I’m curious what the effect might be. It seems like a lot of people make decisions on a Monday or a Friday, so if you did rebalancing on, say, Wednesday, it could affect things.
I don’t really see a way to do this in simulation, but has anyone performed any experiments manually? Is there anything special these days about weekend data that would mean we should rebalance on Mondays? From the forums it looks like this used to be the case, but so many updates to data are talked about that I’m not sure this is still valid.
You can run the simulation with a daily rebalance period and use the Weekday function in your buy and sell rules to simulate shifting the rebalance day.
Great advice above but this may answer a slightly different question than you are asking. I recommend taking the above advice but the answer you get will be the answer to the following question: what if I rebalance on a Monday but wait until e.g., Wednesday to buy. Very helpful for those who use limit orders that do not get filled on Monday. Very instructive.
Ports (as opposed to sims) do update the rankings daily. So if you rebalance on Wednesday it will have different (more up to date) rank than the one one Monday. But not everything will be up to date. You will have to look at what is up to date and what is not. The ones I worry about are the value ratios. For example, P/E will not have an updated earnings if say the earnings were announced on a Tuesday and you are rebalancing on a Friday. However, the price in the P/E ratio will be updated. Personally, I have ports that are rebalanced every day of the week. I do not see a statistical difference, not yet anyway. In one of my ports there is a clear, not statistically significant, trend for later in the week being better.
Denny, I’m very interested in allocating trading days to specific accounts. I added the rules you suggested (but I’m probably wrong) Can you tell me where the error is? Thank you
Walter is correct. Let me explain. In the Buy rules, all rules must be true for a stock to be bought, so any 1 buy rule, ie, WeekDay=4 will cause the Sim/Port to only buy if the day is Wednesday. However, the sell rules will sell a stock if ANY rule is true. that is why all the sell rules must have the “& WeekDay=4” appended to them so no sell rule will be true unless it is also a Wednesday.
To add to Jim’s post above, in Sims, the ranks are used from the previous Saturday’s & Monday’s fundamental downloads, because they are the only days that the data are stored for back testing. They are unavailable for any other day in Sims. That is not all that bad since very little fundamental data changes between quarterly reports, except for the occasional preliminary report and analysis’s estimates. Those are available daily with manually rebalanced Ports. The Sim will also use any price and volume data for any trading day for calculations of any buy or sell rules that include price and/or volume calculations.
Thanks for the clarification. I am never fully certain what is updated daily in the ports. I knew that prices and and consensus earnings estimates are updated daily in the rank. I am always uncertain on the fundamentals. Also the use of prices and volumes in the buy sell rules of sims is important.
Wow, lots of great tips here; thanks everyone. The trick with “WeekDay = 4” should work for screens, and I suppose that for portfolios we’d just have to hope that any shift in a screen carries over similarly onto a portfolio.
So… trying this on a screen will cause you to hold zero stock on four out of five days; I should have realized that. Quickly following that revelation I found that portfolios do allow daily rebalancing, they’ve just got that option hidden at the bottom of the drop down where you have to scroll down past “yearly” to see it. I’m learnin’ so much today!