7Twelve Back-test


Systematic Investor

I recently came across the The 7Twelve Portfolio strategy. I like the catchy name and the strategy report, “An Introduction to 7Twelve.” Following is some additional info about the The 7Twelve Portfolio strategy that I found useful:

Today I want to show how to back-test the The 7Twelve Portfolio strategy using the Systematic Investor Toolbox.

Let’s start by loading historical data

Next, let’s make the The 7Twelve Portfolio strategy with annual/ quarterly and monthly rebalancing.

plot1

The strategy does better than the Vanguard 500 Index benchmark, but still suffers a huge draw-down in 2008-2009 period.

How would you make it a better strategy? Please share your ideas.

To view the complete source code for this example, please have a look at the bt.7twelve.strategy.test() function in bt.test.r at github.

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