vectorbt
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Cannot seem to make my strategy go either 1 asset long or 1 asset short
I am trying to set up my strategy in such a way that (based on my indicator) it either goes long 1 asset or short 1 asset (i.e., it reverses its position) based on my indicator, since I am trading futures. Therefore, I do not want to sell short (i.e. add cash), but fully reverse my position.
I have already tried to adapt my Portfolio.from_orders or Portfolio.from_signals settings, however this has not worked. If I am not mistaken, the output below should show a size of 1 for all of the orders, right?
Does anyone know how to fix this? Thanks in advance!
I guess you have the initial capital set to default ($100) and your size is also to default (infinity - go all in/out), since 0.744 * 134.23 = 100. Do vbt.Portfolio.from_signals(..., size=1, ...)
to trade with one share.