Posts made by Ronny Li

I have two strategies that I'd like to run sequentially. The first strategy allocates a portion of the portfolio between its assets (using self.order_target_percent) and the second strategy uses what remains of the portfolio.

What is the best way in backtrader to achieve the above?

Hi Sabir, bt.DivByZero is what you're looking for. Here's an example where I use it

class WeighInverseVol(bt.Strategy):
    params = (
        ('period', 30),
    )

    def __init__(self):
        rs = [bt.ind.PctChange(d, period=1) for d in self.datas]
        vs = [bt.ind.StdDev(ret, period=self.params.period) 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]

Here's the source code for bt.DivByZero: https://github.com/mementum/backtrader/blob/master/backtrader/functions.py#L43

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!

@backtrader The PR addressing this issue has been approved and just needs to be merged: https://github.com/mementum/backtrader/pull/401