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Could someone please give me some suggestions on how I might
accomplish the following:
- Establish a basket of stocks (I can do this)
- Review the basket periodically and determine which meet certain
criteria (I can do this)
- Buy all stocks in the basket that meet the criteria in equal weights
using all available cash (This I can do)
- Somtimes there may be 20 and sometimes there may be 0. However,
with every periodic review I need to rebalance as required. So, for
example, if stocks meeting the criteria went down from 5 to 4 I would
need to purchase additional shares of the 4 remaining on the list.
Alternatively I could go from 4 to 5 and need to trim the prior 4 to
add the fifth stock. (This I can't figure out how to code.)
Also, would you even use rotational trading for this because you could
own anywhere from zero stocks to every stock on the list depending on
which met/didn't meet the criterion? I suppose I could force sell
everything and simply repurchase each period, but I'd prefer to
backtest the way it would actually be implemented.
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