One of Only Two Algorithms from the Quantopian Era
I was involved with the crowd-sourced hedge fund, Quantopian, from 2015-2016. During that time, I tested and/or coded … over 1,000 algorithms. Incredibly, I found only two algos that consistently outperformed. This was one. (The other was a sector rotation strategy.)
Although the strategy defaults to a monthly rebalance, the algorithm recalculates allocations every other day, providing for a “more optimized” intervention. I’ve found the algorithm easy to supervise and the volatility easy to live with.
While the S&P 500 is currently down 17%, this algorithm’s YTD return is currently positive 7.67%.