peperrr last edited by
Many thanks for this great tool. I would like to create multiple strategies that operate concurrently on one or multiple asset by e.g. looking at triggers in different timeframes. Ideally, an independent entity should authorize/modify the incoming orders to net orders and enforce some risk management constraints (e.g. margins, Portfolio VaR, ...). If I understand it correctly, a strategy's sizer does not take into consideration open positions in the same or different assets.
Do you have plans to add portfolio management functionality to backtrader? Would someone else find this useful?
- Using multiple strategies is posible
- Multiple assets and multiple timeframes too
sizercan be used as a portfolio manager in the sense that it can:
- Modify and even invalidate (not authorize) an order by returning the size, which can be
sizerhas access to the
strategyin which is running and the associated
brokerand with it to the universe of assets and for example net liquidation value
This means complex logic can be implemented to support the mentioned criteria: Margins, Var.
- Order issuing. This logic is supposed to take place before the
- Re-balancing of portfolios for example
A fully fledged portfolio manager would require development (not light for sure) and popular support (or other art of) for such a feature would be needed.