HI,
I'm using Moonshot backtest which outputs to PDF file. I would like to apply my strategy rebalancing only at the beginning of a month. how can I do that?
I've tried REBALANCE_INTERVAL = "M", but it doesn't seem to make a difference.
In zipline, i could use something like 'date_rules.month_start'.
Thank you in advance.
REBALANCE_INTERVAL isn't a built-in Moonshot attribute, so if you're using it, first you need to have code like this in your prices_to_signals or signals_to_target_weights method:
# Resample using the rebalancing interval.
# Keep only the last signal of the month, then fill it forward
signals = signals.resample(self.REBALANCE_INTERVAL).last()
signals = signals.reindex(closes.index, method="ffill")
The above example comes from umd.py in the Moonshot Intro.
Second, 'M' = month end, use 'MS' for month start. The pandas resample method in the above snippet expects an offset alias, the list of which can be found in the pandas docs.
It works! I should have looked at the example more carefully.
Thank you!