BT composite strategies

This repository shows the effect of the issue pmorissette/bt#415. For more details see the test_interpreter.py unit test or use the Jupyter notebook example.ipynb

Simple buy and hold strategy:

We create a simple buy and hold strategy with the QQQ.

• Everything is fine.
• We have transactions.
• The backtest works fine.
• The portfolio gets rebalanced every day.

First level composite strategy

• Everything is fine.
• We have transactions.
• The backtest works fine.
• The portfolio gets rebalanced every day.

Second level composite strategy

We create a combined strategy containing to combined strategies and one asset.

• The execution fails with

E   AttributeError: 'Strategy' object has no attribute '_values'

bt/core.py:763: AttributeError

How to get this working?

git clone https://github.com/Pirat83/bt-composite-strategies.git
cd bt-composite-strategies/
conda create --name bt-composite-strategies
conda env update

If you can contribute to the solution I would appreciate it very much.