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Asset Allocation: Equal Weight Rebalanced Monthly

by QuantShare, 2727 days ago
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This asset allocation strategy is implemented using a money management script that rebalances your portfolio monthly and adjusts the open positions by making sure they are equally weighted.

At the beginning of a new month (Monday), this asset allocation strategy loops through open positions, calculates the ideal size (total equity divided by number of allowed positions) then scale-in and scale-out open position to ensure that they all have an equal weight. For each open trade, the difference of the current equity and the expected equity is calculated. This value is then divided by the current security price to get the number of shares that must be added or subtracted from the position.

For long positions, if the number of shares is negative and then an order (at the open of tomorrow) to buy these shares is initiated. If that number is positive then an order to short/sell these shares is initiated. The opposite logic is applied to short positions.

The money management script can be applied to long and short trading systems and to any type of assets (Stocks, ETFs, futures...)


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Type: Advanced Money Management

Object ID: 1137


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Technical Analysis


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.