Rebalance quarterly

[Crespecular]

Hi, I want to sell (cover for shorting) all the current long(short) holdings on my portfolio every quarter and replace them with the new stocks.

class Short(bt.Strategy):
    
 
    params = (
    ('losscut', 0.05),
    ('profit', 0.05),
    ('max_stock', 5),
    )

    
    
    def __init__(self):
        self.inds = dict()
        self.entry = {}
        self.loss_cut = {}
        self.profit_realisation = {}
        self.shorting_list = []
        self.shorted_list = []

    def next(self):
        
        for i, d in enumerate(self.datas):
            dt, dn = self.datetime.date(), d._name
            pos = self.getposition(d).size
            if pos == 0: 
                if dn not in self.shorted_list:
                    if len(self.shorting_list) == self.params.max_stock:
                        return
                    else:
                        self.order_target_percent(data=d, target = -0.1)
                        self.entry.update({dn:d.close[0]})
                        self.shorted_list.append(dn)
                        self.shorting_list.append(dn)
                        
            else:
                if dt.month in [3,6,9,12]:
                   # I need the codes that clears the whole position in the beginning (or at the end) of every quarter (ex: 1st of March or 28th of March)'
                    pass
                
                if d.close[0] > self.entry[dn]*float(1 + self.params.losscut) == 1:
                    self.order_target_percent(data=d, target = 0)
                    self.loss_cut.update({dn:d.close[0]})
                    self.shorting_list.remove(dn)
                    
                elif d.close[0]<self.entry[dn]*(1 - self.params.profit):
                    self.order_target_percent(data=d, target = 0)
                    self.profit_realisation.update({dn:d.close[0]})
                    self.shorting_list.remove(dn)
                    


                pass

If anyone knows something, please enlighten me!

Thank you :D

[backtrader]

This post in reddit shows how rebalancing is done on each next iteration.

• https://www.reddit.com/r/algotrading/comments/8f658v/the_conservative_formula_in_python_quantitative/

In your case you want only to execute rebalancing once at the beginning of each quarter. To do so:

• Keep a variable which holds what the next quarter will be in format YYYYMM for example
• When the components of the current date match the quarter, you can rebalance.
• Update the variable to the next quarter, which will be either: YYYY(MM + 3) or (YYYY + 1)03

[backtrader]

There is an additional path: use Docs - Timers

You can watch day 1 of each month and only take action if the month is 3, 6, 9 or 12 or implement a callable which does the calculation and pass it to allow