Portfolio Construction (Single-Strategy Multi-Asset)¶

Build multi-asset portfolios with rebalancing using a single strategy.

What this notebook shows:

• How to build an equal-weight portfolio across multiple assets
• Monthly rebalancing within ONE strategy
• Portfolio construction with order_target_percent

What this notebook does NOT show:

• Multiple independent strategies running simultaneously
• For multi-strategy portfolios (multiple strategies with isolated capital), see Notebook 09: Multi-Strategy Portfolio

Key Difference:

• This notebook: ONE strategy managing MULTIPLE assets
• Notebook 09: MULTIPLE strategies, each with independent capital and logic

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📋 Notebook Information

• RustyBT Version: 0.1.2+
• Last Validated: 2025-11-07
• API Compatibility: Verified ✅
• Documentation: API Reference

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In [1]:

from rustybt import TradingAlgorithm
from rustybt.analytics import setup_notebook
from rustybt.api import order_target_percent, symbol

setup_notebook()

from rustybt import TradingAlgorithm from rustybt.analytics import setup_notebook from rustybt.api import order_target_percent, symbol setup_notebook()

✅ Notebook environment configured successfully
   - Async/await support enabled
   - Pandas display options optimized
   - Progress bars configured

Equal-Weight Portfolio¶

In [2]:

class EqualWeightPortfolio(TradingAlgorithm):
    """Equal-weight portfolio with monthly rebalancing."""

    def initialize(self, context) -> None:
        """Initialize the portfolio strategy."""
        # Define the assets in our portfolio
        context.assets = [symbol(s) for s in ["SPY", "TLT", "GLD", "VNQ"]]
        
        # Calculate target weight for each asset (equal weight)
        context.target_weight = 1.0 / len(context.assets)
        
        # Schedule monthly rebalancing (first trading day of each month)
        from rustybt.api import schedule_function, date_rules, time_rules
        schedule_function(
            self.rebalance, 
            date_rules.month_start(), 
            time_rules.market_open()
        )

    def rebalance(self, context, data) -> None:
        """Rebalance portfolio to equal weights."""
        for asset in context.assets:
            # Set each asset to its target weight
            order_target_percent(asset, context.target_weight)


# Example usage:
# To run this strategy, you would use run_algorithm():
#
# from rustybt.utils.run_algo import run_algorithm
# import pandas as pd
#
# results = run_algorithm(
#     start=pd.Timestamp('2020-01-01', tz='utc'),
#     end=pd.Timestamp('2023-12-31', tz='utc'),
#     initialize=EqualWeightPortfolio().initialize,
#     handle_data=EqualWeightPortfolio().handle_data,
#     capital_base=100000.0,
#     bundle='yfinance',
#     data_frequency='daily',
# )

class EqualWeightPortfolio(TradingAlgorithm): """Equal-weight portfolio with monthly rebalancing.""" def initialize(self, context) -> None: """Initialize the portfolio strategy.""" # Define the assets in our portfolio context.assets = [symbol(s) for s in ["SPY", "TLT", "GLD", "VNQ"]] # Calculate target weight for each asset (equal weight) context.target_weight = 1.0 / len(context.assets) # Schedule monthly rebalancing (first trading day of each month) from rustybt.api import schedule_function, date_rules, time_rules schedule_function( self.rebalance, date_rules.month_start(), time_rules.market_open() ) def rebalance(self, context, data) -> None: """Rebalance portfolio to equal weights.""" for asset in context.assets: # Set each asset to its target weight order_target_percent(asset, context.target_weight) # Example usage: # To run this strategy, you would use run_algorithm(): # # from rustybt.utils.run_algo import run_algorithm # import pandas as pd # # results = run_algorithm( # start=pd.Timestamp('2020-01-01', tz='utc'), # end=pd.Timestamp('2023-12-31', tz='utc'), # initialize=EqualWeightPortfolio().initialize, # handle_data=EqualWeightPortfolio().handle_data, # capital_base=100000.0, # bundle='yfinance', # data_frequency='daily', # )