Stock & Bond Risk Parity

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Stock & Bond Risk Parity

posted Aug 10, 2016

rebalance per month

5 responses

Anthony FJ Garner

Since you are using QQQ probably best to see how it worked during the tech crash.

Anthony FJ Garner

Can't recall whether I have done the test!

I am a bit late, but are you assuming QQQ and TLT to have the same Sharpe ratio, aren't you?

Anthony FJ Garner

I'm not sure I would use either. I would probably opt for a broader based stock index such as the MSCI World and a much shorter term bond index - again probably International. Max diversification.

Nice work! I'm a beginner but I would recommend using the same QQQ as a benchmark, just to compare apples with apples :)

def initialize(context):  
    #set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))  
    context.asserts = symbols('QQQ', 'TLT')  
    # unused if volatility_policy is true  
    context.asserts_position = [0.40, 0.60]  
    context.rebalance_inteval = 'M'  
    context.rebalance_date = 0  
    context.volatility_policy = True  
    #unused if volatility_policy is false  
    context.volatility_days = 252  
    context.volatility_price_history = 21  
    set_benchmark(sid(19920))  
    set_commission(commission.PerShare(cost=0.005, min_trade_cost=1.00))  
    context.fired = False

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.