Hello, I'm trying to figure out how to run a momentum strategy where each week of the month, one quarter of the portfolio gets rebalanced. In essence:
List of Stocks = A, B, C, D
Month 1, Week 1: Calculate stock with highest momentum for past 30 days and buy with 25% of portfolio balance
Month 1, Week 2: Calculate stock with highest momentum for past 30 days and buy with 25% of portfolio balance
Month 1 Week 3: Calculate stock with highest momentum for past 30 days and buy with 25% of portfolio balance
Month 1 Week 4: Calculate stock with highest momentum for past 30 days and buy with 25% of portfolio balance
Month 2 Week 1: Sell Month 1, Week 1 holding and buy stock with highest momentum for past 30 days and buy with 25% of portfolio
Month 2 Week 2: Sell Month 1, Week 2 holding and buy stock with highest momentum for past 30 days and buy with 25% of portfolio
etc...
I see multiple references to rebalancing on multiple timeframes (beginning and end of day, multiple times per month, etc...), but I'm stumped on how to only swap out a set part of the portfolio on a given week.
Any thoughts would be appreciated.
Thanks,
Nathan