With just a few lines of code, I have implemented  Ray Dalio's All Weather Strategy.

The strategy is based on a target portfolio of weighted etfs representing different markets:

  • 30% Vanguard Total Stock Market ETF (VTI)
  • 40% iShares 20+ Year Treasury ETF (TLT)
  • 15% iShares 7 – 10 Year Treasury ETF (IEF)
  • 7.5% SPDR Gold Shares ETF (GLD)
  • 7.5% PowerShares DB Commodity Index Tracking Fund (DBC)

The rules are ridiculously simple, since all there is to do is rebalancing the portfolio once a year, to the fixed target weights.

The attached backtest shows, that the strategy works quite well and with a relatively low drawdown and low interest rates, you can even use some leverage. 

Feel free to comment and improve.