You start to manage 5 million dollars fund on Jan 02, 2018 You have a strategy to manage the fund. 1. On Jan 02 2018. you split the $5m into 5 $1m, and use them to buy 5 stocks from the 10 stocks. For example, IBM close price was $154.25. With $1 m, you can buy max 6482 shares with cost $999848.5 with $151.5 cash left. You decided to spend $1 m on each of ['IBM', 'MSFI", 'GOOG', 'AAPL', 'AMZN'] respectively and keep the rest cash into a zero-interest cash account. On Jan 02 2018, your mark to market value (MTM) is $5m if combining all stocks value and cash. Your holdings of stocks and cach account is your portfolio. 5 M TM ' = cash' + z Sil'iiaires,'C X ClosePrice; 15:1 1. Your trading strategy is "5 days rebalancing of buying low". Here is how it works. You keep your portfolio unchanged until 5 days later on Jan 09 2018. Now you want to re-check the market and adjust your portfolio. You will compute the "Adj Close" price changes from Jan 02 to Jan 09, and find the 5 stocks whose "Adj Close\" prices dropped the most in terms of percentage. You sell all current holdings on Jan 09 "Close" prices to convert your portfolio to all cash. Then immediately split your cash, including your cash account, to 5 equal parts to buy the 5 stocks that dropped the most from Jan 02 to Jan 09 on 'Adj Close' prices. You always buy the max shares of stock on the "Close" price and keep the rest cash in cash account. Now the portfolio should be different from 5 days ago. This operation is called "rebalancing". Keep in mind, the MTM will change every day, even when your portfolio holdings don't change, because the stock prices change