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Universal Investment Strategy (UIS)

https://logical-invest.com/universal-investment-strategy/

From my tests I think that he's cherrypicked the data a bit to puff up his returns, and I hate that he included a graph showing 2000%+ returns by shorting SPXS and TMV... but I may have done something wrong in my calculations that are making mine seem worse. Over a longer backtest (2004-2017) it's really just been "meh" but someone might find some value in it so I'm posting it here.

There is room for improvements by adding a stop, making it itterate between different lookback periods and picking the highest sharpe ratio, or by increasing rebalance frequency but I wasn't really impressed with any of that so I didn't include the code here. This is just his raw strategy as far as I can tell, unless someone can spot where I went wrong.

3 responses

Longer backtest. Something to note: As soon as he made his post about the strategy in early 2015 the excess return has been completely nullified. In the 5 years leading up to his post the strategy performed best. This is pretty indicative ofheavy overfitting bias (p-hacking) or market compensation.

Very briefly looked at original. Looks like simple minvar optimised to Sharpe. Ecclesiastes: Nothing new under the sun?

See recent article I wrote on minvar. Looks very like a trend following system.