The model's goal is to pick the most bullish stocks from within the Dow Jones Industrial Average with the expectation that they will outperform the average (the Dow Index) within the next 21 trading days.
The model scans daily for new constituents based on a Nueravest AI model. As long as there is cash available and new positions are identified, the positions are equally allocated. Positions are held as long as they continue to satisfy the conditional entry criteria.
The model utilizes a Chain Classifier with a rolling training window. This allows the strategy to adjust how it analyzes input features through time. The intention for the strategy is to rely on the strength of the US economy while pursuing entry opportunities based on relative technical strength and fundamental factors. The portfolio is re-optimized monthly to achieve a maximum Sharpe Ratio. This optimization occurs in two ways.