I'm in need of someone who can help put together a backtesting strategy for our investment model. For the most part we use the S&P 500 to trigger the selling of certain fixed income positions and moving them to our equity allocation until a recover is triggered. At that point we rebalance back to our original allocation.
Brady, this algo lays the groundwork for what you are trying to do. It starts by putting ~66% of the portfolio in equities. When the price of S&P goes above $180, it starts raising cash until the portfolio is allocated ~40% equities, ~60% cash. If the price of the S&P dips below $150, it starts to increase allocation into equities up to the original ~66%.
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