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Breadth Momentum and Vigilant Asset Allocation (VAA)

Breadth Momentum and Vigilant Asset Allocation (VAA);

I have found my adding XIV the perf increases while the drawdowns are still in hand....

I found this interesting paper on momentum stratgeies and I build a flexible version of it so we can experiment with the assets and with the number of B and T assets

Read moare at Winning More by Losing Less By Wouter J. Keller and Jan Willem Keuning1 July 14, 2017, v0.99

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 599c39d47292c451047522f1
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