Dynamic Rebalancing with Tax Harvesting

Hello Friends,

I have been a fan of QC and many of your contributions for a while, and finally got around overcoming my rusty programming wheels (haven't touched code for eons, but in tech all my life) to pull together this weekend project.

Strategy is dynamic rebalancing based on momemtum of securities in portfolio (hand picked for now), with tax harvesting. 

Appreciate your feedback and help with couple of issuess - a) the tax harvesting code seems suspect, b) metrics not plotting. 

To QC team (or QC community) - a) why is Portfolio.SetCash skewing returns, net profit calculations in backtesting, b) what's the behavior of SetHoldings (by percent); does it liquidate or adjust up/down based on percentage.

Update Backtest

search answer here hopefully:

Update Backtest


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