Hi
Would anyone know how you can create a strategy that holds 3 ETF and rebalances weekly to some specific weights?
I have tried to set up the max number of positions to 3, remove the sell rules, and set the buys rules to Ticker(“SPY”) , Ticker(“ETF 2”) etc.
But this does not seem to work as the strategy does not seem to be buying any ETFs
Matteo
Hi Matteo. Here is an ETF Sim similar to what you are asking about, but I have only allowed it to hold 2 ETFs within the Buy rule. It holds QQQ and RSP in equal values unless a timing EVAL rotates the holdings to IEF and GDX. This is not necessarily a great model but demonstrates some of what can be done.
Weekly, it checks the EVAL for a switch in ETFs and also rebalances the two held ETFs if required transactions exceed $1600 each. I set that as a minimum because a fixed commission of about $7.05 per transaction then is not excessive.
The EVAL condition used is an attempt to adjust holdings to the overall market environment. You can remove it if that approach is not desired by you.
The ranking system specified in this sim is not actually used, since specific tickers are listed in the buy rule. Hope this helps!
If the weights are static (always 50% SPY), you could create a Book with the 3 ETFs, weighted how you want with weekly rebalance of 0% tolerance.
If the weighting is dynamic, create an ETF sim using formula weighting with weekly rebalancing. This will weight the ETFs according to whatever formula you want. Set the weight constraints for you max and min position.
