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Permanent Portfolio Timing Active Rebalance V0.1

by Vangelis M., 3825 days ago
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This was inspired by an article on tweaking Harry Browne's Permanent Portfolio (I cannot find that article... )
This is v.01 so it's not 100% checked and verified.Please report any errors or mistakes.

The basic PP portfolio is equal weight in 4 assets:
25% Equity
25% Bond
25% Gold
25% no-risk cash

We use SPY,TLT,GLD,SHY

We rebalance monthly.

Layer1: Added a rule to only buy if price is above the 220-day simple average. Sell if below.

Layer2: On rebalance day
a. If an asset's volatility > max volatility , decrease the size of that asset.
b. If an asset has performed well in the last few days, decrease size by 5% of equity and distribute the funds to the other assets. We assume short term Mean Reversion will decrease the asset's price to the average
c. If an asset has underperformed in the long run, decrease size by 15% of equity and distribute funds to all other assets.

Feel free to give feedback, correct mistakes and experiment.


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Type: Trading System

Object ID: 1471


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Market: ETF Market

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