Rebalancing & delayΒΆ
Composable, strictly causal (T, N) transforms between an allocator/signal and backtest: the effective book drifts with asset returns and trading is throttled on a calendar (rebalance_calendar), inside a no-trade band (rebalance_band) or under a per-bar turnover budget (rebalance_turnover_cap), plus whole-lot discretization (discretize) and an execution delay (delay).
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Rebalance to target weights on a fixed calendar, drift between. |
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Rebalance only when the drift leaves a no-trade band around the target. |
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Move toward the target each bar under a per-bar turnover budget. |
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Round a target weight book to whole lots on a fixed capital base. |
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Shift a weight book forward by a fixed number of bars. |