Replication Code: Market-Cap HAA Strategy
Replication Code — Market-Cap HAA Strategy
This Python script implements the methodology described in:
“A Regime-Aware Market Capitalization Rotation Strategy Using Hybrid Asset Allocation Momentum.”
The code uses total-return prices, applies a 12-month momentum canary on TIP, and selects among SPY/MDY/IJR using a 13612 composite momentum signal, with monthly rebalancing.
The code is provided for educational and research purposes only.