pmorissette / bt

bt - flexible backtesting for Python
http://pmorissette.github.io/bt
MIT License
2.29k stars 430 forks source link

Dynamically allocate capital based on recent performance #414

Open posidonius opened 1 year ago

posidonius commented 1 year ago

Given a parent strategy with two child strategies starting off with equal weights, does bt offer the ability to dynamically (based on recent performance) allocate more capital to the overperforming child strategy and less capital to the underperforming child strategy?