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
This commit is contained in:
Martin Molinero
2020-02-18 22:11:31 -03:00
parent 685b231890
commit 8ff23936d1
13 changed files with 377 additions and 431 deletions
@@ -46,6 +46,9 @@ class MeanVarianceOptimizationFrameworkAlgorithm(QCAlgorithm):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.Settings.RebalancePortfolioOnInsightChanges = False
self.Settings.RebalancePortfolioOnSecurityChanges = False
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash