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?
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Shouldn't Weekly rebalancing take place after the Weekly bar is formed i.e. Friday evening in your case? It's only Wednesday.
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.
You won't get any signals until it rebalances, weekly would be every Friday.
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?
When I backtested this strategy today, I received 3 signals for the day before.
What could be the reasons?
Rotation Strategies don't have an hourly rebalance option. Currently the fastest rebalance frequency is Daily.
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.
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.
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.
Probably it has something to do with bars' timestamps since Daily+ doesn't expect a time value. We'll have to look into it.
Resolved in Build 80.
If they exist, you'll get signals on the last bar of the day for intraday scales.
If they exist, you'll get signals on the last bar of the day for intraday scales.
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