Simple Global Market Rotation Strategy

I implemented a global market rotation strategy according to this article. The author states that the annual performance could be as high as 41.4%. However, I didn't achieve  such a good result. I would still share it in case anyone is interested in it. I would appreciate it if anyone could find any mistake in my implementation. 

The strategy tracks 7 etfs, which represent the global market. Each month it selects the one with highest return and lowest rolling standard deviation in the past three month to long. 

Update Backtest

For those using C#, I think there's a simplified implementation of this among the C# example algorithms in Lean called ETFGlobalRotationAlgorithm

On the recent results, I speculate that the author temporarily destroyed his alpha by publishing on SA, or he just was lucky and/or overfitted, but  on the other hand it seems the algo might be recovering again.


Update Backtest


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