Dynamic Asset Allocation Weights Indicator

[Ronny Li]

Has anyone here implemented an indicator that returns weights for assets in a portfolio? Here is the Strategy version:

class WeighInverseVol(bt.Strategy):

    def __init__(self):
        rs = [bt.ind.PctChange(d.close, period=1) for d in self.datas]
        vs = [bt.ind.StdDev(ret, period=30) for ret in rs]
        inv = [bt.DivByZero(bt.LineNum(1), v) for v in vs]
        invsum = bt.LineNum(0)
        for inv_ in inv:
            invsum += inv_
        # self.weights is an array of asset allocation weights
        # one weight per asset in self.datas
        self.weights = [inv_ / invsum for inv_ in inv]

I'd like WeighInverseVol to be an Indicator so I can use it within other strategies but I don't know how to return a dynamic number of lines within an indicator. Any advice?

Thanks!