Simulate Overbalance instead of rebalance

General
1

Is there a way to simulate it so that when the model rebalances it actually overbalances? For example if one holding dropped 20% and other increases 20%, instead of selling just 20% and buying 20%, selling 40% and buying 40% of the other stock. In other words, when prices swing upwards, sell more than enough to balance past equal weight to underweight the high performing stock. I’m wondering if this would take more advantage of the “buy low sell high” idea. This might work well with models that have short term reversion.

Do you think that would make sense? And is there a way to simulate this?

Essentially, on a stock with say a 50% loss, I want to not just doubling down but quadruple down on it.

2

This isn't exactly what you're looking for, but if you're an ultimate subscriber you can use dynamic weight formulas that take into account recent price changes. They won't take into account the current weight of the stock, but they could adjust the amount held according to what the stock has been doing in the last week or two.

3

Okay, thanks Yuval. Sounds like that might somewhat work. I’m not at the moment subscribed ultimate, but good to know.