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Using Trading Calendars to Schedule Weekly and Monthly Rebalancing

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Summary

The document explains how to set custom trading intervals in a trading engine by using a trading calendar. It points to two examples: rebalancing on Mondays and rebalancing at the start of each month. These schedules let a strategy follow calendar-based rules rather than relying only on a fixed bar interval.

The text does not describe the implementation steps, provide code, or report backtest evidence; it directs readers to separate examples for those details. Its scope is limited to identifying calendar-based scheduling as the mechanism and naming two use cases. Readers would need the linked examples and their own testing to determine how holidays, missing sessions, and execution timing are handled.

Key ideas

  • A trading calendar can be used to define custom strategy intervals.
  • One example schedules portfolio rebalancing on Mondays.
  • Another example schedules rebalancing at the start of each month.
  • The document gives no implementation details or performance evidence.

Tags

ExecutionPortfolio construction

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