backtest question

Research
1

Successfully ran my first backtest today, however, I have an issue.

I start the backtest on 1-1-99, with a rebalance every year. As the years progress the rebalance gets earlier and earlier until in December 2014 it takes place on the 13th of December.

What am I doing wrong here? I’d like it to start at the beginning of each year.

Additionally, if someone could point me in the right direction to how to insert a screenshot to show what I’m talking about, I’d appreciate that as well.

Thanks.

screener backtest2.png
screener backtest2.png1027×497 59.6 KB

2

What you are seeing is driven by P123 not using a calendar year, but 52 weeks. A similar issue would happen if you were using 3 months - it would be 13 weeks, not 3 calendar months. Only days or some multiple of weeks is currently possible.

Jim

3

You should be able to just use weekly rebalance and one sell rule to get you to holding the holdings 365 days:

  1. NoDays>=365

Can embed this in other sell rules:

  1. Eval(NoDays>=365,XXX Rule,YYY Rule).