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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...

12 days 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)...

12 days 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...

12 days 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...

12 days 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...

12 days 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)...

12 days 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...

12 days 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...

12 days ago