BigQuant Example: Daily Signal Rebalancing with a 20-Day Holding Limit

Summary

This BigQuant example shows how a China stock universe selector can be connected to a trading engine that reads a daily signal table. The engine filters rows to the current date, closes existing positions once the elapsed time since their last sale reaches the configured holding limit, then sets target portfolio weights from each signal row. The universe module filters for listed shares on the Shanghai and Shenzhen exchanges, applies board, index, status, margin eligibility, industry, and suspension criteria, and passes the selected universe onward.

The example also demonstrates where to configure commissions and where engine callbacks for pre-market work, ticks, fills, orders, and after-market processing fit. It does not explain how the signal table is generated or assess strategy returns. The example’s comments use illustrative instrument and weight values; actual signal columns, units, execution behavior, and platform data conventions should be checked before adapting it. The holding rule is calendar-day based in the sample, so it may not correspond exactly to a trading-session count.

Key ideas

• The engine filters a signal table to rows matching the current date before placing orders.
• Existing positions are closed when the elapsed days since their last sale reach the configured holding limit.
• Daily signal rows determine target weights for instruments through target-percent orders.
• The universe selector applies exchange, board, index, status, margin, industry, and suspension filters.
• The sample leaves signal generation unspecified and does not provide performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.