Trades momentum for 9 different stocks in 9 different industries and 1 equity index (SPY).
Symbols traded below:
AAPL: Apple (Consumer Goods) AAL: American Airlines (Airlines) F: Ford Motors (Auto Manufacturers) HD: Home Depot (Consumer Durables) INTC: Intel Corporation (Semis) JPM: JP Morgan Chase (Retail & Institutional Banking) META: Meta Platforms (Tech) SPY: S&P 500 (Equity Index) V: Visa (Financials) XOM: Exxon Mobil (Energy)
Equal portfolio weighting for now but eventually will weight based off abs(% spread in short and long EMA) / standard deviation.
[1, 4, 5, 6, 7, 9, 10] # spreads
[1, 2, 3, 5 , 9, 8, 10] # standard deviations
["SPY", "META", "F", "AAPL", "INTC", "XOM", "JPM", "HD", "V", "AAL"] #symbols
[9.52, 19.05, 16.19, 11.43, 7.62, 10.48, 9.52] # portfolio weights
200% margin
Long SPY for $9,400 for $100,000 net liquidating value
9400/100000 = 9.40%
increase allocation => 9.52%
100,000 +- 1,000 90,000 +- 900 110,000 +- 1,100