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: