Adjusting Thresholds and Precision
If the rebalancer signals a rebalance but no trades are created, consider the following adjustments:
Widen Precision Thresholds: This allows for more practical trade execution, especially for smaller accounts or accounts with high-value securities.
Increase Rebalance Thresholds: This ensures that only accounts with significant drift are flagged, reducing noise in the rebalancer.
Reducing Noise in the Rebalancer
To avoid the rebalancer being crowded with accounts that don’t trigger trades, use these strategies:
Filter for Position Drift Only: Focus on accounts with actionable position-level drift.
Sort by Model Drift: Prioritize accounts with the greatest overall target deviation.
Adjust Cash Thresholds: If high cash levels cause many accounts to appear, increase the cash threshold in your target settings to reduce noise.
Practical Examples and Use Cases
Smaller Accounts: Widen precision thresholds to accommodate trading constraints and lot sizes.
High Cash Levels: Adjust cash thresholds to minimize unnecessary rebalancer entries.
Significant Drift: Increase rebalance thresholds to focus on accounts with meaningful deviations from targets.