Thanks. As you say, this is not risk adjusted, (and without a stop loss) which means it's a fairly simple strategy. I believe there are methods exposed to the algorithm to calculate correlations on the fly, but when you're talking about long timescales, this is not particularly useful. What approach would you take if you wanted to convert this into a full risk parity strategy? Would you require an additional hedging strategy or are the risks already adequately hedged? I suppose if you hard code the risk allocations you would want to hedge against the correlations falling out of expectation.
As you’ll see I’ve diverged in a few areas from your description, and am fairly sure I’ve transposed your risk allocations. You should be able to tweak the main parameters you mentioned with the months and leverage variables. If you need to rebalance at a frequency less than annually or more than monthly, wider changes will be needed.
I'm intrigued by the consistent performance up until the middle of last year and am wondering what steps could be taken to avoid the drawdown.