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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
SetStartDateandSetEndDatedates to change the period of backtest. -
Activate the rebalancing mechanism to ensure the portfolio goes back to equal weighting every so often. The
rebalancingParamis 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 dorebalancingParam = 30
Do you have a strategy of your own that you would like to backtest and automate? Learn about our consulting services and get in touch at admin@innoquantivity.com
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