Below is a modified flowchart that I ran by Dr. Gary to confirm for accuracy. This modification produced higher returns against the flowchart on page 101 for the few backtests that I executed. At his suggestion, I'm posting this to Quantopian to pass this on to anyone interested. It actually simplifies the rebalancing logic in my opinion.
if returns[context.us] < returns[context.tbill]: context.weights[context.agg] = 1 else: if returns[context.us] > returns[context.worldExUS]: context.weights[context.us] = 1 else: context.weights[context.worldExUS] = 1 context.weights.fillna(0,inplace=True)
This logic also rebalances entirely to AGG when absolute momentum dictates it.