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How to build non-time triggered algo #404

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spaskob opened this issue Feb 22, 2023 · 0 comments
Open

How to build non-time triggered algo #404

spaskob opened this issue Feb 22, 2023 · 0 comments
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@spaskob
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spaskob commented Feb 22, 2023

Hi,

I'd like to backtest a simple equally rebalance strategy but instead of rebalancing at regular intervals I'd like to rebalance only when a security weight in the portfolio falls below a threshold. I tried to code this myself but got stuck accessing the current weight of an instrument in the portfolio.

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