I am very confused and can't figure this out.
I wish to implement a very simple strategy backtest on a given basket of stocks.
It is the following -
1. Select the top 15 stocks in terms of 6 month return at the beginning of each month to buy.
2. Must have +200k in volume at time of purchase.
3. Must be over $2 at time of purchase.
4. Hold for one month at sell those not in top 15 and replace the next month.
(I have an additional timing system and allocation rules which I will overlay on this, but I am basically seeking is what were the top 15 momentum stocks on the market for each month as far back as possible)
Thanks to anyone who can help, Simon
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