Investigating Rebalance Frequency Differences Between Backtests and Simulations

Summary

The document reports a mismatch between a portfolio strategy’s expected rebalance schedule and its simulated trading activity. The author says the backtest rebalances every five days or after a take-profit trigger, while the simulation records trades on many consecutive trading days. A detailed order log shows daily ETF buys and sells across several assets, including some zero-fill entries and repeated orders for the same instrument. The linked backtest is cited as context, but its strategy logic is not reproduced here.

The log is evidence of the reported discrepancy, not an explanation of its cause. The document does not establish whether the difference comes from strategy scheduling, signal generation, simulation settings, execution handling, or another issue. It therefore offers a useful debugging case rather than a resolved method or performance analysis; the records alone do not show whether the extra trades were valid or how the strategy should be changed.

Key ideas

• A strategy’s simulated orders may occur more frequently than the rebalance schedule described for its backtest.
• The document compares a five-day or take-profit-triggered schedule with daily simulated trading activity.
• The order log includes zero-fill entries and repeated orders that may need separate interpretation.
• The report presents a discrepancy but does not identify its cause or offer a verified fix.

Tags

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