Replication Code: Market-Cap HAA Strategy
This page provides replication code for the SSRN preprint
“A Regime-Aware Market Capitalization Rotation Strategy Using Hybrid Asset Allocation Momentum.”
The Python script implements the strategy exactly as described in the manuscript, including monthly signal evaluation at month-end, trailing 12-month momentum, the TIP-based regime filter, and winner-take-all market-capitalization selection.
The code is provided for educational and research purposes only.