Questions about data update and live port

Research
1

@Macro,
I would like to open a new topic here regarding the data update you mentioned in another topic. For your below comments in another topic, I would understand if we manually do re-balance daily, in theory we should get better return as the fundamental and price data are changing and updated daily. But we can’t prove that by simulation because the simulation can only use the data updated in the weekend.
Please correct me if my understanding is wrong.

Second question is, what i can see in live strategy is if i manually update on Monday we can only use the previous close price as the trading price which will get a better price comparing current day’s open or close price in most of the situation. Can we also use next open or any other options for live strategy in manual rebalance mode?

thanks

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" Simulation only has access to weekend fundamental data which includes the early Monday AM data.

Live rebalances get the latest intraday data which depends on what update has run.

During the week , the first update at 1030PM gets the prices for the day and whatever fundamentals and estimates the vendor gives us. The second update around 0330AM usually just gets whatever fundamentals and estimates the vendor updates. But they could fix anything at all too, including prices.

The weekend updates are similar to the second update; meaning usually fundamentals and estimates and anything at all that they fix."

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Taofen

2

Sure … assuming your strategy is sound (not curve-fitted), and the turnover and slippage doesn’t eat away your returns, you follow it consistently, etc. Daily rebalance is not for everybody (we hope to automate it in the future)

I think it’s close to 50/50, unless again, your strategy is amazingly good at picking winners and timely.

A live strategy set to Automatic rebalance will update the transactions for the day after we update the prices around 10:30PM. We’re introducing soon a more flexible way also for strategies that are manually rebalanced so you don’t have to update manually. But the automatic update will always be around 1030PM for the USA for now.

3

Thank you Marco for your answers

Taofen