Diagnosing Missing Fills in a Daily Small-Cap Rebalancing Strategy

Summary

This discussion presents a daily Chinese A-share small-cap strategy that filters stocks by listing age, valuation, and turnover rank, sorts the candidates by market capitalization, and targets a basket of twenty names. Its rebalance handler identifies holdings outside the target list for sale, then submits target-weight orders for new candidates. The user reports that selection output appears, but the simulated portfolio remains unchanged.

The included logs show an empty position and transaction record for the simulated run, followed by pending orders dated for the next trading day. This points to a distinction between generating orders and seeing them filled in the portfolio record. The post does not include a reply that confirms the cause or fixes the behavior. The code and logs therefore illustrate a diagnostic case, not a verified solution; order timing, price fields, data dates, and simulation settings may require further investigation.

Key ideas

• The strategy filters A-share candidates and selects the smallest market-cap names for a target basket.
• At rebalance, it submits exits for holdings outside the target list and target-weight orders for new names.
• The provided logs distinguish order creation from completed trades and updated holdings.
• Orders are shown as pending for the next trading day, while the recorded portfolio remains in cash.
• No confirmed diagnosis or corrective change is provided.

Tags

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