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:
Let’s start by loading historical data
Next, let’s make the The 7Twelve Portfolio strategy with annual/ quarterly and monthly rebalancing.
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.