Lookback windows

A lookback window is the stretch of recent history the algorithm evaluates, measured in weekdays. Weekends are excluded; market holidays remain in the calendar, with the prior day's close carried forward—a flat day with zero return. This keeps all assets aligned on one shared calendar, whatever their home exchange. At each rebalance the algorithm looks back over this window to judge each asset. Around 250 weekdays, about one year, is a sensible starting point.

A lookback appears in two places. Each metric in a goal is calculated over its own lookback, which sets the history behind the ranking. Separately, optimisation uses a lookback as the estimation window for expected returns and the covariance between assets. The two are independent, and the Performance and Hedge portfolios can each use different lookbacks.

A shorter lookback reacts faster to changing markets, but is noisier and trades more, raising turnover and cost. A longer one is steadier and cheaper to run, but slower to adapt. The difference is tangible: at 60 weekdays, roughly a quarter, one strong month can reshuffle the rankings and the portfolio with them; at 250, a market turning from rally to sell-off takes months to dominate the window, so the portfolio adapts gradually rather than flipping on the first bad weeks.

The lookback sets how much history each rebuild sees; rebalance frequency sets how often it rebuilds; and inertia limits how much it changes each time. Together they govern how reactive the portfolio is.