Why a Small-Cap Backtest Trades Only After the First Rebalance

Summary

This Q&A examines a Chinese A-share small-cap strategy that selects the market’s smallest stocks by capitalization. The user expected the backtest to buy at its August 24 start date, but the first trade appeared on September 23. The explanation is that the strategy rebalances every 22 days, so the selected interval contains only one scheduled rebalance and may not trade immediately at its start.

The reply suggests changing where the strategy updates its index counter relative to the day-count condition if the intention is to trade at the beginning of the test. It does not give the full strategy code or explain the scheduling mechanics in detail, so the exact cause and fix cannot be independently verified from this note. The discussion is useful as a reminder that a selection rule that can identify stocks daily does not necessarily cause daily trades: the rebalance calendar and initialization logic also determine when orders are generated.

Key ideas

• A strategy’s rebalance schedule can delay trades even when its stock-selection rule is evaluated daily.
• The described small-cap strategy rebalances every 22 days.
• A backtest window may contain only one scheduled rebalance.
• The suggested adjustment concerns when the strategy updates its day counter, but the full code is not included.

Tags

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