bug: long_only and short_only periodic returns don't sum up to long_short daily returns about vectorbt HOT 4 OPEN

@polakowo

Thus, you short buy slightly more than you can afford

I don't fully understand this. Do you mind to elaborate?

Still, no matter how you treat fees/slippage in the first place, I feel that long_only and short_only returns should add up to both returns.

Coming back to my example above (periods marked in yellow in the second dataframe), if I am only invested on the short_only side, the return in these specific periods will solely be responsible for the overall (both) portfolio return, won't it?

If my only portfolio position is to be short one asset and this asset looses 5% in a single period, then I expect my return on the short_only side to be +5%. As this is my only position, the portfolio return should be equally +5%, shouldn't it?

from vectorbt.

Fees and slippage aren't taken into account when target percentage is translated into number of shares in order to satisfy the 100% portfolio value requirement. Thus, you short buy slightly more than you can afford (you can see this when you print the allocation with pf.asset_value() / pf.value()).

from vectorbt.

@polakowo Any thoughts?

from vectorbt.

@polakowo is this a bug?

from vectorbt.