I ported over Keller and Keunig's Protective Strategy into QuantConnect. The code is slightly different but was translated from this Quantopian post.

"Protective Asset Allocation (PAA): A simple momentum-based alternative for term deposits" based on Keller and Keuning (April 25, 2016)

Strategy goal:
- Average, unleveraged return better than SP500 (achieved)
- Significantly reduced drawdown vs SP500 (achieved)
subject to constraints:
- Monthly rebalancing

PAA strategy summary
1. consider a proxy set of N assets
2. select a protection factor (see below) and maximum number of assets to hold (TopN)
3. count the number (n) of the risky assets with positive prior month MOM (see MOM definition below)
4. compute the bond fraction (BF): BF = (N-n)/(N-n1). (see n1 definition below)
5. Invest a fraction BF of the portfolio into the safe set (bonds)
6. From a set of equities invest the remaining fraction (1-BF) in the top n_eq equities sorted on MOM
7. Hold for one month and then repeat to rebalance

Definition of terms used by Keller and Keunig
- momentum (MOM): to be MOM = (last month's close)/(SMA over lookback period) - 1
- lookback period (L): L is measured in months
- protection factor (a): a = [0, 1, or 2] is used to adjust the BF gain: n1 = a*N/4
- number of equities to be purchased (n_eq): n_eq = min(n,topM)

I am a self-taught developer so the syntax may not be the most enjoyable, but have at it.