News for hackers. Stuff that matters.

A comment on Equal-weight ETF allocation with automatic rebalancing. Parent comment

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.

[ Parent | on HN ]
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.

[ Parent | on HN ]