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                                                   monthly rebalancing

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ivanf
2017-07-15 21:55:06


HI All,

I'm developing a simple strategy which ranks on sharpe and re balances monthly

here is some of the code
+++++++++++++++
rank1 = comp(sharpe(close,period), "rank"); // We optimized here the sharpe period

SetSimLongRank(-rank1);
buy = 1;
sell = month() != ref(month(),-1);

++++++++++++++

In the simulator this appears to work , however when I use the strat in a portfolio, after filling the initial 5 positions, when I run a get signals update, it immediately wants to sell these 5 and buy
the next 5 even though the month hasn't changed ( in fact the day is still the same)

If I change the -1 to just 1 , then the portfolio seems to behave itself, but the simulator shows its not buying on the first trading day of the new month , but a couple of trading days into the new month

Just wondering if I'm doing something obviously wrong to make the portfolio want to keep buying and selling the top 10 stocks ( its a 5 posn strat) everytime I hit the get signals button



thanks
Ivan



QuantShare
2017-07-16 08:02:33

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ref(xx, -1) should not be used in a portfolio because it references future bars.
What you need to do is just click on the get signals button at the end of each month.



ivanf
2017-07-17 21:57:53

  0

ok thanks , I will run manually on the first trading day of each month

can you suggest some code that I could put it so in the portfolio so it only generates the buy and sell orders it actually needs to perform for the rebalance ?

ie in the simulation, it sells all symbols each month and repurchases the ones that still fit the ranking plus new symbols if required, what I would actually like to see is that it only sells the ones that fall outside the ranking and purchases the new ones that fulfill the ranking.

thanks





QuantShare
2017-07-18 06:31:14

  0

You need to use the "rank1" variable in the buy/sell rules.
Example:
sell = rank1 < 10; // Sell a stock if its rank drop below 10



Amritendu Maji
2017-07-18 16:03:12

  0

sellRule1 = month() != ref(month(),-1);
sellRule2 = rank1 < 10; // Sell a stock if its rank drop below 10

sell = sellRule1 && sellRule2; // Sell when both conditions are met

I think the above may meet your requirements.

Good luck,
Maji



ivanf
2017-07-19 01:08:24

  0

thanks for the help on the code , I will implement and take a look at the results


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