kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile | Glad to hear rebalancing is working for you. Barry, I just did the following - 1) Created a new account called "PW rebalance create". The only setting I changed was the simulation date range, which I set to 1/8/2014 - 10/8/2014. 2) With the account selected, goto PW. I selected (100,1,5,4) on the Dashboard. Selected 10 arbitrary strategies. Selected 1 arbitrary EF. Ran Analysis. Saved the resultant to PW 08. 3) Created another account called "PW rebalance 08". Kept all the default settings except the simulation date range. Set it to 6/1/2014 - Today's Date. Saved the settings and goto Portfolios. Selected DP 08 into the account and saved. 4) The Accounts page churned a bit and then displayed stats for the "PW rebalance 08" account. Scrolled down to the Portfolios section. Clicked through to DP 08. 5) The PW pop-up appeared. Clicked the Output tab. Noted the Account: PW rebalance 08. Great. Noticed the Simulation Date Range: 6/1/2014 - 12/6/2014. Great. Noticed "No Records Found". Bummer. Noticed no equity graph. Hum. Noticed the last rebalance date shown as 10/9/2014. (Yes, 9 not 8... I think that may be because I created a second DP using "PW rebalance create" with a simulation range of 1/9/2014 - 10/9/2014 after I created DP 08. I dunno.) So it appears DP 08 failed to rebalance strategies on 11/8/2014. I will check on Monday and Tuesday, but I'm pretty certain I won't see any evidence of rebalancing on 12/8/2014 either. Further, looking at the simulated trade history for "PW rebalance 08", on 11/26 a trade was taken by R10-L-NAS. That strategy was not one of the 5 strategies selected on 10/9/2014 per the PW output tab. So either a rebalance occurred on 11/8(9) that selected R10-L-NAS or we're back to having trades taken on strategies that are in the pool but not selected by PW. I need to be able to see all rebalance results to know for sure. This is very disconcerting. Please advise. Thanks Keith  Attached file : Simulated statistics for DP 08.png (79KB - 317 downloads) Attached file : Simulated Trades.png (126KB - 319 downloads) Attached file : PW Output top.png (72KB - 341 downloads) Attached file : PW Output bottom.png (41KB - 331 downloads) |
