Rebalancing - The Chartist

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March 29, 2016 at 3:55 am #101469

Anonymous
Inactive

Hi,

I am just exploring different re-balancing strategies. Currently, when the re-balance occurs, say monthly, some stocks are sold and new ones bought, while the size of the current holdings remain the same.

I was just wondering if anyone knew how to back test the process of re-balancing the full portfolio, so all the positions are returned to the same size at each re-balance?
This would mean that the stocks that remain held are trimmed to be back at say 10% of the portfolio value, assuming a portfolio of 10 stocks at equal weighting.

Any help would be appreciated

Thanks

Oliver

March 29, 2016 at 4:56 am #103463

Stephen James
Member

You’d have to use the custom backtester. Try this link:-

http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/

March 29, 2016 at 5:27 am #103464

Anonymous
Inactive

Thanks Craig.

I have used that piece of code and it appears to be working, but I am not too sure how to interpret the trade log.

Ill keep investigating however will send through the code for a check.

Thanks

Oliver
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