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- Manlobbi
Investment Strategies / Mechanical Investing
No. of Recommendations: 1
If I want to create a "custom universe" in GTR1 that simulates equal-weight NASDAQ, is there a handy way to do it?
For instance, I believe the following simulates TQQQ fairly well when used as a custom universe: {!N1TL3}, and it looks like it is backtestable to 12.14.1972.
Would anyone have a corresponding entry for QQEW?
No. of Recommendations: 4
{!N1TE} simulates the equal-weight Nasdaq 100.
Baltassar
No. of Recommendations: 5
No. of Recommendations: 2
NDXE is equal weight.
No. of Recommendations: 5
A somewhat different approach to reproducing the equal-weight NASDAQ 100:
https://gtr1.net/2013/?~Equal%20Weight%20NASDAQ%20...A slight improvement would be to use a hold of 63 (the Nasdaq equal weight is rebalanced quarterly).
When I wanted to simulate a history of the port balance to backfill QQEW, I used the median run of the 63.
Interesting to note that Nasdaq 100 membership is top 100 HTD 105 by market cap.
But that is already taken into account, hidden inside the [nas100.a = 1] step.
Jim
No. of Recommendations: 0
Thank you Baltassar!
Would you or anyone else know if there's a way to test Berkshire Hathaway (or some other individual stock) to see how it has behaved under different BCC conditions?
No. of Recommendations: 4
It is not possible at the moment to test individual stock or fund tickers in GTR1. As I understand it, this is because it has lost the ability to retrieve prices from Yahoo.
You can, however, print out a daily list of BCC values since 1927, and put them alongside a list of daily closing prices for BRK or whatever, then do the test by hand. Takes a few minutes, but perfectly feasible.
Baltassar
