Gamestudio Links
Zorro Links
Newest Posts
Where's the Wiki?
by Quad. 06/25/19 22:16
Published Gamestudio Games?
by Dooley. 06/25/19 16:59
Updating to A8 [SOLVED]
by Dooley. 06/25/19 16:00
Message from IB of open position
by Zheka. 06/25/19 13:58
FXCM: "Can't connect to price server"
by riinvest. 06/25/19 10:35
New Zorro version 2.12
by jcl. 06/25/19 09:42
Aum120 is ready
by Emre. 06/24/19 17:54
AUM Magazine
Latest Screens
The Space Between
Pogostuck: Rage With Your Friends
Worst Case Z
AckCon'18 - Lotter vs the World 2 - Preview Release
Who's Online Now
5 registered members (JeyKey II, wdlmaster, alibaba, jenGs, kvm), 574 guests, and 4 spiders.
Key: Admin, Global Mod, Mod
Newest Members
Theaisback, redye, rhe2564, Qw3rty, Dal
18239 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Weird portfolio weights for single-letter US stocks #476562
03/10/19 09:55
03/10/19 09:55
Joined: Aug 2016
Posts: 27
M
MaskOfZorro Offline OP
Newbie
MaskOfZorro  Offline OP
Newbie
M

Joined: Aug 2016
Posts: 27
Just something I've noticed, though I don't have the test results here right now. I was testing a cross-setional momentum strategy on an asset list of the S&P 500 and looping over the csv file. Version was Zorro 1.96.

The backtest weight for A was ~10% (I think) while others were fractions. When I removed A from the list, the same thing happened to B. That got me thinking, so I tried it with the next single-letter stock and got the same result. Removing all single letter stocks, the weights then all made sense; changing these asset names and renaming the history files and putting them back in, the phenomenon disappeared.

Last edited by MaskOfZorro; 03/10/19 09:57.
Re: Weird portfolio weights for single-letter US stocks [Re: MaskOfZorro] #476573
03/11/19 06:45
03/11/19 06:45
Joined: Jul 2000
Posts: 26,909
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 26,909
Frankfurt
I believe that could be a Zorro bug. Try the current beta version. Does it still happen?


Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1