Backtesting rotation strategies with a changing mix of securities
Author: htg
Creation Date: 10/16/2011 1:03 PM
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htg

#1
Suppose I wanted to backtest a strategy such as the Weak Stock Rotation relative to the contents of a market index such as the NASDAQ 100.

How might I go about handling the, albeit gradual, change in the index membership?
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Eugene

#2
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