Your interactive trading laboratory!
 • 
26 users online

Rotation Model Equity Curve questions

I am running a simple sector ETF rotation model, rotation model should be invested all the time, why are there some cash positions, and why the equity value at starting point is higher than benchmark? Please see the screen captures, hope someone could explain, thanks!


Attachment

Cancel

Responses

The small cash areas you see in the equity curve is the result of having to go slightly on margin due to the price of a stock gapping up between the time the backtester issued the simulated buy order and the market open of the next day. This is indeed why we give the rotation models a small amount of margin (1.2:1) so they can successfully take the trades even if the stocks gap up somewhat.

The small cash areas you see in the equity curve is the result of having to go slightly on margin due to the price of a stock gapping up between the time the backtester issued the simulated buy order and the market open of the next day. This is indeed why we give the rotation models a small amount of margin (1.2:1) so they can successfully take the trades even if the stocks gap up somewhat.

Thank you for explaining, it makes sense if margin being used. Another question I have is related to the filled price on the next day. On many trades, they are neither open price, nor close price, but the price that is close to low. Could you explain how the filled price is calculated? and how to deal with price slippage?

Thank you for explaining, it makes sense if margin being used. Another question I have is related to the filled price on the next day. On many trades, they are neither open price, nor close price, but the price that is close to low. Could you explain how the filled price is calculated? and how to deal with price slippage?
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.