Backtest a stock market trading strategy using Google Spreadsheets
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I need someone to backtest the following trading strategy in google drive spreadsheets (which is free to use, basically cloud excel with a few less functions.) This will take some stock market knowledge, and sorting/inputting a lot of data (though I'm sure a decent amount can be copy/pasted.)
Strategy: Short Term Reversal
If a stock has relatively low (high) returns over the past month or week, it can earn positive (negative) abnormal returns in the following month or week
Standard reversal strategy using the 500 and 100 largest cap U.S. stocks. More specifically, a reversal investment strategy that is long in the 20 percent stocks with the lowest one-week returns and short in the 20 percent with the highest returns
A slightly more sophisticated approach (in addition to approach 1) that waits to sell (buy back) stocks until they are ranked among the 50 percent of winner (loser) stocks ranked on past return. These stocks are then replaced by the stocks with the lowest (highest) past-week return at that time and not yet included in the portfolio.
Your job: For EACH approach determine the basis points profit or loss per week overall and for each individual stock that would be traded in each approach. Show the entry and exit points for each qualifying stock based on the stock's open or closing prices.
Also backtest approach 1 and 2's weekly profits for the last year. Add/change any tweaks to the strategy. This will require the freelancer to find a site with data for the weekly returns of the stocks. Yahoo finance has opening/closing data, but if you find something better that's fine as well.
- The New York Times
- Wall Street Journal
- Times Online