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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: 27,003
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,003
Frankfurt
I believe that could be a Zorro bug. Try the current beta version. Does it still happen?


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