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Algorithmic Trading Strategy: Top 100 Stocks Rebalancing (2021)
Explore algorithmic trading strategies using the top 100 stocks by market cap in 2021, including equal weight and market cap-weighted rebalancing, and dynamic adjustments for top performers.
Aurora: Hello. Would you like to create a new algorithmic trading strategy?
User: In 2021, what were the top 100 stocks by market cap
Aurora: Okay, I can summarize the results of the SQL query, focusing on the top 100 stocks by market capitalization in 2021. Here's a breakdown of the data: ### Top 100 Stocks by Market Cap (2021) | Ticker | Market Cap (USD) | Price Date | | :----- | :----------------- | :---------- | | [AAPL](https://nexustrade.io/stock/AAPL) | 2,963,222,636,670 | 2021-12-31 | | [MSFT](https://nexustrade.io/stock/MSFT) | 2,533,019,152,992 | 2021-12-31 | | [GOOG](https://nexustrade.io/stock/GOOG) | 1,926,437,348,800 | 2021-12-31 | | [AMZN](https://nexustrade.io/stock/AMZN) | 1,683,872,000,000 | 2021-12-31 | | [TSLA](https://nexustrade.io/stock/TSLA) | 1,054,666,440,000 | 2021-12-31 | | [META](https://nexustrade.io/stock/META) | 946,488,900,000 | 2021-12-31 | | [NVDA](https://nexustrade.io/stock/NVDA) | 735,250,000,000 | 2021-12-31 | | [TSM](https://nexustrade.io/stock/TSM) | 623,936,814,508 | 2021-12-31 | | [TM](https://nexustrade.io/stock/TM) | 562,881,338,711 | 2021-12-31 | | [UNH](https://nexustrade.io/stock/UNH) | 472,941,186,675 | 2021-12-31 | | [JPM](https://nexustrade.io/stock/JPM) | 471,455,455,000 | 2021-12-31 | | [V](https://nexustrade.io/stock/V) | 463,644,829,324 | 2021-12-31 | | [JNJ](https:/…
User: Create a strategy that rebalances all 100 of them at equal weight
Aurora: **Description**: This portfolio implements a rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy aims to maintain an equal weight allocation across all 100 stocks. The portfolio will rebalance to AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG at equal weights. **JSON**:
User: Create a strategy that rebalances all 100 of them weighted by their market cap
Aurora: **Description**: This portfolio implements a rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy aims to maintain a proportional allocation based on the market capitalization of each stock. The portfolio will rebalance to AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 50 by market cap at equal weights
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 50 stocks with the highest market capitalization, rebalancing them to maintain an equal weight allocation. The portfolio will rebalance to the top 50 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted equally. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 50 by market cap at weights relative to their market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 50 stocks with the highest market capitalization, rebalancing them to maintain weights relative to their market cap. The portfolio will rebalance to the top 50 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 25 by market cap at equal weights
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 25 stocks with the highest market capitalization, rebalancing them to maintain an equal weight allocation. The portfolio will rebalance to the top 25 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted equally. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 25 by market cap at weights relative to their market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 25 stocks with the highest market capitalization, rebalancing them to maintain weights relative to their market cap. The portfolio will rebalance to the top 25 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 10 by market cap at equal weights
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 10 stocks with the highest market capitalization, rebalancing them to maintain an equal weight allocation. The portfolio will rebalance to the top 10 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted equally. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 10 by market cap at weights relative to their market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 10 stocks with the highest market capitalization, rebalancing them to maintain weights relative to their market cap. The portfolio will rebalance to the top 10 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 5 by market cap at equal weights
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 5 stocks with the highest market capitalization, rebalancing them to maintain an equal weight allocation. The portfolio will rebalance to the top 5 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted equally. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 5 by market cap at weights relative to their market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 5 stocks with the highest market capitalization, rebalancing them to maintain weights relative to their market cap. The portfolio will rebalance to the top 5 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 2 by market cap at equal weights
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 2 stocks with the highest market capitalization, rebalancing them to maintain an equal weight allocation. The portfolio will rebalance to the top 2 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted equally. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances the top 2 by market cap at weights relative to their market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses on the 2 stocks with the highest market capitalization, rebalancing them to maintain weights relative to their market cap. The portfolio will rebalance to the top 2 stocks with highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG weighted by market cap. **JSON**:
User: Create a strategy that takes all 100 of these stocks, but dynamically rebalances to the #1 by market cap
Aurora: **Description**: This portfolio implements a dynamic rebalancing strategy for the top 100 stocks by market capitalization in 2021. The strategy focuses solely on the stock with the highest market capitalization, effectively concentrating the entire portfolio in that single asset. The portfolio will rebalance to the stock with the highest market cap from AAPL, MSFT, GOOG, AMZN, TSLA, META, NVDA, TSM, TM, UNH, JPM, V, JNJ, HD, WMT, PG, BAC, MA, PFE, DIS, AVGO, ACN, ADBE, CSCO, NFLX, LLY, NKE, TMO, XOM, KO, COST, ABT, PEP, ABBV, ORCL, DHR, CRM, CMCSA, CVX, PYPL, VZ, INTC, QCOM, MCD, WFC, MRK, UPS, LOW, LIN, BHP, INTU, AMD, TXN, MS, UNP, SCHW, PM, TMUS, HON, AMAT, MDT, BLK, BMY, SBUX, CVS, EL, T, AMT, GS, TTE, NOW, RTX, ISRG, AMGN, AXP, PLD, SE, BUD, IBM, C, BA, CHTR, ZTS, SPGI, TGT, ELV, CAT, JD, INFY, DE, MU, ADP, GE, ABNB, MMM, MRNA, SNOW, LRCX, SYK, and BKNG. **JSON**:
User: backtest all of these portfolios from 01/01/2022 to 03/18/2025
Aurora: I'll create a backtest configuration for all the market cap-based rebalancing strategies you've created, running from January 1, 2022 to March 18, 2025. Here's the configuration: This configuration will run a comprehensive backtest of all your market cap-based rebalancing strategies over the past three years, allowing you to compare: 1. Equal weight vs. market cap weighted allocations 2. Different portfolio concentration levels (all 100 stocks, top 50, top 25, top 10, top 5, top 2, and top 1) The results will help you determine which approach would have performed best during this period, balancing diversification against concentration in the largest companies.