Notebook

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.

### Implementation¶

The modified (and simplified) logic in my_assign_weights(context, data) looks like:

In [ ]:
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.