Long Only - Small Caps And Low PE Ratio - Dynamic Universe

Long Only - Small Caps And Low PE Ratio - Dynamic Universe

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This is an implementation of a classic factor investing strategy idea that attempts to exploit the combination of the Small Cap and Low P/E Ratio anomalies.

Universe: At the start of every year, find Small Cap stocks with P/E Ratio in the 1st percentile.

Alpha: Go Long for a year.

Portfolio: Equally Weighted portfolio (investing the same amounts in each security).

Execution: Immediate Execution with Market Orders.

Ideas to try (user-defined inputs in the main.py script):

  • Play with the SetStartDate and SetEndDate dates to change the period of backtest.
  • Activate the rebalancing mechanism to ensure the portfolio goes back to equal weighting every so often. The rebalancingParam is set to False by default, but it can be set to a discretionary number of days to rebalance the portfolio. For instance, if you want to rebalance every 30 days simply do rebalancingParam = 30
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