Rebalancing Frequency

[Amuu]

Hi guys, from what I understand, most if not all of the strategies are rebalanced monthly. Shouldn’t an active management style provide signals to quickly exit risky assets into crash protection assets under certain conditions, instead of waiting for month-end? Is this frequency based on backtesting results or simply due to convenience?

Are users able to change and backtest frequency in the quant trader?

[Frank1 Grossmann]

For most strategies it makes no sense to rebalance more often than once a month. This can be backtested and is quite significant. The reason is that the shorter your rebalancing intervals are the mor you risk to rebalance every small bump with most of them being just noise. Doing this means that every time you sell low and buy back high. This is also why day-traders normally don’t make money on the long run as they try to see patterns in random movements.
Longer rebalancing periods capture real market changes. You can set up weekly semi-weekly or monthly rebalancing in QuantTrader.

[Amuu]

Thanks for the response Frank, Im trying to use the quant trader software. However, I keep getting this Unhandled expectation error.

See the end of this message for details on invoking
just-in-time (JIT) debugging instead of this dialog box.

************** Exception Text **************
System.NullReferenceException: Object reference not set to an instance of an object.
at QuantTrader.QTTrader.oS8UVtxmPkAgyA4iZbk(Object )
at QuantTrader.QTTrader.Mc8BxTyD3e(Object , EventArgs )
at System.Windows.Forms.Control.OnMouseLeave(EventArgs e)
at System.Windows.Forms.Control.WndProc(Message& m)
at System.Windows.Forms.NativeWindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)

************** Loaded Assemblies **************
mscorlib
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4515.0 built by: NET48REL1LAST_C
CodeBase: file:///C:/Windows/Microsoft.NET/Framework64/v4.0.30319/mscorlib.dll
—————————————-
QuantTrader
Assembly Version: 5.0.35.0
Win32 Version: 5.0.35.0
CodeBase: file:///C:/Users/Downloads/QuantTrader535SJul2022/QuantTrader535S.exe
—————————————-
System
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4488.0 built by: NET48REL1LAST_C
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL/System/v4.0_4.0.0.0__b77a5c561934e089/System.dll
—————————————-
System.Drawing
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4390.0 built by: NET48REL1LAST_C
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL//v4.0_4.0.0.0_b03f5f7f11d50a3a/System.Drawing.dll
—————————————-
System.Windows.Forms
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4515.0 built by: NET48REL1LAST_C
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL/System.Windows.Forms/v4.0_4.0.0.0__b77a5c561934e089/System.Windows.Forms.dll
—————————————-
System.Core
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4515.0 built by: NET48REL1LAST_C
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL/System.Core/v4.0_4.0.0.0__b77a5c561934e089/System.Core.dll
—————————————-
4ff9591b-785a-4cc2-9d29-92649d878c61
Assembly Version: 1.0.0.0
Win32 Version: 5.0.35.0
CodeBase: file:///C:/Users/Ahmed/Downloads/QuantTrader535SJul2022/QuantTrader535S.exe
—————————————-
System.Configuration
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4190.0 built by: NET48REL1LAST_B
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL/System.Configuration/v4.0_4.0.0.0__b03f5f7f11d50a3a/System.Configuration.dll
—————————————-
System.Xml
Assembly Version: 4.0.0.0
Win32 Version: 4.8.4084.0 built by: NET48REL1
CodeBase: file:///C:/WINDOWS/Microsoft.Net/assembly/GAC_MSIL/System.Xml/v4.0_4.0.0.0__b77a5c561934e089/System.Xml.dll
—————————————-

************** JIT Debugging **************
To enable just-in-time (JIT) debugging, the .config file for this
application or computer (machine.config) must have the
jitDebugging value set in the system.windows.forms section.
The application must also be compiled with debugging
enabled.

For example:

<configuration>
<system.windows.forms jitDebugging=”true” />
</configuration>

When JIT debugging is enabled, any unhandled exception
will be sent to the JIT debugger registered on the computer
rather than be handled by this dialog box.

[Frank1 Grossmann]

Can you email me ([email protected]) your zipped ini file folder and the name of the strategy with the error so that I can reproduce this error.

[Peticolas]

Hi. I have a followup on rebalancing. If your strategy/portfolio composition changes, you would clearly rebalance, but what if the components are the same for the next month. Would you rebalance back to the recommended percentages or would you just leave it alone until the composition of the portfolio changes?

[Frank1 Grossmann]

I would only do rebalancing if there is at least a 5% to 10% difference in the allocation.

[Author]

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