Model: Utilities Long Only Adaptive
The portfolio's goal is to track the Utilities Sector Select SPDR ETF (XLU) aiming to achieve higher Sharpe Ratio through active rebalancing.
The Utilities Live portfolio consists securities from the Russell 1000 that fall under the GICs code of Utilities. The portfolio is predicated on an event study model set to outperform the XLU. In addition, using Lucena's machine learning feature selection and classifiers, the portfolio selects constituents set to outperform the benchmark XLU in the next 21 days (one month of trading).
Rebalancing trades are executed every day as long as there is cash available for new entrants. In addition, there is a trailing stop loss per security based on 63/ATR @ 3.
If the price drops by at least 3 times the average daily range as measured by the past 3 months.