Maybe its a simple answer .... I want to rebalance my portfolio if my whole portfolio price is less than its moving average. I know to calculate MAVG for each stock in portfolio with data object, but how can moving avergae done for the whole portfolio of stocks returns ?
Thanks,
You can use the field
context.portfolio.portfolio_value
to calculate the moving average. This consists of recording down the portfolio value every period (handle_data or some scheduled function) after T number of periods where T is also the length of your MA. Alternatively, you can use
context.portfolio.positions_value
if you just want to calculate moving average over the pure equity component -- in the case that you have remaining cash.
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