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Hi Herman,
It is always interesting to read how others use the CBT, and like
you, I've played around with using (Static)VarSet, etc. within CBT
Don't know if you saw my earlier e-mails of a few days ago re dynamic
rebalancing. Basically, due to mandates, I need to assess my risks on
both an absolute and a relative basis. The latter means I want to be
long all constituents of my benchmark, but then take "active bets" by
underweighting or overweighting my positions versus the official
relative weights in the benchmark. So, I have my scores (which are
not complicated) and want to enter all of them as trades, in the
sense of rebalancing trades (i.e. scale-in/out) depending on the
score.
For that purpose I tried indeed to use VarSet, as well as
StaticVarSet to define WITHIN the CBT my relative weights referring
to "external" arrays for benchmark weights which I then tweak to
STOCK-SPECIFIC arrays of active weights. The difference between the
latter and the "current PosValue" then becomes the amount to
ScaleIn/Out. It turns out, or at least that is my conclusion, that
you cannot do this in CBT.
In summary, you can dynamically rebalance your portfolio by way of
PositionScore, but not by PositionSize, because this only refers to
the entry-date of a trade, not the intermediate sizes.
If you (or anybody else dealing with these issues) have any thoughts,
or even better a solution, on this, please let me know.
Sorry if this turns out to be too much OT, but I'm desperate for a
solution to what seems to me an obvious trading strategy.
PS
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