Target Position Rebalancing Timing in Bar Backtests

Summary

The post discusses whether a target-position strategy in VeighNa’s CTA framework submits adjustment orders one bar late when running a bar-based backtest. It shows a code change that sends a new order when an earlier order is still unfinished, specifically when the engine is in backtesting mode and the simulation uses bars. The change appears intended to avoid waiting for the usual order-finished check before issuing the next adjustment.

The excerpt provides no test results or explanation of how the change affects fill timing, overlapping orders, or other engine modes. It therefore illustrates a possible framework-level adjustment to bar-backtest order handling, rather than establishing that the reported delay occurs in all cases or that this patch is generally safe. Traders should treat the snippet as a proposed implementation detail, not evidence of improved strategy performance.

Key ideas

• The discussion concerns possible one-bar-late target-position adjustments in bar-based backtests.
• The proposed change submits a new order while a prior order remains unfinished under a specific backtesting mode.
• The shown condition limits the altered behavior to bar-mode backtests.
• The excerpt gives no validation results or analysis of order overlap and fill behavior.

Tags

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