Short sell with backtest Engine

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ando
ando 2021년 1월 15일
댓글: Tim Billingsley 2021년 8월 31일
What's the most effecient way to implement short selling strategies with the backtestEngine?
Using this Matlab example as a reference: https://www.mathworks.com/help/finance/backtest-investment-strategies-with-trading-signals.html
It appears that if you change crossoverRebalanceFcn to output negative portfolio weights, for example
change
new_weights(idx) = availableCapital / uninvestedAssets;
to
new_weights(idx) = -availableCapital / uninvestedAssets;
That seems to work. Is that the correct way to implement a short? Any other considerations with this approach or is there a better approach?

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Brendan Hannigan
Brendan Hannigan 2021년 1월 20일
hello again Ando,
Yes, that is how you take short positions using the backtestEngine. You just set a negative weight on an asset. Since the total weights should equal to 1, shorting an asset will mean you have additional weight to allocate to long positions, or else the unallocated weight will stay in cash earning the RiskFreeRate.
cheers,
-brendan
  댓글 수: 1
Tim Billingsley
Tim Billingsley 2021년 8월 31일
Is the backtestEngine really set up to handle short positions? When I have negative weights on an asset, there are intermediate buy and sell costs and also unaccounted for Turnover values?
Regards
Tim

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