Hi together,

I am referring to a research paper by Gary Antonacci, available for free here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1833722

Gary suggests to perform a rotation between regional ETFs, Gold and Treasuries:

IWB, IEV, EWJ, EPP, IEF, SHY, GLD

He suggests to determine the 6-Months-Momentum (e.g. about 120 days) and rebalance the portfolio every month by buying 2 or 3 ETFs with the highest Momentum(120d). He writes about annual returns of 15-30%.

My search in the forums and the help function yielded no results for this specific problem.

Could someone provide me with some help how to code this rotation strategy for backtesting? Unfortunately I am an absolute beginner to algorithmic programming and Python, but willing to learn. Some help at the start nonetheless would be great!

Thanks so much in advance, and sorry for my bad English - I am from Germany.

Best wishes,

Stephan

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