rebalance_turnover_cap¶

Defined in fynance.portfolio.rebalance

rebalance_turnover_cap(W, X, budget=0.10)[source]

Move toward the target each bar under a per-bar turnover budget.

Each bar the held book is drifted with asset returns, then traded toward the current target W[t] — but the trade \(\Delta w = E_t - w^{\text{drift}}_t\) is capped so its one-way turnover \(\sum_i |\Delta w_i|\) never exceeds budget. When the desired move is larger than the budget the whole trade vector is scaled down by budget / desired (its direction preserved, only its size shrunk), so the book eases toward a persistent target over several bars instead of snapping in one. The book starts flat, so the initial entry is throttled by the same budget.

Parameters:

Warray_like: Target weights, shape (T, N) (1-D promoted to (T, 1), output squeezed back). Long-short books are supported.
Xarray_like: Price/level panel aligned with W, same shape.
budgetfloat, optional: Maximum one-way turnover sum_i |dw_i| allowed per bar; must be >= 0. Default 0.10.

Returns:

np.ndarray: Effective weights actually held, same shape as W.

Raises:

ValueError: If W and X do not share the same shape, contain non-finite values, or budget < 0.

See also

rebalance_calendar
rebalance_band

Examples

A 50% budget lets an all-in-asset-0 to all-in-asset-1 target ease over several bars; the first bar can move at most 0.5 of turnover from flat:

>>> import numpy as np
>>> W = np.array([[1.0, 0.0], [0.0, 1.0]])
>>> X = np.array([[100.0, 100.0], [100.0, 100.0]])
>>> E = rebalance_turnover_cap(W, X, budget=0.5)
>>> np.round(E[0], 3)
array([0.5, 0. ])