Dynamic multi asset allocation trading
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Hey guys, I am now doing a multi-asset allocation project. Ideally, I want to import a dataset with multiple ETFs with multiple lines and try to rank them based on forecasted returns using ML methods, then dynamically rebalance them on a monthly basis using some MVO or risk parity stuff. Anyone has any idea if this is possible through backtrader? Thank you very much in advance!
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@darkknight9394 Thank you so much for the reply! I will definitely give your code a try later and revert if I have any answers to your issue.
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@guoz14, as a starting point, why don't you use the code from this blog post:
https://www.backtrader.com/blog/2019-07-19-rebalancing-conservative/rebalancing-conservative/
This strategy has an equal-weighting the portfolio, but since you already have the volatility indicator defined in the strategy, you could use that to risk balance the portfolio.
