Feature request: Margin trades about vectorbt HOT 6 OPEN

from vectorbt.

Margin trading is currently difficult to integrate as the whole portfolio simulation logic is built around cash accounts. It would require some memory of previous actions and tracking their status at each data point, which in turn would negatively impact performance. It certainly can be done, and I will mark this as an enhancement for future releases.

In the meantime I can make some sort of "flexible cash" where you set init_capital to np.inf, run your simulation, and the initial funds will be automatically set to the highest amount of cash you spent during this simulation. The only problem with this is that different columns will have different initial funds -> portfolio value -> returns, and thus less comparable, and vectorbt is all about comparing different configurations.

Right now I'm working on combined portfolios and already made more options for calculating returns. One of them is "active returns", which are not calculated from portfolio value but from holding value and cash flows of transactions. This way, returns will be the same as if you invested all your cash into the security and thus you can set initial capital to infinity and still be able to compare columns.

from vectorbt.

"Active returns" sounds like it'll be quite useful. Any idea when you might be able to release it?

from vectorbt.

I will try to release v0.14 by the end of the next week..

from vectorbt.

@polakowo thanks for your effort on this elegant framework. i want to know ,is there any plane on this feature .margin with hedge support.

from vectorbt.

@guzuomuse I have currently no plans on implementing this feature as I have less time for open-source projects and I don't use margin trading very much, but it may be implemented somewhere in the near future. Contributions are very welcome.

from vectorbt.