Sub-strategies with different rebalancing periods

[ikoskela2]

Greetings, I am testing QuantTrader to decide if I want to pay for it. I’ve made my own Strategy of Strategies that is optimized to rebalance sub-strategies monthly. It uses 3 sub-strategies that respectively rebalance weekly, monthly, and semi-monthly.

Question 1: Is this OK or am I breaking something?

Question 2: How do I operationalize this? Would I simply check for new signals every Monday morning? (ie use the sub-strategy with shortest rebalancing period to inform my trading schedule.)

Question 3: In ‘Consolidated Allocations’, in the ‘Allocations’ section with the 3 bullet points, would I use ‘Invested Allocations’ to attain my Monday morning signals? Would ‘based on end of period close’ work properly if the overall strategy has a different period than the sub-strategies?

Thanks very much! – Ian

[Mark Vincent]

Hello Ian. First I would like to say that Quantrader is worth it. I have really good returns with it with very low volatility. 2019 was also a dream year in a 12 year bull market. The answers to your questions are not straight forward and these are my opionions and might not be the best answers. I’m sure other members have better solutions that we can all learn from.

1. The more you rebalance a strategy the more you open yourself up to slippage. None of the LI strategies rebalance weekly and only one (MYRS) rebalances 2 times per month. This might suggest it is very hard to execute a weekly strategy but I am open to anything. It’s also more work.

2. To operationalize your strategy you need to do the following 4 or 5 times a month just like you would with MYRS. In the post below it’s only 2 times per month but the concepts can be applied every day if you wanted to. This is also a lot more work to calculate and execute.
https://logical-invest.com/forums/topic/how-to-calcuate-the-myrs-strategy-at-the-15th-of-the-month/

3. The consolidated allocations has the ability to rebalance every day. Monday morning you would pick the option (base on last close date) for the strategy you want to rebalance. Then follow the procedure I posted in step 2. The values will not be exact. This is the same issue with rebalancing on the 15th of the month with MYRS.

Hope this helped,
Mark Vincent

[ikoskela2]

Thanks. Your post sent me down the right path. I appreciate it!

[Vangelis]

Thank you Mark!

[Author]

Posts