Ideas for a Sector Rotation Algorithm
Hey Monkeys,
At the beginning of COVID I decided I wanted to create an algorithm that could be used to for long term investment management. I backtested several theories and eventually settled on a simple momentum sector rotation model designed after Meb Faber's (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1585517).
I have been optimizing the algorithm since the start of COVID, paper trading and backtesting. Compared to benchmarks returns over the last year have been great, reduced volatility and drawdowns, and the Sharpe ratio is close to 2.
The question I have been struggling with is now what?
I would like for this to bigger than just something a run for family and friends. But struggling to see a path forward besides dropping everything and starting a RIA which is not an option at this point. Any ideas / thoughts are appreciated.
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