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See attached implementation of Keller's latest strategy - Bold Asset Allocation (BAA). You can find the paper here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4166845
Please share any improvements to the strategy or its implementation in QC.
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Tristan F
The above was missing some defensive securities. See updated one here, with a bit of code clean up too
Jack Pizza
I have another Accelerating Tactical Allocation same from Keller, can you modify the above to test holding top 1,2,3 ect assets as opposed to equal weight in all? From my previous testing holding usually top x resulted in better results than equal weighting.
Derek Melchin
Hi Jack,
The algorithm already selects the top x securities. To adjust x, we just need to change self.TO and self.TD.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Tristan F
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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