multi-asset about vectorbt HOT 6 CLOSED

Hi, if by a multi-asset strategy you mean assigning weights to each asset, I will add the feature today where you can perform operations on entire portfolios, such as multiplying by a weight, or add two portfolios together (that internally just adds two rolling equities). It will look something like this:

portfolio = 0.3 * portfolio1 + 0.7 * portfolio2

Or you mean something more complex such as assigning different weights to each trade?

from vectorbt.

Thx for your answer. I mean something more complicated. At the moment I'm using this package: bt. It is great but slow (and not really active anymore).
I am looking at building strategies with algos like Risk Parity, ERC (or even equal weight) etc to assign weights to each asset.

from vectorbt.

To my understanding risk parity just allocates weights to each asset based on some optimization problem, so you end up simply calculating the weights and multiplying the weights by each asset, which is equivalent of allocating different investment to each asset?

from vectorbt.

yes but weights will vary each time you rebalance (e.g. every month)

from vectorbt.

So you will end up with a weights vector for each time step, and based on this vector you make decisions what to buy more and what to sell. This isn't possible in current form since the Positions class takes only values either -1 or 1 which means either you go all in or all out, but this is doable I guess.

Thanks for this awesome idea, I will think of how to implement it efficiently.

from vectorbt.

Thanks for your answers!

from vectorbt.