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simple Short-Term Reversal strategy implementation

Hi!

I would like to implement this simple trading strategy , and possibly building a factor to analyze in alphalens out of it.

Simple trading strategy The investment universe consists of the 100
biggest companies by market capitalization. The investor goes long on
the ten stocks with the lowest performance in the previous week and
goes short on the ten stocks with the greatest performance of the
prior month. The portfolio is rebalanced weekly.

This is where I am at the moment, I've built this .pynb notebook trying to analyze it as a factor, but I'm getting lost.
Can anyone help me?

thanks

1 response

this is the link to document presenting the strategy:

enter link description here