My Project should be fairly easy for someone familiar with the stock market (basic knowledge) and knowledgeable in R. I will describe the best I can but questions are always welcomed.
I download a dual momentum Rank functions in R . The files are public and can be found here: Https://[login to view URL] You can review the files to better understand the scope of work required.
This strategy rank a series of funds or stocks and the first of the month the strategy buys the top N numbers of funds. Basically a rebalance occurs every month.
I would like someone to make the following modifications to the strategy:
1. At this moment the strategy buy a fixed amount of shares per fund (IE 1,000 shares per trade). I would like to change the fixed amount of shares for a % amount of the total equity( as an example : if the strategy will buy the first 2 Funds I want to expend 75% of available funds, so it will buy 35% percent of the equity for two funds, and the rest 25% will remain in cash)
2. I would like to incorporate two “timing” signals:
a. The first one – If the SPY Close > SMA (Periods A) – Market conditions are favorable and I would like to continue evaluating and ranking the funds, If not just stay in cash or bonds. I would like to been able to use or not use this option. Can be as simple as commented in and out the portion of code.
b. The second “timing” signal will be to buy the selected ranked fund I want to buy that ranked/selected N fund if the fund Close > SMA(Periods B). If condition is false evaluate the next ranked fund.
Those 2 Periods of SMA’s (Periods A, Periods B) I want to be able to optimize them. IE from 5-20.
3. As of now the strategy rebalance every month, I would like to have the option to keep the fund for more time, until it drops below the N rank level. I would like to been able to use or not use this option. Can be as simple as commented in or out the portion of code. I would like to compare if hold the positions longer instead of rebalance every month will be rewarded.
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