Concatenation of Portoflio objects

[tomlupo]

Hi,

I’m working with two separate vectorbt.portfolio.base.Portfolio objects—each generated by a custom rebalancing function—and I’d like to combine them into a single portfolio. Is there a way to merge or concatenate these objects?

[initial-d]

I would be careful with the word “merge” here, because a Portfolio is not just a table of returns. It contains simulation records, cash/equity state, wrapper metadata, order/trade records, fees, cash sharing assumptions, etc. So there usually is no safe generic concat operation that turns two already-simulated portfolios into one truly equivalent portfolio.

The right approach depends on what you mean by combine:

1. Just compare them side by side
   Keep them as two separate Portfolio objects and compare their stats/returns/equity curves externally.

2. Treat them as two independent sleeves
   If each portfolio used its own capital, you can combine their value curves after the fact. For example, align pf1.value() and pf2.value() on the same index, sum them, and compute combined returns from the summed value curve. This gives you a combined equity curve, but not a real combined Portfolio object with unified order/trade records.

3. Simulate them as one shared-cash portfolio
   If the two strategies should compete for the same capital, margin, fees, or cash constraints, you should not merge after the fact. Instead, combine the signals/orders before simulation and run one portfolio simulation with the desired cash-sharing/grouping setup. That is the only way to get correct portfolio-level cash, exposure, fees, and trade accounting.

So my rule of thumb would be: combine outputs only for reporting; combine inputs and rerun the simulation if you need a true portfolio with shared capital and correct accounting.