Sorry everyone. I didn’t really mean this to be a ready-baked model and there is some concern over liquidity and costs. So I made a couple more changes to the port.
- Modified the universe so that the easy to trade US has a minimum of $2 per share instead of $3.
- I added a trading rule so that $100,000 per day of turnover to buy is required
- I increased the cap minimum and the maximum. $50mm to $500mm. So no nano and some small caps
- A trading rule I like to cut losers and take profits. If the stock return is more than 30% of the bench, run the stock back through the buy rules (trigger a possible sell but it can be held if it still is a highly ranked stock and meets all the buy criteria). Same if stock is 20% below bench from time you bought.
- Execution is average of high, low, close etc. etc.
- Variable slippage
To be honest, this likely isn’t the ranking system I would use. Some of the formulas seem overly specific ranking in the industry only or will just result in lots of NAs. This was just meant to show how you can take an idea and build on it.
