Equal-weight ETF allocation with automatic rebalancing

Re:Equal-weight ETF allocation with automatic rebalancing by minimax on Friday April 25, 2014 @01:31PM (#7647855)

How does it execute the rebalance trades? Just MOC or something like that?

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Re:Equal-weight ETF allocation with automatic rebalancing by fawce on Friday April 25, 2014 @01:38PM (#7647913)

No, it places orders market orders in any of the ETFs we need to rebalance mid-morning. Orders go out around 10:15am NY time on rebalance days.

Also, the chart in the page is from actual trading on a roughly $25k account, and updates each day.

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Re:Equal-weight ETF allocation with automatic rebalancing by minimax on Friday April 25, 2014 @01:47PM (#7647968)

It would be very interesting to see the chart of actual trading next to a similar chart generated by the Quantopian backtester.

Very impressed with the product btw. Good work.

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Re:Equal-weight ETF allocation with automatic rebalancing by jstauth on Friday April 25, 2014 @03:03PM (#7648446)

That's a great question, I've been working up a more detailed analysis of implementation shortfall (and thinking about ways to make this automated) - but your question prompted me to post a quick comparison here that you can look at for some current results: https://www.quantopian.com/posts/live-results-vs-backtest-re...

Full disclosure, I work for Quantopian and I wrote this strategy.

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Re:Equal-weight ETF allocation with automatic rebalancing by deepinsand on Friday April 25, 2014 @02:59PM (#7648417)

Can't a counterparty anticipate your orders and make a risk-free return?

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