Equal allocation and max active trades

[bibinvargheset]

I was trying to allocate equal amount to each trade and find max fund required or max active trades no limit on max possible portfolio value. If possible how can we equal amount for every trade. can you advice on how to implement that

[polakowo]

It’s all in the docs: either use ‘amount’ or ‘value’ for constant position size (https://vectorbt.dev/docs/portfolio/enums.html#vectorbt.portfolio.enums.SizeType) and set initial cash to ‘auto’ (https://vectorbt.dev/docs/portfolio/enums.html#vectorbt.portfolio.enums.InitCashMode). You can then query for the max spent cash using Portfolio.init_cash.

[bibinvargheset]

pf = vbt.Portfolio.from_signals(price_info, entries=spikes_df_entry, freq="D",size=10000,size_type="Amount",init_cash='autoalign', fees=0.0025,sl_stop=0.1,adjust_sl_func_nb=adjust_sl_func_nb)
size_type=0
size_type=vbt.portfolio.SizeType.Amount
Start 2020-07-01 00:00:00
End 2021-07-23 00:00:00
Period 267 days 00:00:00
Start Value 592477500.0
End Value 595257499.242454
Total Return [%] 0.469216
Benchmark Return [%] 131.249021
Max Gross Exposure [%] 2.249807
Total Fees Paid 110881.728675
Max Drawdown [%] 0.358863
Max Drawdown Duration 105 days 21:17:28.818897638
Total Trades 2.14042
Total Closed Trades 1.688976
Total Open Trades 0.451444
Open Trade P&L 2257565.226706
Win Rate [%] 73.846451
Best Trade [%] 7.894492
Worst Trade [%] -0.213637
Avg Winning Trade [%] 9.376798
Avg Losing Trade [%] -11.422347
Avg Winning Trade Duration 29 days 20:33:43.541612652
Avg Losing Trade Duration 22 days 10:36:24.269662921
Profit Factor inf
Expectancy 216807.308164
Sharpe Ratio 0.599079
Calmar Ratio 1.657703
Omega Ratio 1.208136
Sortino Ratio 1.17035

sum(pf.trades.records.pnl) =2118359422.75

The difference between
Start Value 592477500.0
End Value 595257499.242454

is not aligned with pnL
And the size type sees not be not taken in all cases

How can we log the entry actual index into the trade log (dates) and the symbols now passes as columns.

Moreover the trade holidays are not accounted as it is already removed from the index i think is the index it is used it would be much understandable

[polakowo]

• When you run Portfolio.stats, there is a warning that your portfolio contains multiple columns so it takes the mean across each metric (not the sum).
• I have no idea what you're doing wrong with your size_type, but you don't use it at all from your example.
• I don't understand both of your questions, so elaborate.