Hi all,
I am working on a algorithm proposed in a paper by Jiang & Peterburgsky (2017). It's a algorithm shorting leveraged ETF pairs, in this case SPXL and SPXS. This yields results as I expect, however in 2018 specifically, the results appear very strange. When delving into the actual transactions, the ordering of SPXS in adequate amount seems to fail on day 1 and an endless cycle of rebalances starts. For all other recent full years this is not a problem, for years 2010-2017 results are as roughly expected.
Does anyone knows what is wrong with my code?
Thanks!