- 05/17/2020 at 3:13 pm #78715
When running a strategy optimiser where the optimised lookback period results in a lookback period of 20 days or less, with a monthly rebalancing system, does this mean that the system attempts to rebalance more frequently than the monthly rebalance setting?
Another way of asking this question is: for monthly rebalancing strategies, should we only take optimiser results of more than 20 days? If so, what would happen to strategy results if we take a lookback of less than 20 days in a monthly rebalancing system.
I am assuming that ‘days’ in QT-speak means trading days i.e. that 20 QT days is the same as a calendar month.
Thanks05/17/2020 at 3:45 pm #78716
[post deleted]05/18/2020 at 5:59 am #78719Frank1 GrossmannKeymaster
20 trading days are about equal to a month. You can use less trading days and still rebalance only every month. A backtest will show you if this makes sense. Such a strategy will adapt very quickly to market changes. This will however also result in many sell low buy high losses for all the small V shaped recoveries.
You can also set the strategy to rebalance mid month (can be any day) or weekly or every two weeks on Monday mornings.05/23/2020 at 7:36 am #78741
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