Added only_rebalance_drifted_assets parameter

lumibot/components/drift_rebalancer_logic.py

@@ -84,6 +84,10 @@ class DriftRebalancerLogic:
         When set to True, the strategy will only use fractional shares. The default is False, which means
         the strategy will only use whole shares.
 
+    only_rebalance_drifted_assets : bool, optional
+        If True, the strategy will only rebalance assets whose drift exceeds the drift_threshold.
+        The default is False, which means the strategy will rebalance all assets in the portfolio.
+
     """
 
     def __init__(
@@ -96,7 +100,8 @@ def __init__(
             acceptable_slippage: Decimal = Decimal("0.005"),
             fill_sleeptime: int = 15,
             shorting: bool = False,
-            fractional_shares: bool = False
+            fractional_shares: bool = False,
+            only_rebalance_drifted_assets: bool = False
     ) -> None:
         self.strategy = strategy
         self.calculation_logic = DriftCalculationLogic(
@@ -111,7 +116,8 @@ def __init__(
             acceptable_slippage=acceptable_slippage,
             shorting=shorting,
             order_type=order_type,
-            fractional_shares=fractional_shares
+            fractional_shares=fractional_shares,
+            only_rebalance_drifted_assets=only_rebalance_drifted_assets
         )
 
     def calculate(self, portfolio_weights: List[Dict[str, Any]]) -> pd.DataFrame:
@@ -313,7 +319,8 @@ def __init__(
             acceptable_slippage: Decimal = Decimal("0.005"),
             shorting: bool = False,
             order_type: Order.OrderType = Order.OrderType.LIMIT,
-            fractional_shares: bool = False
+            fractional_shares: bool = False,
+            only_rebalance_drifted_assets: bool = False
     ) -> None:
         self.strategy = strategy
         self.drift_threshold = drift_threshold
@@ -322,6 +329,7 @@ def __init__(
         self.shorting = shorting
         self.order_type = order_type
         self.fractional_shares = fractional_shares
+        self.only_rebalance_drifted_assets = only_rebalance_drifted_assets
 
         # Sanity checks
         if self.acceptable_slippage >= self.drift_threshold:
@@ -379,6 +387,10 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:
                     sell_orders.append(order)
 
             elif row["drift"] < 0:
+
+                if self.only_rebalance_drifted_assets and abs(row["drift"]) < self.drift_threshold:
+                    continue
+
                 base_asset = row["base_asset"]
                 last_price = Decimal(self.strategy.get_last_price(base_asset))
                 limit_price = self.calculate_limit_price(last_price=last_price, side="sell")
@@ -426,6 +438,10 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:
                 cash_position -= quantity * limit_price
 
             elif row["drift"] > 0:
+
+                if self.only_rebalance_drifted_assets and abs(row["drift"]) < self.drift_threshold:
+                    continue
+
                 base_asset = row["base_asset"]
                 last_price = Decimal(self.strategy.get_last_price(base_asset))
                 limit_price = self.calculate_limit_price(last_price=last_price, side="buy")

lumibot/example_strategies/classic_60_40_config.py

@@ -22,5 +22,7 @@
             "weight": Decimal("0.4")
         }
     ],
-    "shorting": False
+    "shorting": False,
+    "fractional_shares": False,
+    "only_rebalance_drifted_assets": False,
 }

lumibot/example_strategies/crypto_50_50.py

@@ -23,7 +23,8 @@
         "acceptable_slippage": "0.005",  # 50 BPS
         "fill_sleeptime": 15,
         "shorting": False,
-        "fractional_shares": True
+        "fractional_shares": True,
+        "only_rebalance_drifted_assets": False,
     }
 
     if not is_live:

lumibot/example_strategies/drift_rebalancer.py

@@ -41,7 +41,9 @@ class DriftRebalancer(Strategy):
                 "weight": Decimal("0.4")
             }
         ],
-        "shorting": False
+        "shorting": False,
+        "fractional_shares": False,
+        "only_rebalance_drifted_assets": False,
     }
 
     Description of parameters:
@@ -79,6 +81,7 @@ class DriftRebalancer(Strategy):
     - portfolio_weights: A list of dictionaries containing the base_asset and weight of each asset in the portfolio.
     - shorting: If you want to allow shorting, set this to True. Default is False.
     - fractional_shares: If you want to allow fractional shares, set this to True. Default is False.
+    - only_rebalance_drifted_assets: If you want to only rebalance assets that have drifted, set this to True. Default is False.
 
     """
 
@@ -94,6 +97,7 @@ def initialize(self, parameters: Any = None) -> None:
         self.portfolio_weights = self.parameters.get("portfolio_weights", {})
         self.shorting = self.parameters.get("shorting", False)
         self.fractional_shares = self.parameters.get("fractional_shares", False)
+        self.only_rebalance_drifted_assets = self.parameters.get("only_rebalance_drifted_assets", False)
         self.drift_df = pd.DataFrame()
         self.drift_rebalancer_logic = DriftRebalancerLogic(
             strategy=self,
@@ -104,6 +108,7 @@ def initialize(self, parameters: Any = None) -> None:
             fill_sleeptime=self.fill_sleeptime,
             shorting=self.shorting,
             fractional_shares=self.fractional_shares,
+            only_rebalance_drifted_assets=self.only_rebalance_drifted_assets,
         )
 
     # noinspection PyAttributeOutsideInit

tests/test_drift_rebalancer.py

@@ -954,6 +954,49 @@ def test_selling_part_of_a_holding_with_limit_order(self):
         assert strategy.orders[0].quantity == Decimal("5")
         assert strategy.orders[0].type == Order.OrderType.LIMIT
 
+    def test_selling_with_only_rebalance_drifted_assets_when_over_drift_threshold(self):
+        strategy = MockStrategyWithOrderLogic(
+            broker=self.backtesting_broker,
+            order_type=Order.OrderType.LIMIT
+        )
+        df = pd.DataFrame({
+            "symbol": ["AAPL"],
+            "base_asset": [Asset("AAPL", "stock")],
+            "is_quote_asset": False,
+            "current_quantity": [Decimal("10")],
+            "current_value": [Decimal("1000")],
+            "current_weight": [Decimal("1.0")],
+            "target_weight": Decimal("0.5"),
+            "target_value": Decimal("500"),
+            "drift": Decimal("-0.5")
+        })
+        strategy.order_logic.only_rebalance_drifted_assets = True
+        strategy.order_logic.rebalance(drift_df=df)
+        assert len(strategy.orders) == 1
+        assert strategy.orders[0].side == "sell"
+        assert strategy.orders[0].quantity == Decimal("5")
+        assert strategy.orders[0].type == Order.OrderType.LIMIT
+
+    def test_selling_with_only_rebalance_drifted_assets_when_not_over_drift_threshold(self):
+        strategy = MockStrategyWithOrderLogic(
+            broker=self.backtesting_broker,
+            order_type=Order.OrderType.LIMIT
+        )
+        df = pd.DataFrame({
+            "symbol": ["AAPL"],
+            "base_asset": [Asset("AAPL", "stock")],
+            "is_quote_asset": False,
+            "current_quantity": [Decimal("10")],
+            "current_value": [Decimal("1000")],
+            "current_weight": [Decimal("1.0")],
+            "target_weight": Decimal("0.5"),
+            "target_value": Decimal("500"),
+            "drift": Decimal("-0.001")  # make drift small
+        })
+        strategy.order_logic.only_rebalance_drifted_assets = True
+        strategy.order_logic.rebalance(drift_df=df)
+        assert len(strategy.orders) == 0
+
     def test_selling_part_of_a_holding_with_market_order(self):
         strategy = MockStrategyWithOrderLogic(
             broker=self.backtesting_broker,
@@ -1319,6 +1362,49 @@ def test_selling_some_with_fractional_limit_orders(self):
         assert strategy.orders[0].quantity == Decimal("1.507537688")
         assert strategy.orders[0].type == Order.OrderType.LIMIT
 
+    def test_buying_with_only_rebalance_drifted_assets_when_over_drift_threshold(self):
+        strategy = MockStrategyWithOrderLogic(
+            broker=self.backtesting_broker,
+            order_type=Order.OrderType.LIMIT
+        )
+        df = pd.DataFrame({
+            "symbol": ["AAPL"],
+            "base_asset": [Asset("AAPL", "stock")],
+            "is_quote_asset": False,
+            "current_quantity": [Decimal("0")],
+            "current_value": [Decimal("0")],
+            "current_weight": [Decimal("0.0")],
+            "target_weight": Decimal("0.5"),
+            "target_value": Decimal("500"),
+            "drift": Decimal("0.5")
+        })
+        strategy.order_logic.only_rebalance_drifted_assets = True
+        strategy.order_logic.rebalance(drift_df=df)
+        assert len(strategy.orders) == 1
+        assert strategy.orders[0].side == "buy"
+        assert strategy.orders[0].quantity == Decimal("4.0")  #
+        assert strategy.orders[0].type == Order.OrderType.LIMIT
+
+    def test_buying_with_only_rebalance_drifted_assets_when_not_over_drift_threshold(self):
+        strategy = MockStrategyWithOrderLogic(
+            broker=self.backtesting_broker,
+            order_type=Order.OrderType.LIMIT
+        )
+        df = pd.DataFrame({
+            "symbol": ["AAPL"],
+            "base_asset": [Asset("AAPL", "stock")],
+            "is_quote_asset": False,
+            "current_quantity": [Decimal("0")],
+            "current_value": [Decimal("0")],
+            "current_weight": [Decimal("0.0")],
+            "target_weight": Decimal("0.5"),
+            "target_value": Decimal("500"),
+            "drift": Decimal("0.001")  # make drift small
+        })
+        strategy.order_logic.only_rebalance_drifted_assets = True
+        strategy.order_logic.rebalance(drift_df=df)
+        assert len(strategy.orders) == 0
+
 
 # @pytest.mark.skip()
 class TestDriftRebalancer: