Refactor EWPCM into base PCM
- Refactor shared logic from `EqualWeightingPortfolioConstructionModel` into base `PortfolioConstructionModel` implementation - `MeanVarianceOptimizationPortfolioConstructionModel` will respect rebalancing period and will use all active inisights, not just the last
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@@ -46,6 +46,9 @@ class MeanVarianceOptimizationFrameworkAlgorithm(QCAlgorithm):
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# Set requested data resolution
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self.UniverseSettings.Resolution = Resolution.Minute
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self.Settings.RebalancePortfolioOnInsightChanges = False
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self.Settings.RebalancePortfolioOnSecurityChanges = False
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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