Construct portfolio by adding stocks daily and dropping them after certain period (a month)

SAM_22 — Fri, 29 Mar 2019 18:28:40 GMT

Hello, i would like to form transaction based calendar time portfolios. The portfolios are formed by mimicking daily trades (adding and dropping stocks after certain holding period, e.g. a month).

I have trading data with many buy and sell trades in a day. If i understand it correctly, this is how daily portfolios are constructed:

Day 1 (Jan 1): calculate the average return of stocks bought by investors in the first day.

Day 2 (Jan 2): calculate the average return of stocks bought in day 1&2.

Day 3 (Jan 3): calculate the average return of stocks bought in day 1, 2 & 3.

Day 4 (Jan 4): and so on.

After a month (e.g. Feb 1), all the stocks from day 1 must be dropped, while adding new stocks from today's trade.

On the next day, stocks from Feb 2 are dropped, while adding new ones from this day.

On Feb 3, stocks from Jan 3 are dropped, while adding new ones from this day. and so on;

The results should be like this;

Date	Portfolios	Stocks bought	portfolio return
Jan-01	Portfolio day 1	stock 1, stock 2, stock 3	average return (stock 1,2&3)
Jan-02	Portfolio day 2	stock 4, stock 5, stock 6	average return (stock 1,2,3,4,5,&6)
Jan-03	Portfolio day 3	stock 7, stock 8, stock 9	average return (stock 1,2,3,4,5,6,7,8&9)
	.		continue wih the same pattern
	.		.
	.		.
After one month (assuming 20 trading days in a month)

Feb-01	Portfolio day 21 (assuming 20 trading days in a month)	stock 10, stock 11, stock 12	average return (stock 4,5,6,7,8,9,10,11&12) stocks 1,2,&3 are dropped
Feb-02	Portfolio day 22	stock 13, stock 14, stock 15	average return (stock 7,8,9,10,11,12,13,14&15) stocks 4,5,&6 are dropped
Feb-03	Portfolio day 23	stock 16, stock 17, stock 18	average return (stock 10,11,12,13,14,15,16,17,&18) stocks 7,8,&9 are dropped
			and so on

So far i only know the codes for regular moving average, and do not know how to do it like this.

Any help would be greatly appreciated. Thank you in Advance!

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)

Satish_Parida — Sat, 30 Mar 2019 06:28:30 GMT

Can you post how the data looks like, using data step datalines. Then it would be easy for us to provide some sort of result.

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)

SAM_22 — Sat, 30 Mar 2019 07:45:27 GMT

Thanks for replying. I attached my data sample:

I just want to average returns daily.

day 1: average returns in day 1

day 2: average returns in day 1&2;

day 3: average returns in day 1,2&3;

but after being hold for a month, the stocks must be dropped, just like the way i explained before.

It doesnt need to be exact jan 1 to feb 1 it can be interval like 20 or 30 days

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)

andreas_lds — Sat, 30 Mar 2019 12:37:59 GMT

Please post the data in usable form, an excel-file is useless.

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Construct portfolio by adding stocks daily and dropping them after certain period (a month)

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)

Re: Construct portfolio by adding stocks daily and dropping them after certain period (a month)