AI & Algo Trading

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Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

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Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

edarchimbaud
Sep 3, 2023
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Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

blog.edarchimbaud.com
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Original paper

SSRN-id3212862.pdf

Trading rules

  • Investment universe: 10 ETFs representing key asset classes

    • US Stocks

    • European Stocks

    • Japanese Stocks

    • Emerging Market Stocks

    • US REITs

    • International REITs

    • US Intermediate Treasuries

    • US Long-term Treasuries

    • Commodities

    • Gold

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