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I want to backtest the impact of daily withdrawals of 0.1% of the total portfolio value.
How can I do this, based on the attached algorithm?
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Derek Melchin
Hi Filib,
We can withdraw 0.1% of our total portfolio value each day by first setting a Scheduled Event
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(0, 0), self.Withdraw)Then we define `Withdraw` as
def Withdraw(self): withdraw_amount = self.Portfolio.TotalPortfolioValue * 0.001 current_cash = self.Portfolio.CashBook[self.AccountCurrency].Amount self.Portfolio.CashBook.Add(self.AccountCurrency, current_cash - withdraw_amount, 1)See the attached backtest for reference. Note that the leverage has been removed to ensure we have cash in the account when we go to withdraw.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Filib Uster
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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