Hello, Before I submit my request to the Feedback centre, I was wondering whether anybody has been able to include dynamic (weight/holdings) rebalancing in their code, whereby stock-specific arrays (as in "relative weights") are referred to for the rebalancing.
In other words, PositionSize can be an array, but it does not allow you to rebalance your existing portfolio-weights once you've entered a position (i.e. they only determine entry positions). It turns out, as far as I know now, that even in the CBT (advanced backtester) you cannot refer to stock-specific arrays to rebalance (only static amounts). I've tried it in the rotational mode, and could not get it working. The idea is fairly simple: I want to overweight by x% the relative weights (in some broad index) of my top quartile, underweight by x% the relative weight of my bottom quartile, and keep the rest equal to their respective relative weights. These type of "dynamic rebalancing" strategies are quite common. Correct me if I'm wrong, but the SetPositionSize(size, method) is neither suited for this purpose (and in any case, I prefer the CBT because it allows me to define my own trade-stats). Thanks for any help. PS
