I’m somewhat new to zipline and would appreciate your help on this.
I’m trying to figure out how to use a custom benchmark in a zipline backtest. For example, suppose I want to create a composite benchmark that is a weighted average of the Vanguard sector ETFs according to their inverse volatilities. I tried doing something along the lines of running a backtest of a strategy that weights the ETFs according to their inverse volatilities, and then using the equity curve from the results file as a benchmark in a backtest for another strategy using set_benchmark(), but this would only work if the benchmark is in the data bundle I’m using.
This seems like it should be possible but I’m not sure how to go about it.