Fund UCITS constraints: 5/10/40 rule

spyamine

Hi,

I really enjoy the platform. Though I'd like to know if it's possible to implement the UCITS rule of 5/10/40 rule. A rule that should be enforced during the backtest and the live trading of the portfolio. The rule is that every stock in the portfolio should not exceed 5% of the NAV and for those that are bigger than 5% the sum of those stock should not exceed 40% of the total portfolio. Can you please help with ideas to implement this constraint or better provide a code for that.

Thank you

ab_trader

@spyamine

At every next() you need to:

get broker value
loop thru all positions currently held and for every position:
- get position price
- if position price larger than 5% of broker value then save it to dictionary bad_positions
calculate value of all positions in the bad_positions dictionary
if this value larger then 40% of broker value then do what need to be done and what was skipped in your post

spyamine

@ab_trader Perfect thank you for this insight. I'm new to this platform!!

spyamine

Is it possible to imagine a seperate function that would do that for the portfolio? so we can activate it or copy paste it to every algorythm easily?

backtrader

@spyamine said in Fund UCITS constraints: 5/10/40 rule:

Is it possible to imagine a seperate function that would do that for the portfolio?

Of course you can imagine such a function: you can define an additional method in your strategy and invoke it from next

spyamine

@backtrader said in Fund UCITS constraints: 5/10/40 rule:

Of course you can imagine such a function: you can define an additional method in your strategy and invoke it from next

will try to do this. just a normal function ??
thanks