Support for shorting about vectorbt HOT 12 CLOSED

Thumbs up for shorting feature.

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Update on the shorting branch: Shorting feature is almost ready in its core, some final touches are left. It will work similar to how it's implemented in backtrader: size > 0 means long, size < 0 means short. On top of that, np.inf means buying for all cash, -np.inf means borrowing the amount that can be covered by current portfolio value. One can still borrow more than that by providing a finite number. There won't be any limits or forced short cover though (portfolio value just turns negative). Target sizes all work as expected. I think this builds a great backbone that can be further extended by custom portfolio functions. If there is any other shorting related feature or idea drop it here.

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Implemented in 0.15.0. Refer to Portfolio docs for details. Basically there is a keyword argument direction that defaults to longonly for signals and all for orders and custom order function. Defaults can be changed in vectorbt.settings. There are tons of other features as well that I tried to fit into the release, that's why it lasted a bit longer, but it was worth it.

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Hi @erwan-rouzel, I'm up to finish iterative signal factory this week and then start implementing shorting. Can't give any estimates right now.

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Cool! Good news. Looking forward for it.

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Hi, that’s a great suggestion, shorting is definitely something to work on in the future. Right now we are more focused on writing the project documentation, I think that’s something everyone would love to have. After this, we will continue working on new features.

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do you have prerelease version of documentaion?

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You can find some basic API reference under https://polakowo.io/vectorbt/docs/index.html

In few days I will release the version 0.6 and the complete API reference.

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Hi @polakowo, any rough idea when the shorting feature could be released? That would be really great to have it!

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Thank!!! It is a very good news!!!

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Can you provide a brief example of long/short implementation from basic signal entries

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@wyczolko see examples under Portfolio.from_signals. Feel free to ask questions on Gitter.

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