Comments (1)
Hello, yes it can be done. There are 2 types of costs, SimulatorCost
used by the market simulator, which implement this interface, and cost objects used in optimization. For those it's a bit trickier since the method called on them at each iteration does not return the cost itself; it updates the value of CVXPY parameters of their expression; it is this method. Both methods receive the current weights of the allocation so they can implement logic to make the cost dependent on your position, whether you're getting in or out. If you derive from SimulatorCost
itself it can be possible to define the same object that works both in simulation and optimization, but you should be careful to create different instances to pass to the policy and to the simulator. I'll try to improve the documentation of those, ideally the manual page should explain how custom cost (and costraints, ...) are created.
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Related Issues (20)
- Questions on accounting model (e.g., for short positions) HOT 3
- Robustify online execution of example strategies (when open prices are missing) HOT 1
- Failure on non-numeric (object dtpye) user-provided data difficult to understand HOT 6
- Example request - Margin in a different currency HOT 14
- BUG: packaging failed to include modules moved into submodules (constraints, data)
- Feature request: handle user-defined time-varying universes (and better error checks with temporary `nan`s in user-provided returns) HOT 13
- Data quality issues in `ftse100_daily` example strategy
- EOFError: Ran out of input HOT 4
- Rendering of code blocks in README on github is broken
- Feature request: add `market_data=None` option to `Policy.execute`
- Feature request: Add constraint priority with automatic resolution into soft-constraints HOT 1
- can we load into our custom crypto data into cvxportfolio for backtesting and portfolio construction ? [bounty possible] HOT 1
- Feature Request: Online Data Loading HOT 1
- Ecos needs to added in pyproject "test" optional dependencies HOT 1
- Issue loading data from FRED HOT 9
- Testsuite failing on py 3.9 b/c of dependencies HOT 1
- The result of backtesting 30 years is different from 5 years? HOT 5
- Feature Request: Ignore Tcosts in first period HOT 2
- Incompatible with Numpy 2.0
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