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philjoe
How does daily rebalancing on a screen backtest work?

If I use a ranking system to rank stocks, that will only be updated on Saturday night and then those rankings will apply for the following Monday - Friday... but if I use buy rules that are based on price or volume data then those buy rules actually work on a daily basis?

If yes, are there any other variables other than price / volume that work on a daily basis?

Jan 9, 2020 3:26:57 PM       
Jrinne
Re: How does daily rebalancing on a screen backtest work?

Philip,

Thy all work in a port (not looking back in a sim) except for earnings revisions. I had hope for this idea but have been disappointed to date. For some reason I have trouble showing positive cherry-picked examples. I could show some. But no worries with this port or the rebalance daily idea so far (I do not have anything else that I rebalance daily).

I have no trouble showing this paper-traded port that I take the time to rebalance daily. It even has the benefit of "yesterday’s close" as I just click rebalance each morning with no editing later.

Just to share that it is, surprisingly, not so useful for the factors I use in my port.

Obviously, could be just the factors or the market (value factors, momentum and others).

FWIW.

-Jim

Attachment daily.png (484774 bytes) (Download count: 79)


From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Jan 9, 2020 3:37:15 PM       
Edit 5 times, last edit by Jrinne at Jan 9, 2020 3:43:12 PM
philjoe
Re: How does daily rebalancing on a screen backtest work?

I don't think you're understanding what I am asking.

Jan 9, 2020 3:44:14 PM       
yuvaltaylor
Re: How does daily rebalancing on a screen backtest work?

If I use a ranking system to rank stocks, that will only be updated on Saturday night and then those rankings will apply for the following Monday - Friday... but if I use buy rules that are based on price or volume data then those buy rules actually work on a daily basis?

If yes, are there any other variables other than price / volume that work on a daily basis?


Strategies and screens and ranking systems are updated daily with new data, with the exception of estimate revisions, which are only updated weekly.

If you're running a backtest, however, all the data except for price and volume is weekly. I hope that answers your question, but if not, let me know.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Jan 9, 2020 5:20:38 PM       
philjoe
Re: How does daily rebalancing on a screen backtest work?

Yep that's it perfect thanks. Would it be possible to allow ranking to be done daily in a backtest, assuming the ranking system only uses price / volume data?

Jan 9, 2020 6:20:57 PM       
Edit 1 times, last edit by philjoe at Jan 9, 2020 6:26:41 PM
judgetrade
Re: How does daily rebalancing on a screen backtest work?

That is a good idea, especiall bc. earnings estimates are updated daily. Not sure if it really helps the performance, but worth a try...
Best Regards
Andreas

Jan 10, 2020 10:29:35 AM       
philjoe
Re: How does daily rebalancing on a screen backtest work?

I don't think YuvalTaylor saw my recommendation.

Jan 10, 2020 5:30:52 PM       
yuvaltaylor
Re: How does daily rebalancing on a screen backtest work?

I don't think YuvalTaylor saw my recommendation.

I did see it. It's under consideration.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Jan 11, 2020 7:54:09 AM       
philjoe
Re: How does daily rebalancing on a screen backtest work?

Ok thanks

Jan 12, 2020 6:22:16 AM