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What do you think of replacing for the next few month UBT by UST ( 2* 10Year rates). The idea is to be still protected but at least we don’t take the full hit if the rates are going up 50 bps in the next 6 months
Does it mean that trying to rebalance my portfolio on the last day of the month using quandtrader around 3pm eastern time one hour before NYSE close will not work and will not provide the accurate new allocation to use.
Hi Alex,
I just wanted to clarify my understanding of the OOS Algorithm. in your example @ https://logical-invest.com/walk-forward-testing-avoid-curve-fitting-backtesting/, we are looking for the best sharpe over the last 60 months by adjusting the variable Lookback period and volatility attenuator. and we keep doing the same operation at each rebalancing date.
if this is the case, choosing the best sharpe could overtfit as well as it could be a single point that optimize locally the result vs looking a visual interpretation in the manual mode.
