8whTgnQK7nJ&index=7
The Traunch Rebalancing Risk Parity strategy rebalances a 1/12 of the portfolio monthly to maintain a 60/40 between stocks and bonds regardless of how the market is moving.
This algorithm uses Parabolic Stop And Reverse to adjust the ratio of stock and bonds depending on how the market is moving on a month by month basis. The alpha model uses the Parabolic SAR to either emmit bull or bear insights:
if self.algorithm.Securities[str(self.risk)].Price > self.psars[str(self.risk)].Current.Value:
return self.bull_insights
elif self.algorithm.Securities[str(self.risk)].Price < self.psars[str(self.risk)].Current.Value:
return self.bear_insightsI would appreciate any ideas or thoughts on this algorithm.
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