QuantConnect.Algorithm.Framework.Portfolio
Classes
| Class | Description |
|---|---|
| AccumulativeInsightPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that allocates percent of account... |
| AlphaStreamsPortfolioConstructionModel | Base alpha streams portfolio construction model |
| BlackLittermanOptimizationPortfolioConstructionModel | Provides an implementation of Black-Litterman portfolio optimization. The model adjusts equilibrium market... |
| ConfidenceWeightedPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the... |
| EqualWeightingPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that gives equal weighting to all... |
| InsightWeightingPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the... |
| IPortfolioConstructionModel | Algorithm framework model that |
| IPortfolioOptimizer | Interface for portfolio optimization algorithms |
| IPortfolioTarget | Represents a portfolio target. This may be a percentage of total portfolio value... |
| MaximumSharpeRatioPortfolioOptimizer | Provides an implementation of a portfolio optimizer that maximizes the portfolio Sharpe Ratio.... |
| MeanReversionPortfolioConstructionModel | Implementation of On-Line Moving Average Reversion (OLMAR) |
| MeanVarianceOptimizationPortfolioConstructionModel | Provides an implementation of Mean-Variance portfolio optimization based on modern portfolio theory.... |
| MinimumVariancePortfolioOptimizer | Provides an implementation of a minimum variance portfolio optimizer that calculate the optimal weights... |
| NullPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that does nothing |
| PortfolioConstructionModel | Provides a base class for portfolio construction models |
| PortfolioConstructionModelPythonWrapper | Provides an implementation of IPortfolioConstructionModel that wraps a PyObject object |
| PortfolioOptimizerPythonWrapper | Python wrapper for custom portfolio optimizer |
| PortfolioTarget | Provides an implementation of IPortfolioTarget that specifies a... |
| PortfolioTargetCollection | Provides a collection for managing IPortfolioTargets for each symbol |
| ReturnsSymbolData | Contains returns specific to a symbol required for optimization model |
| ReturnsSymbolDataExtensions | Extension methods for ReturnsSymbolData |
| RiskParityPortfolioConstructionModel | Risk Parity Portfolio Construction Model |
| RiskParityPortfolioOptimizer | Provides an implementation of a risk parity portfolio optimizer that calculate the optimal weights... |
| SectorWeightingPortfolioConstructionModel | Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the... |
| UnconstrainedMeanVariancePortfolioOptimizer | Provides an implementation of a portfolio optimizer with unconstrained mean variance. |
Enumerations
Bases: IntEnum
Specifies the bias of the portfolio (Short, Long/Short, Long)
SHORT = -1
Portfolio can only have short positions (-1)
LONG_SHORT = 0
Portfolio can have both long and short positions (0)
LONG = 1
Portfolio can only have long positions (1)