I have quite a few models using a Daily rebalance. None of them report a last rebalance later than 30 December with last trades on 31st.
Is this normal?
The market was closed yesterday, so yes, I’d pretty much expect that the 31st would be the latest date for trades, with signals based on the data of the 30th.
For live strategies in the Research section, you need to rebalance manually to get it daily. If you were expecting some transactions today, try going to the system and hitting the rebalance button.
I’m not sure why the data from the last trading day i.e. 31st can’t be used but, I think I need to add some further details.
First of all, I’m talking strictly simulations. Secondly (background) I’m currently investigating using Ptf123 to find ETF’s in price channels (up or down). Thirdly, I’ve only been using daily rebalance for a month or so.
I have made one (gross?) assumption. Having been used to doing weekly rebalances on the weekend and seeing what to buy/sell on the Monday, I assumed that a daily rebalance would act in a similar fashion i.e. a rebalance on say Tuesday night or early Wednesday would show what to buy/sell on the Wednesday. (Yes, there has to be time allowed for the days data to be loaded.)
Is this a reasonable assumption?
If so, then why is it not (always) working?
To show what I mean, I attach 2 files. The first shows the result of running the sim early on 2 Jan. The second one shows the result from earlier today (3 Jan).
As you can see, the second one shows trades for 2 Jan.
Can you please send me a link to the portfolio? I want to see your buy and sell rules.
I’m not sure if this works but the browser address is https://www.portfolio123.com/port_summary.jsp?portid=1595313
The rules are quite simple :-
Buy : Hi(0) > Hi(20) AND Low(0) >= Low(20)
Close(0,#Bench) > EMA(10,#Bench)
Ticker("UPRO UDOW URTY TMF DRN)
Sell : Rank < 101
There is also a 1.5% trailing stop
Thanks