Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the Insight.Weight. The target percent holdings of each Symbol is given by the Insight.Weight 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.Weight 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 Dictionary< Insight, double > | DetermineTargetPercent (List< Insight > activeInsights) |
| Will determine the target percent for each insight More... | |
| virtual 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.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... | |
Detailed Description
Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the Insight.Weight. The target percent holdings of each Symbol is given by the Insight.Weight 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.Weight value.
Definition at line 35 of file InsightWeightingPortfolioConstructionModel.cs.
Constructor & Destructor Documentation
◆ InsightWeightingPortfolioConstructionModel() [1/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | IDateRule | rebalancingDateRules, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
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 43 of file InsightWeightingPortfolioConstructionModel.cs.
◆ InsightWeightingPortfolioConstructionModel() [2/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | PyObject | rebalance, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
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 60 of file InsightWeightingPortfolioConstructionModel.cs.
◆ InsightWeightingPortfolioConstructionModel() [3/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | Func< DateTime, DateTime?> | rebalancingFunc, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
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. portfolioBias Specifies the bias of the portfolio (Short, Long/Short, Long)
Definition at line 73 of file InsightWeightingPortfolioConstructionModel.cs.
◆ InsightWeightingPortfolioConstructionModel() [4/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | Func< DateTime, DateTime > | rebalancingFunc, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
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 85 of file InsightWeightingPortfolioConstructionModel.cs.
◆ InsightWeightingPortfolioConstructionModel() [5/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | TimeSpan | timeSpan, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
timeSpan Rebalancing frequency portfolioBias Specifies the bias of the portfolio (Short, Long/Short, Long)
Definition at line 96 of file InsightWeightingPortfolioConstructionModel.cs.
◆ InsightWeightingPortfolioConstructionModel() [6/6]
| QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel.InsightWeightingPortfolioConstructionModel | ( | Resolution | resolution = Resolution.Daily, |
| PortfolioBias | portfolioBias = PortfolioBias.LongShort |
||
| ) |
Initialize a new instance of InsightWeightingPortfolioConstructionModel
- Parameters
-
resolution Rebalancing frequency portfolioBias Specifies the bias of the portfolio (Short, Long/Short, Long)
Definition at line 107 of file InsightWeightingPortfolioConstructionModel.cs.
Member Function Documentation
◆ ShouldCreateTargetForInsight()
|
protectedvirtual |
Method that will determine if the portfolio construction model should create a target for this insight
- Parameters
-
insight The insight to create a target for
- Returns
- True if the portfolio should create a target for the insight
Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.
Definition at line 119 of file InsightWeightingPortfolioConstructionModel.cs.
◆ DetermineTargetPercent()
|
protectedvirtual |
Will determine the target percent for each insight
- Parameters
-
activeInsights The active insights to generate a target for
- Returns
- A target percent for each insight
Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.EqualWeightingPortfolioConstructionModel.
Definition at line 129 of file InsightWeightingPortfolioConstructionModel.cs.
◆ GetValue()
|
protectedvirtual |
Method that will determine which member will be used to compute the weights and gets its value
- Parameters
-
insight The insight to create a target for
- Returns
- The value of the selected insight member
Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel.
The documentation for this class was generated from the following file:
- Algorithm.Framework/Portfolio/InsightWeightingPortfolioConstructionModel.cs
