gbeced/pyalgotrade — pull request #27 by florentchandelier (2014-05-05 11:18:50+00:00)
Title: Sample: Mebane Faber Ivy League Tactical Asset Allocation

Implementation of Mebane Faber Ivy League Tactical Asset Allocation presented in [1], but adding cash contribution to the portfolio over the years to simulate real-life retail investor behavior. [parking cash in bonds is not implemented]
[1] http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

Note: Using Annual Cash Contribution to the portfolio is there as a mere example of how to do so - same logic for implementing tax and such.