Classes
class	AccumulativeInsightPortfolioConstructionModel
	Provides an implementation of IPortfolioConstructionModel that allocates percent of account to each insight, defaulting to 3%. For insights of direction InsightDirection.Up, long targets are returned and for insights of direction InsightDirection.Down, short targets are returned. By default, no rebalancing shall be done. Rules: More...

class	AlphaStreamsPortfolioConstructionModel
	Base alpha streams portfolio construction model More...

class	BlackLittermanOptimizationPortfolioConstructionModel
	Provides an implementation of Black-Litterman portfolio optimization. The model adjusts equilibrium market returns by incorporating views from multiple alpha models and therefore to get the optimal risky portfolio reflecting those views. If insights of all alpha models have None magnitude or there are linearly dependent vectors in link matrix of views, the expected return would be the implied excess equilibrium return. The interval of weights in optimization method can be changed based on the long-short algorithm. The default model uses the 0.0025 as weight-on-views scalar parameter tau. The optimization method maximizes the Sharpe ratio with the weight range from -1 to 1. More...

class	ConfidenceWeightedPortfolioConstructionModel
	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...

class	EqualWeightingPortfolioConstructionModel
	Provides an implementation of IPortfolioConstructionModel that gives equal weighting to all securities. The target percent holdings of each security is 1/N where N is the number of securities. For insights of direction InsightDirection.Up, long targets are returned and for insights of direction InsightDirection.Down, short targets are returned. More...

class	InsightWeightingPortfolioConstructionModel
	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...

interface	IPortfolioConstructionModel
	Algorithm framework model that More...

interface	IPortfolioOptimizer
	Interface for portfolio optimization algorithms More...

interface	IPortfolioTarget
	Represents a portfolio target. This may be a percentage of total portfolio value or it may be a fixed number of shares. More...

class	MaximumSharpeRatioPortfolioOptimizer
	Provides an implementation of a portfolio optimizer that maximizes the portfolio Sharpe Ratio. The interval of weights in optimization method can be changed based on the long-short algorithm. The default model uses flat risk free rate and weight for an individual security range from -1 to 1. More...

class	MeanReversionPortfolioConstructionModel
	Implementation of On-Line Moving Average Reversion (OLMAR) More...

class	MeanVarianceOptimizationPortfolioConstructionModel
	Provides an implementation of Mean-Variance portfolio optimization based on modern portfolio theory. The interval of weights in optimization method can be changed based on the long-short algorithm. The default model uses the last three months daily price to calculate the optimal weight with the weight range from -1 to 1 and minimize the portfolio variance with a target return of 2% More...

class	MinimumVariancePortfolioOptimizer
	Provides an implementation of a minimum variance portfolio optimizer that calculate the optimal weights with the weight range from -1 to 1 and minimize the portfolio variance with a target return of 2% More...

class	NullPortfolioConstructionModel
	Provides an implementation of IPortfolioConstructionModel that does nothing More...

class	PortfolioConstructionModel
	Provides a base class for portfolio construction models More...

class	PortfolioConstructionModelPythonWrapper
	Provides an implementation of IPortfolioConstructionModel that wraps a PyObject object More...

class	PortfolioOptimizerPythonWrapper
	Python wrapper for custom portfolio optimizer More...

class	PortfolioTarget
	Provides an implementation of IPortfolioTarget that specifies a specified quantity of a security to be held by the algorithm More...

class	PortfolioTargetCollection
	Provides a collection for managing IPortfolioTargets for each symbol More...

class	ReturnsSymbolData
	Contains returns specific to a symbol required for optimization model More...

class	ReturnsSymbolDataExtensions
	Extension methods for ReturnsSymbolData More...

class	RiskParityPortfolioConstructionModel
	Risk Parity Portfolio Construction Model More...

class	RiskParityPortfolioOptimizer
	Provides an implementation of a risk parity portfolio optimizer that calculate the optimal weights with the weight range from 0 to 1 and equalize the risk carried by each asset More...

class	SectorWeightingPortfolioConstructionModel
	Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the CompanyReference.IndustryTemplateCode. The target percent holdings of each sector is 1/S where S is the number of sectors and the target percent holdings of each security is 1/N where N is the number of securities of each sector. For insights of direction InsightDirection.Up, long targets are returned and for insights of direction InsightDirection.Down, short targets are returned. It will ignore Insight for symbols that have no CompanyReference.IndustryTemplateCode value. More...

class	UnconstrainedMeanVariancePortfolioOptimizer
	Provides an implementation of a portfolio optimizer with unconstrained mean variance. More...

Enumerations
enum	PortfolioBias { PortfolioBias.Short = -1, PortfolioBias.LongShort = 0, PortfolioBias.Long = 1 }
	Specifies the bias of the portfolio (Short, Long/Short, Long) More...

Enumeration Type Documentation

◆ PortfolioBias

enum QuantConnect.Algorithm.Framework.Portfolio.PortfolioBias

strong

Specifies the bias of the portfolio (Short, Long/Short, Long)

Enumerator
Short	Portfolio can only have short positions (-1)
LongShort	Portfolio can have both long and short positions (0)
Long	Portfolio can only have long positions (1)

Definition at line 21 of file PortfolioBias.cs.

Classes

Enumerations

Enumeration Type Documentation

◆ PortfolioBias