Hi All,

I read a paper today titled "A Quantitative Approach to Tactical Asset Allocation" by Mebane Faber, first published in May 2006. It's basis (implemented below) is a simple Global Asset Allocation Buy &Hold portfolio, against which we should measure the performance of the various iterations of his Global Tactical Asset Allocation Models (to follow). 

As expected for a global diversified portfolio (B&H) it yields a sharpe ratio in the order of 0.4 (owning individual "Risky" assets usually returns a sharpe around 0.2). It appeasrs the previous decade has been quite extraordinary for the S&P, with a sharpe=0.7!

This is my first attempt (as a hobbyist programmer) at an algorithm on QuantConnect, using the structure provided in the AlgorithmFramework, so questions, comments & criticisms are all welcome!