- ago
I am trying to run a rotational strategy on an IQFeed-linked dataset with 8 leveraged single stocks. I ran it today and yesterday. Neither day produced signals. Is the reason for no signals because I chose to rebalance weekly?

0
512
Solved
9 Replies

Reply

Bookmark

Sort
- ago
#1
0
- ago
#2
Shouldn't Weekly rebalancing take place after the Weekly bar is formed i.e. Friday evening in your case? It's only Wednesday.
0
- ago
#3
I tried to backtest it with weekly bars and it didn’t produce any positions. It only produced positions if I set it at daily bars rebalancing weekly. The positions buy/sold mainly on Mondays.
0
Glitch8
 ( 12.53% )
- ago
#4
You won't get any signals until it rebalances, weekly would be every Friday.
0
- ago
#5
Yesterday I used a 1 hour rotation strategy on the strategy monitor with auto-place, no signal.
When I backtested this strategy today, I received 3 signals for the day before.
What could be the reasons?
0
Cone8
 ( 6.17% )
- ago
#6
Rotation Strategies don't have an hourly rebalance option. Currently the fastest rebalance frequency is Daily.
0
- ago
#7
sorry, data scale hourly and rebalance daily.
Or does the data scale have to be daily?

I should receive my first signals at the end of the day (closing of daily) is that right?

I don't receive any signal.
0
Cone8
 ( 6.17% )
- ago
#8
I just tried it, and although the backtest "works" for hourly data / rebalance Daily, there does seem to be an issue generating the signals for that configuration.

Probably it has something to do with bars' timestamps since Daily+ doesn't expect a time value. We'll have to look into it.
0
Cone8
 ( 6.17% )
- ago
#9
Resolved in Build 80.
If they exist, you'll get signals on the last bar of the day for intraday scales.
0
Best Answer

Reply

Bookmark

Sort