Manage cashflows and update backtest

[tomlupo]

Hi everyone!
First of all big shot-out to @polakowo for making this great package.

My first question is about cash management. What I am trying to achieve is to add or withdraw cash on certain days of backtest. What is the best way to achieve that?

Secondly, I would like to save backtest (this is easy) and on the next day, when new market data arrive, load the backtest and extend it using new data. Is there a way to achieve this?

Thanks in advance!

[polakowo]

Hi @tomlupo, neither the first nor the second feature are implemented. I’m not sure whether the second one can be developed at all since backtests are atomic operations, but the first one can, probably in the near future.

[tomlupo]

thanks @polakowo for quick replay.

Regarding second feature I would like to run multiple strategies with daily updates. I guess the workaround would be to take end value and positions of the saved backtest and run the new backtest using these inputs and then combine both backtests returns. I have my own backtesting analytics built already so I need only returns from vectorbt to analyze the data. The only problem would be the transaction costs, slippage etc, affecting PnL. The combined returns would have to be adjusted to account for this. I will try this approach.
If you ever have some chance to implement something like this in the future that would be superb.

Regarding first feature I am glad to hear this :)

[polakowo]

Be aware that vectorbt doesn’t let you to start already in a position - you would need to enter the position each time you run the simulation on a new data. But the good news is that you can specify any previous order price and set transaction costs to zero to enter the position from the previous simulation at no cost, just prepend a dummy data point to your price series (the last closing price from the previous simulation), enter the position, and later extract the returns from the second data point. I will look into automating all of this.