I need someone to code the following rules into python for use on the quantopian platform
Begin with 13 predetermined ETFS
Rules:
-Trade Monthly (with limits)
-Rebalance Monthly
-At end of month Calculate the average of the 1, 3, 6, and 12 month returns for each etf.
-Invest in the funds with the top 6 highest averages, if current price is greater then SMA200 (200 day simple moving average), otherwise hold cash for that portion.
Verbal description:
This portfolio takes 13 ETFs and ranks then by the average of the return over the last 1, 3, 6, and 12 months. Then an equal weighted portfolio of the top 6 ranked asset classes is formed. The asset classes are only included if they are above their 200-day SMA. Otherwise, that portion of the portfolio stays in cash. This trades and re-balances monthly.
I have coded 60% of this and backtested the default algorithm, and in my day job I keep inventing reason to code complex python stuff (Weibulls, this that). Your descriptions is very clear. The only thing from trading strategy standpoint, wouldn't you want to buy stuff below SMA-200?
But you are the boss, I will deliver backtested code to you sooner than 3 days and I can lower my bid.
Hi,
I have written Quantopian scripts for backtesting using MA crosses. I am also an experienced python programmer. I can write the script as you need. If you would like to discuss this, please let me know.
Regards
Sourabh