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Implements PortfolioBias in EWPCM and IWPCM

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Implements `PortfolioBias` in EWPCM, CWPCM and IWPCM. With this new feature, these PCM will ignore insights that do not respect the desired bias. E.g. for `PortfolioBias.Long`, on Insights with `InsightDirection.Up` will be converted into `PortfolioTarget.Quantity` greater than zero and other `InsightDirection` will result in `PortfolioTarget.Quantity` of zero.
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AlexCatarino
2019-11-08 14:29:33 +00:00
committed by Martin Molinero
parent 79b6043b89
commit c2ff03caad
18 changed files with 496 additions and 69 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -77,6 +77,7 @@
<None Include="PandasDataFrameHistoryAlgorithm.py" />
<None Include="CustomDataAddDataRegressionAlgorithm.py" />
<None Include="TrainingExampleAlgorithm.py" />
<None Include="LongOnlyAlphaStreamAlgorithm.py" />
<Content Include="BasicTemplateConstituentUniverseAlgorithm.py" />
<Content Include="BasicTemplateOptionsConsolidationAlgorithm.py" />
<Content Include="Benchmarks\SECReportBenchmarkAlgorithm.py" />