Trying to replicate the strategy detailed on this post: http://blog.alphaarchitect.com/2014/09/18/flexible-asset-allocation-dethroning-moving-average-rules/#gs.aVS=K_E
My drawdowns are quite different from the paper and Alpha architect's replicated results. What do you think is the cause of this?
Is absolute return supposed to be compared to risk-free as opposed to > 0?