I was hoping someone with better skills than myself could code up an rotational strategy based on the SPDR sector ETFs that would involve holding the top 3(or 2 or 1) performing finds based on the last (x) days(20 for example). IF all of the funds had a negative return on the eval period then just go to cash. IF there is already something similar that I can clone, please point me towards it. Thanks,
Hi JM R,
There is something pretty similar to this posted on here (https://www.quantopian.com/posts/mebane-faber-relative-strength-strategy-with-ma-rule).
Quick suggestions to fit it to your strategy:
- Change context.top_k to whatever number of stocks you want to hold
- Change the window_length of batch_transform to your liking (20 in this case)
The strategy does account for absolute momentum, so it will just go to cash if there's negative performance
-Seong
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.