Hey there, I am very new to programming but am tasked with backtesting a very simple strategy right now that I think Quantopian will help with rather than spending hours with Excel. Basically the strategy goes like this: On January 2nd, 2019, take the top 50 performing stocks in the S&P 500 from 2018 (by percentage gain) and allocate an equal amount of each in the portfolio (each stock will have a 2% weight in the new portfolio). This strategy needs to be backtested as far as possible. Any ideas??
So, the strategy is to rebalance the first of every year. The portfolio should contain the top 50 best performing stocks in the S&P500 from the previous year. Performance is measured as the total price gain (in percent including dividends) from Jan 1 to Dec 31 of the previous year. Each stock is equally weighted (ie 2%). Is that correct?
Here's something that's close. There isn't a good way to get the exact S&P500 but this takes the 500 largest companies by market cap (very close to the S&P500). Also, there isn't an easy way to get the exact returns from Jan 1. This uses a window of 252 trading days which is typically within a day of a full year (again very close).
Look at the record variable which shows the number of stocks. A lot get delisted during the year (the amount just goes into cash) which was a bit of a surprise. A lot of mergers and acquisitions I guess.
Depends upon where one starts this strategy but looks like over the past 15 years it would have returned only about half of the SP500.
Dan, thanks so much. That is a great start for me and I appreciate it. It's too bad that there isn't a way to pull up the S&P. Regardless, is there any way to pull the top performers from Q500 from the previous 252 days, rather than pull them by market cap? That is the point of the "momentum" strategy (I know - terrible strategy - but I was tasked into backtesting it:(
you can pull the sp500 with my trick: https://www.quantopian.com/posts/sp500-filter-from-2000-to-2018, just need to update it in the future. Its not the prettiest way as one could do a delta version which would be easier to maintain
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