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                                                   Fixed position sizing and daily rebalancing

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Kiran
2018-02-23 12:38:08


How do I backtest a simple portfolio of 2 stocks SPY, VXX held in fixed ratio of 90%/10%, with daily rebalancing?
Is there a MM script that does this? If not, what's the closest script i can customize?

thx
Kiran


QuantShare
2018-02-24 05:45:08

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Please use the following MM script:
Custom Weight for Individual Securities




Custom Weight for Individual Securities (by QuantShare, uploaded several months ago)
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