Update. I wrote this sizer that will do fractional position sizing for crypto and that will reverse buy / sell orders. No pyramiding included atm, should not be too hard to add though:
class Dorien_sizer(bt.Sizer): params = (('prop', 0.95),) def _getsizing(self, comminfo, cash, data, isbuy): """Returns the proper sizing""" pos = self.broker.getposition(data).size if isbuy: # Buying if pos == 0: target = cash * self.params.prop price = data.close[0] size = target / price return size elif pos > 0: # don't allow pyramiding for now size = 0 if size * price > cash: return 0 # Not enough money for this trade else: return size # short open elif pos < 0: target = self.broker.getvalue() * self.params.prop # Ideal total value of the position price = data.close[0] size = target / price # How many shares are needed to get target size = size - pos return size else: # Selling if pos > 0: size = pos * 2 return size # Clear the position elif pos <= 0: size = pos return sizeFor code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
