**Scenario 1 – Simple Sim:**- S&P 500 only
- Go long when a 50 day moving average crosses above a 100 day moving average
- Close position when it crosses back down

**Purpose of scenario 1:**- Intro to python simulation

**Scenario 2:**- Long only equities
- Holding period = long term capital gains
- Low correlation to equity strategies
- Downside protection

**Purpose of scenario 2:**- Achieve near zero or negative correlation
- Scale to 100s of millions
- Show modest couple of percent per year
- Improve diversification & enhance overall performance

**Scenario 3:**- Stock falls four standard deviations below is 60 day linear regression
- Expectation is that stock will bounce two standard deviations up
- Test variations of the above:
- Change linear regression to 30 or 90 days
- Change bounce to 3 or 5 standard deviations up

**Scenario 4:**- Go long Apple if price closes over its 100 day moving average. If not, be in cash.

**Purpose of scenario 4:**- Simple backtest to show results and output in Zipline

**Scenario 5:**- Look at stocks the 30 stocks that make up the Dow Jones Industrial Average.
- Check each stock to see if the price is below or above the it’s 100 day moving average.
- Give each stock a 1/30 allocation.
- If all stocks are above it’s 100 day moving avg then the portfolio will have a 100% allocation.

**Scenario 6:**- Look at socks the 30 stocks that make up the Dow Jones Industrial Average.
- Measure the return in the past month for each stock.
- Sort from best to worst performance.
- Buy the top 10 and give each an equal wait of 10%

**Scenario 7 – Momentum:**- Trade & rebalance monthly

- Calculate momentum slope using 125 days
- The shorter the momentum period the more extreme the momentum score will be
- Short term events are extrapolated on a yearly basis which can result in extreme numbers

- The shorter the momentum period the more extreme the momentum score will be
- Select the top 30 stocks in the S&P 500
- If the stock has a momentum value higher than 40, we buy it. If not then we keep the calculated weight of that stock in cash
- Even if the stock falls out of the top 30 we will still hold as long has the momentum score stays above 40

- If the stock falls below the minimum required momentum value or if it leaves the index we sell

- If the stock has a momentum value higher than 40, we buy it. If not then we keep the calculated weight of that stock in cash
- Weights are calculated according to inverse volatility
- Volatility is calculated using 20 day standard deviation
- Trend filter is calculated base on 200 day average of the S&P Index
- If trend filter is positive, we are allowed to buy

- Minimum required momentum value is set to 40