Weekly Rebalancing in VeighNa Bar-Based Backtests

Summary

A VeighNa community discussion considers how to adapt a daily-bar backtest so a multi-factor stock portfolio is held for a week and rebalanced less often. The practical suggestion is to inspect each bar’s date inside the strategy’s bar handler and permit rebalancing only on a selected weekday. This provides a simple scheduling pattern for reducing the frequency of portfolio changes in a bar-driven backtest.

The exchange does not provide a complete demo, code, performance evidence, or discussion of transaction-cost modeling. Its proposed weekday is Friday, while the original question asks about rebalancing on Monday, so the scheduling choice needs to be aligned with the intended holding period and available bar data. The discussion also does not address holiday calendars, signal timing, or whether a weekly schedule changes the factor-selection logic.

Key ideas

• A bar-driven strategy can use each bar’s date to determine when rebalancing is allowed.
• Restricting rebalancing to one weekday can approximate a weekly portfolio schedule.
• The suggested weekday is Friday, although the question asks about Monday rebalancing.
• The discussion gives no full implementation or backtest results.

Tags

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