pmorissette/bt

Obtain the current security weights

tqdo opened this issue · 0 comments

tqdo commented

One of my strategies involves adding more capital to the portfolio periodically, and I would like the injected capital to be allocated according to the weights at that time. Basically my strategy looks something like this

contribution_stack = bt.AlgoStack(             
                bt.algos.RunMonthly(),
                bt.algos.CapitalFlow(100),
                UseCurrentWeight(),
                bt.algos.Rebalance()
            )

I do not rebalance my portfolio. I wonder whether what UseCurrentWeight() should look like? Thanks