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

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  • This topic has 2 replies, 2 voices, and was last updated 6 years ago by brwg.
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  • 03/24/2018 at 9:00 am #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.

     

    03/25/2018 at 5:49 am #51067
    Frank Grossmann
    Participant

    Can you please send me your QuantTrader.ini file to [email protected] so I can replicate what happens.

    03/25/2018 at 12:03 pm #51077
    brwg
    Participant

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

    look forward to your analysis.

    B

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