Article: Momentum Asset Allocation Strategy (Source: Quantpedia)
Coding Model Used: GPT-4o
Flow Version: 1.0 - 3 agents - 3 tasks
Result: One compilation error—resolved through one-shot debugging by o3.
Discussion :
The automatically generated code replicates the performance profile and results of the original study (available here) with near-identical fidelity.
From a quantitative standpoint, both implementations show modest Sharpe Ratios (0.15 in our replication vs. 0.23 in the original research).
This test has been validated as successful, given that one of the foundational papers cited by Quantpedia (Mebane Faber's 2006 study) was implemented flawlessly in the video demonstration.
Development focuses now on code validation. To be continued…
S.M.L.