A strategy is a method to buy and sell stocks based on set of clear criteria. For example, if every year you buy the 20 European stocks with the highest market capitalization (and sell the ones which no longer belong to the top 20) that is a proper strategy. You could also decide to buy all stocks that start with the letter “A” in the first year, then all those that start with the letter “B” in the following year etc. - that, too, would be a consistent strategy! It would probably take some time to find out whether or not these strategies yield decent returns. Using historical financial data you could test how well these strategies would have worked in the past.
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