Securities basket used: US Equities (SPY), Int'l Equities (EFA), Emerging Markets (EEM), Gold (GLD), Corporate Bonds (AGG) and Long-Term Treasury (TLT). This current model holds up to 4 equal-weight positions.
This algorithm essentially monitors dual momentum during the last month of each quarter. These periods coincide with heavy institutional re-balancing and reporting activities, which in theory could provide information on what securities institutions are getting out of (underperformers) and what securities will be chosen by them for the coming quarter (outperformers).
More on this anomaly here:
Here's a backtest using PortfolioVisualizer that uses mutual funds and goes back to the 90s:
Have fun! Would love to see how this can be further improved. For collaboration requests, please contact: [email protected] and [email protected]
Shout out to the homie Mohammed Khalfan for helping me code this algo!