When backtesting a rotational strategy, the required number of positions is not always present.
For example, a strategy where there is a rotation of 10 positions, sometimes there are 8 positions and very often 9.
For example, a strategy where there is a rotation of 10 positions, sometimes there are 8 positions and very often 9.
Rename
There are reasons for everything, and this can certainly happen due to NSF positions or because a stock was removed from the index.
However, the big gap down to 8 positions might be indicative of a data error or maybe a constituent error in our historical file. I'll check on it.
However, the big gap down to 8 positions might be indicative of a data error or maybe a constituent error in our historical file. I'll check on it.
There are 16 NSF positions for that backtest - and you can count them in the gaps for Open Positions.
Rotation strategies are already pretty lenient with a 1.2 Margin factor, but it looks like even more margin is required to be assured a Position.
Rotation strategies are already pretty lenient with a 1.2 Margin factor, but it looks like even more margin is required to be assured a Position.
Your Response
Post
Edit Post
Login is required