Why a Five-Day Hold Setting May Still Allow Daily Rebalancing

Summary

This BigQuant support exchange explains a possible source of confusion in backtests: the platform’s `hold_days` setting defines a build-up period during which the strategy can buy, and does not itself require each purchased stock to remain in the portfolio for that many days. Once the configured period has passed, selling can become available, so the portfolio may still change daily.

To enforce a minimum holding duration for each position, the response recommends adding a conditional rule that checks how long a stock has been held before allowing its sale. The exchange illustrates the distinction between a portfolio construction window and a per-position holding constraint, but it does not provide the specific conditional logic, discuss interactions with other sell rules, or show a backtest demonstrating the result. Users would need to implement and verify the intended timing in their own strategy.

Key ideas

• The platform’s hold-days setting is described as a period for building positions through buying.
• That setting alone does not impose a minimum holding duration on each stock.
• A strategy can permit daily portfolio changes even when a multi-day build-up period is configured.
• A per-position holding-time check can delay selling until the desired duration has elapsed.
• The exchange gives no implementation example or test results for the suggested condition.

Tags

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