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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. 

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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.

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