backtestStrategy: rebalance function keeps track of past & current open position
Hi All,
backtestStrategy provides a great workflow for defining a strategy, which includes the rebalancing function.
As part of the EngineData object, WeightsHistory can be used to derive open positions, entry price and open pnl. Nonetheless … the same computation takes place also within the backtestEngine’s runBacktest function, which provides access to a Positions table for each strategy.
Hoping not having to re-invent the wheel, is there a way to pass the Positions table into the rebalancing function, for a given strategy? This would be a good fit for an additional field into the engineData structure. ThxHi All,
backtestStrategy provides a great workflow for defining a strategy, which includes the rebalancing function.
As part of the EngineData object, WeightsHistory can be used to derive open positions, entry price and open pnl. Nonetheless … the same computation takes place also within the backtestEngine’s runBacktest function, which provides access to a Positions table for each strategy.
Hoping not having to re-invent the wheel, is there a way to pass the Positions table into the rebalancing function, for a given strategy? This would be a good fit for an additional field into the engineData structure. Thx Hi All,
backtestStrategy provides a great workflow for defining a strategy, which includes the rebalancing function.
As part of the EngineData object, WeightsHistory can be used to derive open positions, entry price and open pnl. Nonetheless … the same computation takes place also within the backtestEngine’s runBacktest function, which provides access to a Positions table for each strategy.
Hoping not having to re-invent the wheel, is there a way to pass the Positions table into the rebalancing function, for a given strategy? This would be a good fit for an additional field into the engineData structure. Thx matlab, portfolio management, finance, rebalancing, backteststrategy, enginedatalist, backtestengine, runbacktest MATLAB Answers — New Questions