Portfolio rebalance on multiple strategies
Marco Cellarosi last edited by
Hi, I'm new on backtrader and I tried to study all possibilities this object can do and I have to say that it is amazing. But! I can't figure out how to manage portfolio as group of strategies. I maybe need one more level and I don't understant if it is possible..
I'll make an example (absolutly no sense example!).
Immagine you have 2 strategies.
Strategy 1. Buy SPY from May to December, then switch on TLT from January to April. (we choose to rebalance the % of capital to use based on volatiliy of last 12 month. The other part is cash.)
Strategy 2. Builds a 60/40 portfolio, 60% Google and 40% Apple. (With fix rebalance)
So you have 2 strategy. Now I have 100,000 $ and I want to put 30% on Strategy 1 and 70% on Strategy 2 with month rebalancing.
So 30,000 on Strategy1 pass through rebalance method that calculate che right % of this capital to use, based on volatility last 12 month , then other money go to cash of first strategy.
Same thing for the Strategy2. 70,000$ is the total for the strategy and 70,000*0.6=42,000$ goes to Goole and 28,000 $ on Apple.
Every month take total of Portfolio and make the rebalance again, first on the two strategy (30%/70%), then using the method defined into the single strategy but only using the money comes from main rebalance
Hope it is clear :)
Thank you in advance