Commit Graph

3 Commits

Author SHA1 Message Date
Martin Molinero e21a8fec35 Address review, use inheritance
- New InsightWeightingPortfolioConstructionModel will inherit from EqualWeightingPortfolioConstructionModel
2019-04-24 11:05:15 -03:00
Martin Molinero 39ae3c6970 Addressing reviews
- Adding two new unit tests: 0 weight insight and null weight insight
- Fix bug in python `InsightWeightingPortfolioConstructionModel`
2019-04-24 11:05:14 -03:00
Martin Molinero 968adcea32 Adding InsightWeightingPortfolioConstructionModel
- Adding new `InsightWeightingPortfolioConstructionModel` that will
generate percent `Targets` based on the latest active `Insight` `Weight` per
`Symbol`.
   - Will ignore `Insights` that have no `Weight`.
   - If the sum of all the last active `Insight` per `Symbol` is bigger than 1, it
will factor down each target percent holdings proportionally so the sum is 1.
- Adding unit tests
- Adding a new regression test framework algorithm
- Note most of the code, including tests, are reused from the
`EqualWeightingPortfolioConstructionModel`
2019-04-24 11:05:14 -03:00