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

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This topic contains 2 replies, has 2 voices, and was last updated by  brwg 1 year, 7 months ago.

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  • #51051

    brwg
    Participant

    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.

     

    #51067

    Frank Grossmann
    Participant

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

    #51077

    brwg
    Participant

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

    look forward to your analysis.

    B

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