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Hi,
as described in Greenblatt's the little book that beats the market, I want to:
I want to buy the top 2 securities based on fundamental data (P/E, ROE) each month.
The tricky part is to keep a security one year.
Jan 2000: Buy 2 stocks based on fine criteria (ROE e.g.)
Feb 2000: Buy 2 stocks based on fine criteria (ROE e.g.)
….
Jan 2001: sell stocks bough Jan 2000, buy 2 stocks based on fine criteria (ROE e.g.)
Right now the universe does not have a defined length. Ideally, I would always add 2 securities that are not already present.
I want to do this in the universe selection, because later the universe should be tilted towards long, and then I want to do technical analysis to do some risk managing / trend following.
Do you have any suggestions?
Fred Painchaud
Hi Jens,
Let me rephrase to see if we are on the same page:
Jan 2000: Buy 2 stocks not already owned based on fine criteria (ROE e.g.)
Feb 2000: Buy 2 stocks not already owned based on fine criteria (ROE e.g.)
….
Jan 2001: sell stocks bough Jan 2000, buy 2 stocks not already owned (and could these be one of or both ones you just sold?) based on fine criteria (ROE e.g.)
So, is that what you want to do?
If so, you would need to make sure the selected stocks are not already in your active stocks:
self.symbols = [i.Symbol for i in sortedPERatio[:self._NumStocksInPortfolio] if i not in self.ActiveSecurities]
For my last question, if you do not want to maybe pick a stock you just sold, you would need to sell them after the selection or you would need to put them in a struct so you can remember which they were and add a condition so they are not selected back:
self.symbols = [i.Symbol for i in sortedPERatio[:self._NumStocksInPortfolio] if i not in self.ActiveSecurities and i not in self._lastTwoStockSold]
Something along those lines you know…
Fred
Jens.
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