This Portfolio Balancing Algorithm uses Mean Variance Analysis from Markowitz Portfolio Theory to Balance equities with negative and positive beta relative to the SPY.
My next goal is to dynamically choose the equities with ML algorithms.
I plan to filter the top 100 largest cap stocks, then use previous market, sentiment, and economic data provided by quandl to train a model to predict alpha for a set rebalance period, and finally, take the top 10 alpha equities and balance them with mean variance analysis.
Advice appreciated.