Custom/intermediate data (ctx.session?) in backtest result

[SW4T400]

I will use your latest example for my question:

def rebalance(ctxs: dict[str, ExecContext]):
     if start_of_month(ctxs):
        target = 1 / len(ctxs)  # Equal weighting
        set_target_shares(ctxs, {symbol: target for symbol in ctxs.keys()})

strategy = Strategy(YFinance(), start_date='1/1/2018', end_date='1/1/2023')
strategy.add_execution(None, ['TSLA', 'NFLX', 'AAPL', 'NVDA', 'AMZN'])
strategy.set_after_exec(rebalance)
result = strategy.backtest()

The ACTUAL shares that pybroker was able to buy will be visible in result.orders & result.positions.
from there one can calculate the ACTUAL WEIGHTS that were achieved.

BUT I might have additional logic in there (Order size limits, a no trade zone if actual and target weights are too similar etc.)
and I woul also like to track the TARGET WEIGHTS or some other custom_data for that matter.

1. I always have access to the global pybroker.param and it appears it can take dataframes - should I really write a timeseries dataframe to this?

2. But I also saw the ctx.session
   Is there an option to output session data? @edtechre

I am currently trying to implement my favorites authors trading system
in pybroker and find myself "wanting" to output some intermediate calculation results aka custom_data.

Any thoughts or even solutions?

[edtechre]

Hi @SW4T400,

PyBroker does not have an option for outputting session data. I think the approach in 1) is the best way to achieve this. I would recommend doing this by appending to a list of tuples, and then creating the DataFrame afterwards:

df = pd.DataFrame(pybroker.param('data'), columns=columns)