Lean
$LEAN_TAG$
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Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the Insight.Confidence. The target percent holdings of each Symbol is given by the Insight.Confidence from the last active Insight for that symbol. For insights of direction InsightDirection.Up, long targets are returned and for insights of direction InsightDirection.Down, short targets are returned. If the sum of all the last active Insight per symbol is bigger than 1, it will factor down each target percent holdings proportionally so the sum is 1. It will ignore Insight that have no Insight.Confidence value. More...
Protected Member Functions | |
override bool | ShouldCreateTargetForInsight (Insight insight) |
Method that will determine if the portfolio construction model should create a target for this insight More... | |
override double | GetValue (Insight insight) |
Method that will determine which member will be used to compute the weights and gets its value More... | |
Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel | |
override bool | ShouldCreateTargetForInsight (Insight insight) |
Method that will determine if the portfolio construction model should create a target for this insight More... | |
override Dictionary< Insight, double > | DetermineTargetPercent (List< Insight > activeInsights) |
Will determine the target percent for each insight More... | |
Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.EqualWeightingPortfolioConstructionModel | |
bool | RespectPortfolioBias (Insight insight) |
Method that will determine if a given insight respects the portfolio bias More... | |
Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel | |
void | SetPythonWrapper (PortfolioConstructionModelPythonWrapper pythonWrapper) |
Used to set the PortfolioConstructionModelPythonWrapper instance if any More... | |
virtual List< Insight > | GetTargetInsights () |
Gets the target insights to calculate a portfolio target percent for More... | |
void | SetRebalancingFunc (PyObject rebalance) |
Python helper method to set the rebalancing function. This is required due to a python net limitation not being able to use the base type constructor, and also because when python algorithms use C# portfolio construction models, it can't convert python methods into func nor resolve the correct constructor for the date rules, timespan parameter. For performance we prefer python algorithms using the C# implementation More... | |
virtual bool | IsRebalanceDue (Insight[] insights, DateTime algorithmUtc) |
Determines if the portfolio should be rebalanced base on the provided rebalancing func, if any security change have been taken place or if an insight has expired or a new insight arrived If the rebalancing function has not been provided will return true. More... | |
void | RefreshRebalance (DateTime algorithmUtc) |
Refresh the next rebalance time and clears the security changes flag More... | |
Additional Inherited Members | |
Static Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel | |
static Insight[] | FilterInvalidInsightMagnitude (IAlgorithm algorithm, Insight[] insights) |
Helper class that can be used by the different IPortfolioConstructionModel implementations to filter Insight instances with an invalid Insight.Magnitude value based on the IAlgorithmSettings More... | |
Protected Attributes inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel | |
PortfolioConstructionModelPythonWrapper | PythonWrapper |
This is required due to a limitation in PythonNet to resolved overriden methods. When Python calls a C# method that calls a method that's overriden in python it won't run the python implementation unless the call is performed through python too. More... | |
Properties inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel | |
virtual bool | RebalanceOnSecurityChanges = true [get, set] |
True if should rebalance portfolio on security changes. True by default More... | |
virtual bool | RebalanceOnInsightChanges = true [get, set] |
True if should rebalance portfolio on new insights or expiration of insights. True by default More... | |
IAlgorithm | Algorithm [get] |
The algorithm instance More... | |
Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the Insight.Confidence. The target percent holdings of each Symbol is given by the Insight.Confidence from the last active Insight for that symbol. For insights of direction InsightDirection.Up, long targets are returned and for insights of direction InsightDirection.Down, short targets are returned. If the sum of all the last active Insight per symbol is bigger than 1, it will factor down each target percent holdings proportionally so the sum is 1. It will ignore Insight that have no Insight.Confidence value.
Definition at line 33 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | IDateRule | rebalancingDateRules, |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
rebalancingDateRules | The date rules used to define the next expected rebalance time in UTC |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
Definition at line 41 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | PyObject | rebalance, |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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) |
Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
rebalance | Rebalancing func or if a date rule, timedelta will be converted into func. For a given algorithm UTC DateTime the func returns the next expected rebalance time or null if unknown, in which case the function will be called again in the next loop. Returning current time will trigger rebalance. If null will be ignored |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
This is required since python net can not convert python methods into func nor resolve the correct constructor for the date rules parameter. For performance we prefer python algorithms using the C# implementation
Definition at line 58 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | Func< DateTime, DateTime?> | rebalancingFunc, |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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) |
Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
rebalancingFunc | For a given algorithm UTC DateTime returns the next expected rebalance time or null if unknown, in which case the function will be called again in the next loop. Returning current time will trigger rebalance. If null will be ignored |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
Definition at line 71 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | Func< DateTime, DateTime > | rebalancingFunc, |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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) |
Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
rebalancingFunc | For a given algorithm UTC DateTime returns the next expected rebalance UTC time. Returning current time will trigger rebalance. If null will be ignored |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
Definition at line 83 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | TimeSpan | timeSpan, |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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) |
Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
timeSpan | Rebalancing frequency |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
Definition at line 94 of file ConfidenceWeightedPortfolioConstructionModel.cs.
QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.ConfidenceWeightedPortfolioConstructionModel | ( | Resolution | resolution = Resolution.Daily , |
PortfolioBias | portfolioBias = PortfolioBias.LongShort |
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) |
Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
resolution | Rebalancing frequency |
portfolioBias | Specifies the bias of the portfolio (Short, Long/Short, Long) |
Definition at line 105 of file ConfidenceWeightedPortfolioConstructionModel.cs.
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protectedvirtual |
Method that will determine if the portfolio construction model should create a target for this insight
insight | The insight to create a target for |
Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.
Definition at line 117 of file ConfidenceWeightedPortfolioConstructionModel.cs.
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protectedvirtual |
Method that will determine which member will be used to compute the weights and gets its value
insight | The insight to create a target for |
Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.