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We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.


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Will left a comment in the discussion Hybrid Asset Allocation

Also you can't simply use the prices of fixed income ETF's to get their total return which is what...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

# Calculate total returns for each period returns_1m = (prices[-1] / prices[-21])^(252/21)...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

You are not using ANNUALIZED returns for the momentum calculations, just period returns. This is...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

One issue is your safe universe only includes BIL when it should just be whatever the best...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

Also you can't simply use the prices of fixed income ETF's to get their total return which is what...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

# Calculate total returns for each period returns_1m = (prices[-1] / prices[-21])^(252/21)...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

You are not using ANNUALIZED returns for the momentum calculations, just period returns. This is...

4 months ago

Will left a comment in the discussion Hybrid Asset Allocation

One issue is your safe universe only includes BIL when it should just be whatever the best...

4 months ago