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ReSolve: Global Equity Momentum

I recently read ReSolve's latest article on the classic Global Equity Momentum (GEM) asset allocation strategy by Gary Antonacci. The purpose was to examine the robustness of the strategy in order to come up with a methadolegy to reduce specific risk and increase withdrawal rates. 

The strategy creates an ensemble of 1226 strategies with differing settings to create a more diversified portfolio. I thought the implementation would be useful to test out and share, so hopefully the attached algorithm is useful.

If you want to read more about the strategy, check out ReSolve's recent article here: 

https://investresolve.com/blog/global-equity-momentum-executive-summary/

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


wooow nice stuff.

thank you for sharing. thats a good one -> straight to favorites!

if you can...use QC framework within this algo and post it on alpha market!!!!!!

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ask QC to help you with converting it if you need help. seems something useful for their alpha market! they will support you for sure

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Thanks Michael

I haven't really looked in to the Framework too much, as I've been more interested in creating ideas quickly and testing them. I'll have a look at it and see if it's something to share on the alpha market

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Hi All.

Thanks for sharing! The Global Equity Momentum asset allocation strategy by Gary Antonacci can be implemented using the Algorithm Framework.

You can construct a Universe Selection Model within the Algorithm Framework that selects the securities needed for this strategy and then construct the trading logic in an Alpha Model.

The beauty of the Algorithm Framework is that modules are interchangeable which means that GEM Universe Selection Model also works with a different Alpha model, such as EMA Crossover Alpha.

Good luck!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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