QuantConnect.Algorithm.Framework.Portfolio.PortfolioOptimizerPythonWrapper Class Reference
Python wrapper for custom portfolio optimizer More...
Inheritance diagram for QuantConnect.Algorithm.Framework.Portfolio.PortfolioOptimizerPythonWrapper:
Public Member Functions | |
| PortfolioOptimizerPythonWrapper (PyObject portfolioOptimizer) | |
| Creates a new instance More... | |
| double[] | Optimize (double[,] historicalReturns, double[] expectedReturns=null, double[,] covariance=null) |
| Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns More... | |
 Public Member Functions inherited from QuantConnect.Python.BasePythonWrapper< IPortfolioOptimizer > | |
| BasePythonWrapper (bool validateInterface=true) | |
| Creates a new instance of the BasePythonWrapper<TInterface> class More... | |
| BasePythonWrapper (PyObject instance, bool validateInterface=true) | |
| Creates a new instance of the BasePythonWrapper<TInterface> class with the specified instance More... | |
| void | SetPythonInstance (PyObject instance) |
| Sets the python instance More... | |
| T | GetProperty< T > (string propertyName) |
| Gets the Python instance property with the specified name More... | |
| PyObject | GetProperty (string propertyName) |
| Gets the Python instance property with the specified name More... | |
| void | SetProperty (string propertyName, object value) |
| Sets the Python instance property with the specified name More... | |
| dynamic | GetEvent (string name) |
| Gets the Python instance event with the specified name More... | |
| bool | HasAttr (string name) |
| Determines whether the Python instance has the specified attribute More... | |
| PyObject | GetMethod (string methodName) |
| Gets the Python instances method with the specified name and caches it More... | |
| T | InvokeMethod< T > (string methodName, params object[] args) |
| Invokes the specified method with the specified arguments More... | |
| PyObject | InvokeMethod (string methodName, params object[] args) |
| Invokes the specified method with the specified arguments More... | |
Additional Inherited Members | |
| Protected Attributes inherited from QuantConnect.Python.BasePythonWrapper< IPortfolioOptimizer > | |
| PyObject | Instance |
| Gets the underlying python instance More... | |
Detailed Description
Python wrapper for custom portfolio optimizer
Definition at line 25 of file PortfolioOptimizerPythonWrapper.cs.
Constructor & Destructor Documentation
◆ PortfolioOptimizerPythonWrapper()
| QuantConnect.Algorithm.Framework.Portfolio.PortfolioOptimizerPythonWrapper.PortfolioOptimizerPythonWrapper | ( | PyObject | portfolioOptimizer | ) |
Creates a new instance
- Parameters
-
portfolioOptimizer The python model to wrapp
Definition at line 31 of file PortfolioOptimizerPythonWrapper.cs.
Member Function Documentation
◆ Optimize()
| double [] QuantConnect.Algorithm.Framework.Portfolio.PortfolioOptimizerPythonWrapper.Optimize | ( | double | historicalReturns[,], |
| double[] | expectedReturns = null, |
||
| double | covariance[,] = null |
||
| ) |
Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns
- Parameters
-
historicalReturns Matrix of annualized historical returns where each column represents a security and each row returns for the given date/time (size: K x N). expectedReturns Array of double with the portfolio annualized expected returns (size: K x 1). covariance Multi-dimensional array of double with the portfolio covariance of annualized returns (size: K x K).
- Returns
- Array of double with the portfolio weights (size: K x 1)
Implements QuantConnect.Algorithm.Framework.Portfolio.IPortfolioOptimizer.
Definition at line 43 of file PortfolioOptimizerPythonWrapper.cs.
The documentation for this class was generated from the following file:
- Algorithm.Framework/Portfolio/PortfolioOptimizerPythonWrapper.cs
