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I am using this post to illustrate a few concepts to some friends in an organised way, so please ignore these backtests.

1: 100% SPY

9 responses

2: 100% Long-term US Government bonds (TLT)

3: 60% SPY, 40% TLT, rebalanced monthly

4: same as above (60% SPY, 40% TLT) with leverage x2

5 same as above (60% SPY, 40% TLT) with leverage x 0.8

6: 100% SPY, except when 6 month momentum < 0, then sell SPY and hold nothing

7, same as above, but instead of holding cash, hold 50% GLD and 50% TLT when momentum < 0

8: Instead of 100% SPY during risk apetite periods, hold top 2 risky assets sorted by momentum and allocate according to momentum weight. Also, risky assets should only comprise 80% of portfolio at any time, the rest is 20% TLT.

9: Same as above, but from May-Sep, hold 50% risky 50% TLT

11: Same as above, except 6 month momentum and leveraged x2