custom rebalance interval

Manage
1

I am looking at some longer holds for my taxable portfolio and would like to test screens and ranking systems for rebalance periods longer than 52 weeks

  1. Is there a way to do that? And,
  2. ( P123 developers) - what would it take to do that?

Thanks, as always!

2

You can add as part of all of your sell rules something like ‘and nobars>504’ for two years, as an example. the port will still rebalance but there won’t be anything sold for at least two years (if you add it to all of your individual sell rules)

3

thanks David! I do that now to get around this, but what i am really interested in is the ranking profile for longer than 1 year hold.

Essentially, i want to look at the decay rate of common factors like ebit/ev

4

We are hoping to combine rolling backtests with ranking performance tests at some point, which would make this possible with one click. But here’s what I would recommend in the meantime. Use the rolling backtest in the screener. Put in your universe and your ranking system in the “Settings” and in the rules use “Rank > 80,” “Rank > 60 and Rank < 80,” “Rank > 40 and Rank < 60,” etc (one at a time, of course). Set the holding period to “custom” and input something between 365 and 730 (the top limit). Run a rolling backtest and scroll down to the bottom to get the average returns. This is a far more accurate method than using the rank performance test, which is extremely dependent on starting dates. The rank performance test works very well for short periods, but for long periods it’s a bit arbitrary: for a one-year test over 15 years it’ll rely on only 15 starting points, while with the rolling backtest you can see 780 of them. Also, if you’re looking for decay rate of factors, you have a great time series in the outputs of the rolling backtest.