Backtesting a Fixed-Start Free-Float Market-Cap Portfolio

Summary

The document outlines a proposed historical equity backtest that starts with a total-market portfolio weighted by free-float market capitalization in a chosen year. It would then track that initial set of holdings over later years, reinvesting dividends according to the existing weights. Because the portfolio would not add companies issued after its start date, it is intended to differ from a continuously updated total-market index. The author also wants to test whether applying technical analysis to the starting weights changes performance, with annual weight updates as a possible later variation.

The request is focused on obtaining sufficiently long historical data at low resolution and doing so without paying for a data source; the author reports that yfinance did not provide enough history. No data source, implementation, backtest results, or evaluation of the proposed weighting changes is included. The portfolio design therefore remains a research question, and the document does not address survivorship bias, delistings, corporate actions beyond dividends, transaction costs, or how free-float capitalization would be reconstructed historically.

Key ideas

• The proposed backtest holds a free-float market-cap-weighted portfolio formed in a chosen starting year.
• Dividends would be reinvested using the portfolio's existing weights.
• The portfolio would exclude companies that enter the market after the initial formation date.
• Technical analysis could be tested for changing initial weights or updating weights annually.
• The document asks about long-history, low-resolution data access but provides no source or results.

Tags

# Free Low-Resolution Backtesting


# Free Low-Resolution Backtesting












Basically, I want to start with something relatively simple: Create a total market free-float market cap portfolio in year X and check its performance over the years, where dividends are reinvested using the existing weights. (The difference between this and total market indices is that you don't buy shares of new companies issued after year X).

After that, I want to use some light technical analysis in adjusting the initial weights and test how that affects performance. (Maybe after that also do a yearly weights update based on technical analysis)

Do you happen to know of a way to do this for free? Since I only require low-resolution data I thought it might be possible. I tried using yfinance but there wasn't enough data.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.