Periodic Rebalance Equal Positions

A practical guide to ETF trading systems

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AFJ Garner
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Joined: Fri Apr 25, 2003 3:33 pm
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Periodic Rebalance Equal Positions

Post by AFJ Garner »

Those who do not own Trading Blox can test this system using a free on-line demonstration. Go to and enter “ETFDemo” as the license name and key.

I attach a Suite containing two Blox:
  • Equal Position Entry Exit
    Equal Position Portfolio Manager
The idea may sound silly to some but this simple concept is well worth exploring and has a number of uses. The first possible use is to mimic an Equal Weighted Index. For instance the Guggenheim S&P 500 Equal Weight ETF has at times outperformed SPY given its higher concentration on small stocks.

Another use is to mimic the traditional 60/40 portfolio. Include 3 stock ETFs and 2 Bond ETFs and you have it.

Re-balance periods include weekly up to annually. Holidays are unaccounted for and will occasionally mean a re-balance is skipped.

Or you can use this for buy and hold by setting Rebalance? to "None".

The money management equally divides the capital invested ab initio and on each re-balance date to capital invested / total stocks in the portfolio.

Re-balance dates are rolling, not fixed at period ends. This is to avoid curve fitting. Experiment with this - try 5 or 10 or 15. This number as well as the period (IE 90 for quarterly) will be added to the start date to create the first re-balancing date. Thereafter the period (EG 90 days for monthly) will be added each re-balance date to arrive at the next re-balance date.

Buffer if used means something less than the full amount of capital will be invested. An attempt to ensure no unwanted leverage. Adjustment Threshold - if set to 0.05 will ensure no re-balance unless the position is more than 5% out of kilter and so on. Set to zero re-adjustment will occur even if the relevant stock is only marginally out of equal proportion.

Again investment advice is not offered and I may have made mistakes. I have tested this with the latest version of TB. Please let me have comments if you have any.
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