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newby

Hi!
I am new to coding and algo.
I just want to start with a simple momentum strategy 12m and go Long 20 stocks equal weight from total us market available at quantopian.
How would I do that?
Thanks,
Paul

4 responses

rebalanced monthly

6 months lookback, 3 months Holding period. Rebalancing first trading day of 02/05/08/22

Would be nice to exclude the most recent month from lookback period. Also a trend filter could be added in order to avoid the big drawdown of 62% in 2008

I did not design the algo. Found it in a post and adapted it accordingly