Betting against beta:
- Market beta for each stock is estimated using daily returns over the past year.
- The market return is the value-weighted return of all stocks in the sample excluding stocks with a price below $5 and is rebalanced once a month.
- The strategy longs 10 stocks with high beta.
- set_commission(commission.PerShare(cost = 0.0035, min_trade_cost = 0.35))
- set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))