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Hey,
I'm trying to do a simple system, and I'm not sure how to accomplish it.
- Look at the returns for the prior day
- Buy the top N stocks that had the lowest returns for the prior day
- Sell (short) the top N stock that had the highest returns for the
prior day
- Buy (Sell/Short) the open, Sell (Buy/Cover) the close
I've tried to set this up with the rotational strategy and can't get
it work - it holds positions more than one day.
Any help greatly appreciated!
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