I say that because the algo doesn't really demonstrate any predictive capability. It uses a fixed universe and simply adjusts exposure.
I'm not at all sure about that one. The whole point of Markowitz and/or MAD is to make "predictions". Markowitz was expecting punters to make a one time guess as to the future returns and vol of portfolio components. Modern algos at least use historic returns and vol and then repeat the calculations periodically. As per your algo here.
If you target vol you are predicting that future returns will look somewhat like the past (or at least the past 200 days as in your algo). Agreed of course that you are merely adjusting exposure if you trade this model with a fixed portfolio of ETFs but that is still prediction.
By way of example you target annualised volatility of say 16% and "predict" high returns for relatively high volatility. Or you target 5% vol for "predicted" bond like returns.
I am increasingly perplexed by conversations about including and excluding trading / investment styles and instruments. The distinctions are so often meaningless and counter productive.
At least where "probability" type trading and investment are concerned. And this forum is concerned with "probability" trading.
HFT by contrast uses (or so I am told) many techniques such as arbitrage and legal (?) front running. There you really are talking a very different animal. And haven't they done well?
But what about hedge funds in general? In general they have been a disappointment: for all the hype HFs have not lived up to the promise of absolute return over the past 20 years. With few exceptions, "all weather" portfolios have proved elusive.
I very much doubt that this forum will come up with anything superior (over the long term) to the simple Markowitz type approach typified by the example in this thread.
Call me sceptical but the vast majority of trading talk is so much BS. And curve fitting.
My serious point is that as an investor I would probably look towards a simple approach along the lines of this thread. I don't think in the long run there will be many other HF techniques which will do much better. In general, investment will give you market returns. You can boost those by leverage at the expense of higher volatility. You can cut draw down by techniques outlined in this and other threads.
But you won't come up with any magic bullet, predictive or otherwise. Unless you trade arbitrage or some other game such as front running where the odds are heavily loaded in your favour.