advanced-algorithmic-trading

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The second strategy provides a 30% allocation to US equities via SPY and IJS, 25% to
emerging markets equities via EFA and EEM, 25% to US bonds (investment grade and highyield)
via AGG and JNK, 10% allocation to commodities via DJP and finally a 10% allocation
to real estate investment trusts (REITs) via RWR.
The third strategy uses the same set of ETFs as the second strategy but provides an equal
weighting at 12.5% for all eight.
The starting dates are varied solely on the availability of data. Strategy #1 begins on the
29th September 2003, while strategies #2 and #3 begin on the 4th December 2007. All strategies
end on the 12th October 2016.
Ticker #1 - 60/40 US Equities/Bonds #2 - "Strategic" Weight #3 - Equal Weight
SPY 60.0% 25.0% 12.5%
IJS 0.0% 5.0% 12.5%
EFA 0.0% 20.0% 12.5%
EEM 0.0% 5.0% 12.5%
AGG 40.0% 20.0% 12.5%
JNK 0.0% 5.0% 12.5%
DJP 0.0% 10.0% 12.5%
RWR 0.0% 10.0% 12.5%
25.3 Data
In order to carry out this strategy it is necessary to have daily bar open-high-low-close (OHLC)
pricing data for the period covered by the backtests. All ETF pricing data can be downloaded
from Yahoo Finance in the links given in the following table: