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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
- Play with the
SetEndDatedates 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 do
rebalancingParam = 30
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