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I am using the algorithm framework to backtest custom rebalancing periods on a portfolio that will have assigned weights using the InsightWeightingPortfolioConstructionModel. Ideally, I would configure the rebalancing period from the SetPortfolioConstruction line of code, but the self.DateRules is limited to every day, day of week, weekly, and monthly rebalancing periods. I have tried to use self.DateRules.Every(timedelta(90)) but this results in an error.
self.SetPortfolioConstruction(MyInsightWeightingPortfolioConstructionModel(self.DateRules.MonthEnd()))I would like to modify the code to backtest quarterly rebalancing or biweekly rebalancing. I was thinking of modifying the InsightWeightingPortfolioConstructionModel by creating a condition to check if 3 months/2 weeks has passed within the ShouldCreateTargetForInsight method.
Would appreciate any solutions to solve this.
Shile Wen
Hi CapoCapital,
To rebalance every two weeks, our rebalance should be set to timedelta(weeks=2), and for every quarter, we should set rebalance to timedelta(weeks=14), 14 is calculated by 52 weeks / 4 = 14 weeks. I’ve attached a backtest on how to rebalance bi-weekly.
However, if these timedeltas are not what you are looking for, please see this to see how to create a custom rebalance function.
Best,
Shile Wen
CAPOCAPITAL
Thank you Shile, I was using the wrong sytnax with timedelta but your correction works for me.
I started working on a custom rebalance function similar to the link you provided, much appreciated!
CAPOCAPITAL
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