Here we'll try to implement one of many very popular hedge fund strategies by creating a portfolio of an ETF and it's underlying stocks. I am going to create an algorithm that tracks every single stock from the ETF and manages portfolio by moving capital between ETF itself and underlying stocks. The main trigger of buying/selling stocks is based on Relative Strength Index (RSI) indicator.
- Dividends. The model has to calculate dividends properly according to ex, record dates etc
- Reinvestment capital. Cash balance is recalculated every single day and being used for every next trade
- Transaction fees. Adjustable parameter.
- Management fees. Adjustable parameter. Takes a certain % of the portfolio every year.
- RSI signals. Based on adjustable parameters.
- Holdings rebalancing. Create an algorithm to rebalance the weights as shares are being bought/sold
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