Ok, here is my back test of Gary Antonucci's GEM strategy. I selected EEM SPY EFA and SHY ETFS due to long histories.
It is not exactly beating the SPY long term but it has dodged some nasty drawdowns.
I borrowed the code from another user, who sells everything every month and often ends up buying the same etf back. I not sure how to fix that with this object model. I am a python newbie.
Sorry, my code was really bad. I've learned a lot since. For consolation, here is more efficient code. Believe it or not, it holds the same portfolio. Q has data starting 2002, so any code that looks back a year should start at 2003. If you start my new code and your code at 2003, they are equivalent.
Again, I apologize for my poor initial code. I have no doubt that I will regret publishing my newest code in the future as I learn more about Python and finance :P
I hope this algorithm was a useful learning experience for you though!
@Novice TAI Thanks for the code. Just wondering. Looks like it is possible to buy a stock with negative change over last year. i am correct? Also, i suggest we get away from bonds as they have had wonderful non repeatable alpha. We should go to cash if nothing has positive returns. Trouble is, i can't yet figure out how to do this in python. Any suggestion?
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