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Yearly rebalance with quality and value investing
Minh
edited Jun 21, 2016

May be of use for the busy investor. Very simple.

-Rebalance yearly for less tax on capital gains and maintenance

-Screen stocks based on:
--top 50% by EBITDA/EV
--top 20% by ROIC
--required liquidity ratios and dollar volumes

-Pick the remaining stocks with the lowest ulcer index

-Allocate using minimum variance optimization

-Switch to long term treasuries and gold when markets decline. Gold to hedge inflation and treasuries to hedge deflation.

Result:
Not much better than timing with the SPY. Perhaps tweak fundamental factors?

Warning:
Backtest does not include slippage and transaction costs.

4 responses
Minh
Jun 21, 2016

Here's the notebook. The algorithm seems to consistently invests in companies with competitive advantages.

Fed D
Dec 30, 2016

Minh, interesting algo. I tried it with the current date and I received the following message. TypeError: Cannot cast ufunc add output from dtype('float64') to dtype('int64') with casting rule 'same_kind'
... USER ALGORITHM:583, in get_k
x0 +=1.0/k.size

Obviusly I am a beginner with python. Can you help with that?

Luca
Dec 30, 2016

Make line 583 like this:

x0 = x0 + 1.0/k.size
Fed D
Dec 30, 2016

thanks!!!!

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