Hi everyone
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.
Thanks