I have attempted to build the Adaptive Asset Allocation (AAA) algorithm outlined in ReSolve Asset Management's white paper. You can add any additional asset classes in the self.additional list that are't included in the original.
Please provide any feed back on code improvement.
I hope it's useful!
Nice work! Thanks for sharing it. The code is very neat and easy to read. One suggestion I might have is about the history request. self.History() affects the running speed of the algorithm.
hist1 = self.History(self.stocks, 200, Resolution.Daily).unstack(level=0).close
hist2 = self.History(symbols, 200, Resolution.Daily).unstack(level=0).close.pct_change()[1:]
These two history methods get the same set of historical data. This repeat request slows down the algorithm. You can only select the required columns in the first history to construct a new dataframe.
For example, the above code is equivalent to the following
hist1 = self.History(self.stocks, 200, Resolution.Daily).unstack(level=0).close
hist2 = hist[symbols].pct_change()[1:]
Thanks for the feedback
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