Implement PortfolioBias for MVOPCM, BLOPCM, AIPCM

- Implement portfolio bias for
`MeanVarianceOptimizationPortfolioConstructionModel`,
`BlackLittermanOptimizationPortfolioConstructionModel`,
`AccumulativeInsightPortfolioConstructionModel`. Adding unit tests
This commit is contained in:
Martin Molinero
2020-02-20 20:33:59 -03:00
parent c2ff03caad
commit 983d84bf01
16 changed files with 398 additions and 55 deletions
@@ -65,8 +65,4 @@ class MeanVarianceOptimizationFrameworkAlgorithm(QCAlgorithm):
# Drops SPY after the 8th
last = 3 if self.Time.day > 8 else len(self.symbols)
return self.symbols[0:last]
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug(orderEvent)
return self.symbols[0:last]