Five-Day Rolling Rebalancing for an AI Stock Strategy
Summary
The document outlines a daily stock rotation schedule: buy ten stocks at the open, hold each cohort for five days, and sell it at the close on its fifth day. It allocates capital in five equal portions, investing one portion in each day’s new cohort. From the fifth day onward, the strategy buys a new group while closing the group purchased five days earlier, keeping the portfolio fully invested at the start of the day and freeing one portion of capital after the sale.
The stated motivation is to reduce sensitivity of backtest results to the chosen start date and to increase the number of observations, which the author suggests may make simulated returns more representative of live trading. The document gives the schedule as an illustrative method, but provides no backtest results, selection rules for the ten stocks, transaction cost assumptions, or implementation details. Its claims about improved representativeness are therefore not supported by evidence in the text.
Key ideas
- The strategy buys a new cohort of ten stocks each trading day.
- Each cohort is held for five days, with purchases at the open and sales at the close.
- Capital is divided into five portions, with one portion assigned to each daily cohort.
- Once the schedule is filled, each day’s sale releases capital for the next cohort.
- The author presents smoother start-date behavior as a motivation, but gives no test results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.