Rebalancing Simulation

General
1

I am running a simulation with a rebalance and reconstitution every 3 weeks. I am using dynamic weight with an ideal number of positions of 15. My sell rule is sell when rank<90.

My portfolio had 5 stocks, with approx 20% weighting each. During the reconstitution/rebalance the sim triggered a buy, with no sells. It added a sixth stock to the portfolio, with a weighting of less than 1%.

I am trying to figure out why it didn't reblance to bring it more in line with the other five stocks?

2

Would you mind posting your trading system? Dynamic weight rebalancing can present challenges like these, but without seeing the parameters, I wouldn't be able to diagnose the problem. Go to your system, click on the "Trading System" tab, and post a screenshot, please. Feel free to black out anything that you're worried someone might copy.