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Most of the strategy should
Be traded at the beginning of each month. Do you suggest as well to rebalance the exposure during the Month to keep the weight constant.
What assumptions are you doing in your back test ?
Are you rebalancing your portfolios the first of each
Month ? Do you send market on close ?
Do you rebalance your exposure intra month to keep the weight constant.Thanks,
Benjamin.The strategies should rebalance once every month (except MYRS which is twice/month). No need to adjust weights. So one trade a month is all you have to do.
The backtester assumption is that trades happen on close price on the day before the 1st of the month (ie January 31st). This is slightly different than trading on the 1st but it is not a critical difference according to our tests.
It is possible to trade on the last day of the month using QuantTrader by downloading intraday data before the close and issuing signals at your own workstation/laptop. I suggest that you download and use our 30-day free trial of QuantTrader. You can then check exactly how our strategies work and even backtest instantly different rebalance days (+-1,2,3).
https://logical-invest.com/quanttrader-application/
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