Delta Neutral Portfolio with constraints on the underlyings

[allenpavlovich]

hello everyone,

I am trying to create a delta-neutral portfolio with 4 different derivatives.
.e.g

BTC swap Binance
BTC swap OKEx
ETH swap Binance
ETH swap OKEx

I want my portfolio to be delta neutral on the INSTRUMENT level. What I mean is to have BTC delta = 0 and ETH delta = 0.

Is it possible via riskfolio?

[allenpavlovich]

anyone?

[allenpavlovich]

asset_classes = {
'Assets': [
'BTCBUSD_SWP_BN', 'BTCUSDT_SWP_BN', 'BTCUSDT_SWP_BY', 'BTCUSDT_SWP_GIO', 'BTCUSDT_SWP_HB', 'BTCUSDT_SWP_KC', 'BTCUSDT_SWP_OK', 'BTCUSD_SWP_DYDX',
'ETHBUSD_SWP_BN', 'ETHUSDT_SWP_BN', 'ETHUSDT_SWP_BY', 'ETHUSDT_SWP_GIO', 'ETHUSDT_SWP_HB', 'ETHUSDT_SWP_KC', 'ETHUSDT_SWP_OK', 'ETHUSD_SWP_DYDX'
],
'Exchange1': [
'BTC' , 'BTC', 'BTC', 'BTC' , 'BTC' , 'BTC' , 'BTC', 'BTC',
'ETH' , 'ETH', 'ETH', 'ETH' , 'ETH' , 'ETH' , 'ETH', 'ETH'
],
'Exchange2': [
'BTC' , 'BTC', 'BTC', 'BTC' , 'BTC' , 'BTC' , 'BTC', 'BTC',
'ETH' , 'ETH', 'ETH', 'ETH' , 'ETH' , 'ETH' , 'ETH', 'ETH'
]
}

asset_classes = pd.DataFrame(asset_classes)
asset_classes = asset_classes.sort_values(by=['Assets'])

w = 0.001
constraints = {
'Disabled': [False, False, False, False],
'Type': ['Classes', 'Classes', 'Classes', 'Classes'],
'Set': ['Exchange1', 'Exchange2', 'Exchange1', 'Exchange2'],
'Position': ['BTC', 'BTC', 'ETH', 'ETH'],
'Sign': ['<=', '>=', '<=', '>='],
'Weight': [w, -w, w, -w],
'Type Relative': ['', '', '', ''],
'Relative Set': ['', '', '', ''],
'Relative': ['', '', '', ''],
'Factor': ['', '', '', '']
}

constraints = pd.DataFrame(constraints)

display(constraints)

=======================================

I tried this and many other variations, doesn't work.

[allenpavlovich]

@dcajasn any help?

[dcajasn]

Hi @allenpavlovich, I only fix errors in source code or add new features that seem interesting for me. For questions or help please read the readme file, consulting feed section.