Comments (2)
Target value requires group value to determine the amount of shares to buy/sell. By default, Portfolio.from_order_func
uses previous close for valuation, and since there is no data point prior to the first one, the order is softly rejected.
If you use Portfolio.from_signals
and Portfolio.from_orders
you can see your example working, because they have access to every order in the group and thus they can valuate each group instantly with the current order price. But Portfolio.from_order_func
cannot do the same, because orders are created dynamically, and so the function has no access to all orders to come within each group. Even if columns are not grouped, vectorbt treats each column as a single group and applies the same logic for consistency.
If you know your order prices beforehand, you can define a segment_prep_func_nb
function and overwrite sc.last_val_price[col]
to your order price. See example under vectorbt.portfolio.nb.simulate_nb
from vectorbt.
I see, but I think I overlooked the fact that TargetValue
targets the total holdings for the asset and not the would-be current order value, so it needs the previous price
from vectorbt.
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from vectorbt.