The Rebalancing section of a strategy defines how often your strategy will be rebalanced and its optimum position sizes.

The Rebalance Period allows you to control how often a strategy is rebalanced:

  • Daily - allows you to specify the daily interval the strategy rebalances on.
  • Weekly - allows you to specify the day of the week and weekly interval the strategy rebalances on.
  • Monthly - allows you to specify the day of the month and the monthly interval the strategy rebalances on.
  • Annually - allows you to specify the day of the month and the annual interval the strategy rebalances on.

The system will automatically manage monthly rebalance dates when the day of the month you have specified is greater than the number of days in the month (e.g. when you set the rebalance day to 31 and you rebalance in February).

Starting Cash sets the initial starting cash of your strategy.

Determine Position Size allows you to either:

  • Purchase All Securities in Universe - At each rebalance all open positions are closed and all tradeable securities are purchased.
  • User Defined - The platform will rank all securities and choose the top number of positions indicated in the Max No Positions field.

Close All Positions Automatically At Rebalance forces the platform to close all positions of a User Defined strategy at rebalance. Selecting No will only close positions when one or more exit rules are triggered.

Max No Positions specifies the maximum number of positions a User Defined strategy will open at rebalance.

Max % Position Size limits any new position size to a maximum percentage of the equity value of the strategy. Setting this field to 100% disables it.

Minimum % Liquidity Required - Before opening a position the platform will check that there has been enough liquidity in the stock over the previous periods specified. The system will not open a position if it represents more than the specified % average daily volume traded over that period. Set this to 100 to disable the check.

Max % Sector Weight - The platform will not open a position in a stock if it would take the total exposure to the security's sector as a whole over the specified % of the entire portfolio. Set this to 100 to disable the check.

Max % Industry Weight - The platform will not open a position in a stock if it would take the total exposure to the security's industry as a whole over the specified % of the entire portfolio. Set this to 100 to disable the check.

Max % Position Size Deviation - If there is not enough cash left to buy the desired amount of shares in a security, the system will automatically take a smaller position. This settings controls the lowest position size as a % of the original that the platform will consider opening.