- ago
Hello community,

In regards to rebalancing strategies, let say i have 3 stocks, equal weighted rebalancing monthly. On top of that, i would like to reduce that weight based on additional information (e.g. volatility), reduce/increase weighting based on that, is that something achievable and what function should i look into? Thanks!!
0
144
Solved
6 Replies

Reply

Bookmark

Sort
- ago
#1
A. You could probably create a custom indicator to encompass the complex filtering as the weight factor.
B. Another option may be to develop the customized rotation strategy in C# code as suggested in the FAQ: Can Rotation strategies be tweaked like add a filter or use a custom indicator?
0
Best Answer
- ago
#2
Thanks Eugene for your inputs as always, regarding the weighting from custom indicator, do I need those output sum up as 100% ?
0
- ago
#3
It'd be your own formula. Rotation strategy would rebalance it like it does with any other indicator like RSI.
0
- ago
#4
Thank you Eugene, may I how the calculation works, let say 3 stock, with RSI 60,40,20 respectively, how will the weighting be calculated based on the system?
0
- ago
#5
It's your formula/code. Have you perhaps seen the link in the FAQ with a sample code?
0
- ago
#6
Thank you let me take a look of the custom filter in the coding, dunno why i couldn’t locate the resources on custom indicator and how it works for weighting
0

Reply

Bookmark

Sort