Accounting for Deposits & Withdrawals in Backtests (and Live Trading)

Hi Mark Reeve,
We can simulate the above behavior in the backtest by the AddAmount method of the cashbook object. We can use the Scheduled events method of the QCAlgorithm class to incorporate the factor of withdrawing each month. Refer to the following snippet:
 

#in the Initialize method

self.Schedule.On(self.DateRules.MonthEnd("SPY"), \
     self.TimeRules.AfterMarketOpen("SPY"), \
     self.RebalancingCode)


def RebalancingCode(self):
    
  self.Liquidate()
    
  new_amount = self.Portfolio.Cashbook["USD"].AddAmount(-excess)

Note that we recommend liquidating the holdings before withdrawing from the account.
Best,
Varad Kabade

Thanks Varad!

That is exactly the functionality I am looking for… except I cannot get this implementation to work…

I receive the following error:

AttributeError : 'SecurityPortfolioManager' object has no attribute 'Cashbook'

I also note there is nothing in the Docs about Cashbook or AddAmount?

Hi Mark Reeve,
Unfortunately, there was a typo in the above-attached code snippet; the correct attribute name is CashBook. Refer to the updated code snippet:
 

self.Schedule.On(self.DateRules.MonthEnd("SPY"), \
   self.TimeRules.AfterMarketOpen("SPY"), \
   self.RebalancingCode)



RebalancingCode(self):
   
 
     self.Liquidate()
   
 
     new_amount = self.Portfolio.CashBook["USD"].AddAmount(-excess)

We are currently working on new docs, and we will cover the CashBook and the AddAmount method. Also, we recommend following the link for a detailed description of the API. You can find details about AddAmount and CashBook here[1, 2].
Best,
Varad Kabade