rebalance

tradeexecutor.strategy.pandas_trader.rebalance module.

Module description

Alpha model rebalancing.

Based on the new alpha model weights, rebalance the existing portfolio.

Functions

check_normalised_weights(weights[, epsilon])	Check that the sum of weights is good.
clip_to_normalised(weights)	If the sum of the weights are not exactly 1, then decrease the largest member to make the same sum 1 precise.
get_existing_portfolio_weights(portfolio)	Calculate the existing portfolio weights.
get_weight_diffs(existing_weights, new_weights)	Get the weight diffs.
rebalance_portfolio(position_manager, ...[, ...])	Rebalance a portfolio based on alpha model weights.