NAsdaq 100(8shares) hedge, generated only 5 shares

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NAsdaq 100(8shares) hedge, generated only 5 shares2018-03-24T09:00:45+00:00
  • Author
    Posts
  • brwg
    Participant
    Post count: 19

    I modified the current Nasdaq100 strategy to include 8 shares (instead of 4 shares).   When this strategy is run on a standalone basis, indeed 8 shares are selected in every rebalance period.

     

    However, when this is combined with UGLD and TMF, only 5 shares are selected each time.

    I include the screenshots for the Nasdaq (8 shares) and for the Nasdaq (8shares) hedged

     

    any help will be appreciated.

     

  • Frank Grossmann
    Moderator
    Post count: 167

    Can you please send me your QuantTrader.ini file to frank@logical-invest.com so I can replicate what happens.

  • brwg
    Participant
    Post count: 19

    Thanks, Frank. I just emailed the ini file to you.

    look forward to your analysis.

    B

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