Trading policies

This module contains trading policies that can be back-tested.

• Simple policies
  • AdaptiveRebalance
    • AdaptiveRebalance.execute()
  • Hold
    • Hold.execute()
  • AllCash
    • AllCash.execute()
  • FixedTrades
    • FixedTrades.execute()
  • FixedWeights
    • FixedWeights.execute()
  • MarketBenchmark
    • MarketBenchmark.execute()
  • PeriodicRebalance
    • PeriodicRebalance.execute()
  • ProportionalRebalance
    • ProportionalRebalance.execute()
  • ProportionalTradeToTargets
    • ProportionalTradeToTargets.execute()
  • RankAndLongShort
    • RankAndLongShort.execute()
  • Uniform
    • Uniform.execute()
  • SellAll
• Optimization-based policies
  • SinglePeriodOptimization
    • SinglePeriodOptimization.execute()
  • MultiPeriodOptimization
    • MultiPeriodOptimization.execute()
  • SinglePeriodOpt
  • MultiPeriodOpt

Base policy class (for defining your own policy)

class cvxportfolio.policies.PolicyView on GitHub

Base trading policy class, defines execute method.