Shared conversation on NexusTrade
Algorithmic Trading Strategy: Monthly Rebalance with Dynamic Stock Filtering
Creation and backtesting of a monthly rebalancing strategy focused on MAG7, GS, JPM, BRK-B, and Costco, filtering stocks based on SMA, 52-week low proximity, and RSI conditions. Backtests include Covid period, past 5 years, last year, and year-to-date.
Aurora: Hello. Would you like to create a new algorithmic trading strategy?
User: Create a rebalance strategy between the MAG7, GS, JPM, BRK-B, and Costsco. Rebalance at equal weight every month, but filter to only stocks that have between 1 to 2 of these conditions: - Their price is greater than their 30 day SMA - Their price is close to its 52 week low - Their RSI is less than 28 and SPY's RSI is greater than 33
Aurora: To clarify, when you say "close to its 52 week low", how close are you thinking? For example, would you like the current price to be within 5% of its 52-week low?
User: yes
Aurora: **Description**: This portfolio implements a monthly rebalancing strategy focused on a selection of prominent stocks, including the MAG7 (Apple, Microsoft, Alphabet/Google, Amazon, Meta/Facebook, NVIDIA, and Tesla), Goldman Sachs (GS), JPMorgan Chase (JPM), Berkshire Hathaway (BRK-B), and Costco (COST). The strategy rebalances the portfolio at equal weights every month, but it filters the stocks to include only those that meet between one to two of the following conditions: (1) their price is greater than their 30-day Simple Moving Average (SMA), (2) their price is within 5% of its 52-week low, and (3) their Relative Strength Index (RSI) is less than 28 while the RSI of SPY is greater than 33. This approach aims to balance momentum, value, and market conditions in the stock selection process. Note that while the strategy is dynamically set to select only the stocks meeting the specified criteria, the full list of stocks is provided for runtime evaluation, allowing the backend to determine the eligible stocks based on current data. The portfolio starts with an initial value of $10,000. For clarity, the complete list of stocks from which the selection is made includes: AAPL, MSFT, G…
User: backtest from 03/24/2024 to now
User: Backtest across Covid, across the past 5 years, all of last year, and year-to-date