Ranking the Titans 500 High-Volume Stocks Back-Tested for 2022-2025 Efficacy

Trade Setup Confirmation

To ensure accuracy in the back-test design, please confirm the following parameters:

Trade Timing

• Option A: Close-to-close (positions opened at the close and exited at the next day’s close).
• Option B: Next-day open (positions opened at the close and exited at the next day’s open).
• Preferred choice: [Confirm selection].

Universe Definition

• Option A: All U.S.-listed stocks (including delisted names, ETPs, and non-equity instruments).
• Option B: Filtered universe (e.g., NYSE + NASDAQ common shares, excluding ETPs, ETFs, and delisted names).
• Preferred choice: [Confirm selection].

Transaction Costs/Slippage

• Option A: Exclude costs (idealized back-test).
• Option B: Include round-trip costs (e.g., $0.01 per share, 0.05% slippage, or user-defined assumptions).
• Preferred choice: [Confirm selection].

Weighting Scheme

• Option A: Equal weight (each of the top 500 names receives 0.2% portfolio allocation).
• Option B: Volume-weighted or market-cap-weighted (adjust allocation based on daily volume or market cap).
• Preferred choice: [Confirm selection].

Benchmark Inclusion

• Option A: Include a benchmark (e.g., SPY, VOO, or a broad market index).
• Option B: No benchmark (results reported in isolation).
• Preferred choice: [Confirm selection].

Next Steps

Once confirmed, the workflow will proceed as follows:
1. Daily Ranking: Use end-of-day trading volume to rank the universe.
2. Portfolio Construction: Select the top 500 names and allocate per the weighting scheme.
3. Execution: Execute trades at the close (or next-day open, per confirmed timing).
4. Performance Calculation: Aggregate returns, apply transaction costs (if confirmed), and compare to benchmark (if confirmed).
5. Output: Deliver daily/weekly/monthly performance metrics and a summary of the strategy’s efficacy from 1 Jan 2022 to 17 Oct 2025.

Please respond with your confirmed choices for each parameter to finalize the back-test setup.