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Implementation of Vigilant Asset Allocation from Dr. Wouter Keller and JW Keuning

I replicated another tactical ETF strategy in QuantConnect that I think is somewhat interesting. The guys over at AllocateSmartly do a lot of replication on these types of strategies (and do a great job). Rather than rephrase everything in my own words, you are probably better served reading the write up they did on the strategy here. Results are pretty good for what it is. Feedback and thoughts are welcome. Enjoy.

Thanks,

Aaron

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cool stuff, very interesting. thanks for sharing this to the community.....

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I find the 2013 period fasinating on a lot of momentum based strategies. Almost always 2013 performs flat or negative when the market itself was rocketing up. I think this has to do with an overreliance on bonds and makes me worried for continued performace in a rising rate market.

Now how do we make a momentum strategy less reliant on bonds?

 

Just something to think about

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LukeI,

I agree with your statement. I think the easy (too easy) answer is to do what others have done with these tactical etf strategies and use SHY or BIL as the risk-free asset to remove any benefit from falling rates or just go to cash instead of the current risk free set. Another interesting point addressed by the guys at Newfound involves timing risk, where they tranche the portfolio into different sets and weight the results to reduce relying on a single day for executing the strategy. I haven't figured out a clean way to do this in QC yet, but will be attempting it this week most likely. At the end of the day, I think this strategy is just a good example and starting point for those new to the platform, and shouldn't be used as the sole basis for a strategy but more-or-less as a building block. Thanks for your comment. Have you done anything in your work that solves the issue or at least mitigates it?

Thanks,

Aaron

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Thanks for sharing!

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Hi Aaron,

Inspired by your post... I've just posted the implementation of a tactical ETF strategy I published last month at my blog.

The community post is:

https://www.quantconnect.com/forum/discussion/3189/a-simple-tactical-etf-strategy

Any feedback?

Regards,

Ricardo

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