Multiple assets backtest using bt

[Sabir Jana]

Hello,
Thanks for the great project!
I have optimized weights for multiple assets and would like to backtest with monthly rebalancing. Any suggestions on how to proceed with backtesting with bt? Let me give an example on how to do this using zipline

def initialize(context):
    context.securities = {
                        'AAPL': 0.25, 
                        'ABBV': 0.3, 
                        'ABC': 0.3, 
                        'CAT': 0.075, 
                        'CSCO': 0.075
    }
    schedule_function(rebalance, date_rules.month_start(), time_rules.market_open())

def rebalance(context, data):
    # Loop through the securities
    for sec, weight in context.securities.items():
        sym = symbol(sec)
        if data.can_trade(sym):
            # Reset the weight
            order_target_percent(sym, weight)

Appreciate any help!!

[run-out]

Have a look at this article and see if it helps.