Your interactive trading laboratory!
 • 
21 users online

Rotation Model custom rebalance interval bug

Hi, second bug I found is I could not customized rebalance time interval. I am investigating a sector rotation model based on ROC of 4 weeks, and rebalance every 5 weeks, the indicator's time period and rebalance time period are different, can Quantacula handle it? At least I would like to be able to set rebalance time interval as numbers of weeks, instead of whole month. In the custom time interval pull down menu, the time units do not seem to be correct, they are minute and hour, instead of day, week, or month. Please comment, hope we will have a fix soon.


Attachment

Cancel

Responses

I did more reading on forum, find the weight factor (ROC in this case) can have different periodicity than the rebalance periodicity. See: https://www.quantacula.com/Forum/ForumTopic/178

The custom time interval question has remain unanswered.

I did more reading on forum, find the weight factor (ROC in this case) can have different periodicity than the rebalance periodicity. See: https://www.quantacula.com/Forum/ForumTopic/178 The custom time interval question has remain unanswered.

The Rotation Models currently don't support custom weekly intervals. A question would be, at what point do you start counting off weeks? At the beginning of the backtest? This would make the results change subject to the starting date. At the beginning of each new year? If we have some solid request here I can turn this topic into a feature request for future implementation.

The Rotation Models currently don't support custom weekly intervals. A question would be, at what point do you start counting off weeks? At the beginning of the backtest? This would make the results change subject to the starting date. At the beginning of each new year? If we have some solid request here I can turn this topic into a feature request for future implementation.

I am thinking to make the things less complex, week always starts from Monday, and the starting date of backtest also starts from Monday. I expect 3, 5, or 6 week based rotation model will yield different results, would like to explore this variable if such feature is available.

I am thinking to make the things less complex, week always starts from Monday, and the starting date of backtest also starts from Monday. I expect 3, 5, or 6 week based rotation model will yield different results, would like to explore this variable if such feature is available.
Forum Tips

Please sign in if you want to participate in our forum.

Our forum uses Markdown syntax to format posts.

To embed code snippets, enclose them in [CODE][/CODE] tags.