Replication Code — The Safety Tripwire: Architectural Efficiency of Threshold-Based Rebalancing in a 60/40 Regime
Replication Code — The Safety Tripwire: Architectural Efficiency of Threshold-Based Rebalancing in a 60/40 Regime
This Python script implements the methodology described in:
“The Safety Tripwire: Architectural Efficiency of Threshold-Based Rebalancing in a 60/40 Regime”
It executes a longitudinal backtest of a 60/40 VTI/AGG portfolio to demonstrate the performance of the Safety Tripwire rebalancing architecture over a 21-year study window. By monitoring daily equity drift and triggering interventions only when a 5% absolute threshold is breached, the code verifies how state-dependent logic can significantly reduce trade frequency while capturing a momentum-driven CAGR premium. The final output provides direct confirmation of the research results, including CAGR, maximum drawdown, and the exact count of rebalancing interventions required to maintain the mandate.
The code is provided for educational and research purposes only.