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Hi everyone,
I am pursuing a strategy which rebalances monthly. I allocate about 30% of my portfolio to 10 momentum stocks and 70% of my portfolio to safe assets IEI, TLT and GLD. However, during my backtest, with a starting capital of 10000 and a start date of 2011, 1, 1, my algorithm triggers buys for the 10 momentum stocks, GLD, TLT but does not include IEI for some reason. Can someone please help me out? Is this issue perhaps related to lack of capital or something? Thank you!
def rebalance(self):
long_list = self.long
# complete rebalancement
if self.reb2 % 12 == 0:
# liquidate all positions
self.Liquidate()
for i in long_list:
self.SetHoldings(i, 0.3/self.num_fine)
self.SetHoldings(self.gld, 0.12)
self.SetHoldings(self.iei, 0.24)
self.SetHoldings(self.tlt, 0.34)
Gahl Goziker
Hi Ethan,
Please attach a backtest which demonstrates the issue so that we can assist more easily.
Best,
Gahl Goziker
John Fogel
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