Comments (2)
Thanks @flipdazed - one way to do this, would be to construct TradingModel classes for each of your building blocks. You'd then create a another portfolio based TradingModel strategy, and you'd fill the load_asset method to construct all the building blocks. The construct_signal method could be filled with all your weightings. You can then access all the return risk metrics for the whole portfolio, do all the sensitivity analysis (using TradeAnalysis) too.
At the moment there are automatic processes for doing things like vol targeting, but can imagine that people might want more complicated portfolio construction too.
However, I can add additional functionality to make this stacking of strategies a bit nicer/easier with TradingModel? One way I thought of doing this, would be simply to add your substrategies as parameters to the BacktestRequest and all the load_assets stuff would get filled automatically. You'd just need to write the scheme for construct_signals (and could default that to equal weighting). How does that sound?
from finmarketpy.
Ok I'll check how that works and get back to you
from finmarketpy.
Related Issues (20)
- TypeError: generate_canvas() got an unexpected keyword argument...
- 017-05-10 10:14:37,418 - findatapy.market.datavendorweb - INFO - Attempting... 1 request to download from Quandl due to following error: (Status 400) (Quandl Error QEAx01) We could not recognize your API key: x. HOT 2
- ImportError: cannot import name 'ols' HOT 1
- Link to Install.md broken in Readme.md HOT 1
- Installing arctic on Windows 10 with Anaconda Prompt and pip
- Installing findatapy on Windows 10 HOT 2
- Can I use it to backtest the cryptocurrency ? HOT 1
- spread trading costs HOT 5
- dataconstants.py
- TA-lib library? HOT 1
- Chartpy - Empty chart HOT 3
- .ix is deprecated since pandas-0.20 and removed in pandas-1.0.0 HOT 2
- platform.platform() doesn't just yield 'mac' [AttributeError: 'MarketConstants' object has no attribute 'generic_plat']
- only available returns are cumprod HOT 2
- Plotting for HF data HOT 1
- AttributeError: 'DataConstants' object has no attribute 'base_depos_tenor' HOT 4
- Any helper function for visualizing limit order data?
- Where is the api documentation? How are we supposed to use it? HOT 1
- Errors when trying to run fx_options_indices_examples HOT 2
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from finmarketpy.