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.
- Adding new unit test for python PCM implementations, asserting each
method is correctly called
- Reverting some unrequired changes in the
`MeanVarianceOptimizationFrameworkAlgorithm`
- Adding new `Func<DateTime, DateTime?>` that allows PCM to return null
if the next rebalance time is null, in which case the function will be
called again in the next loop.
- Adjusting PCM next rebalance time check to perform rebalance once the
time is reached
- Adding new regression test. Updating existing
- Refactoring some PCM methods to be `protected` since they are not required
to be public
- Adding new `PortfolioConstructionModel.RebalanceOnInsightChanges`
flag, that will allow avoiding new insights or insight expirations to
trigger a rebalance
- Updating unit tests
- Fix for the MeanVarianceOptimizationPortfolioConstructionModel that
was skipping, in some cases, 0 magnitude insights
Adds constructor overloads to `EqualWeightingPortfolioConstructionModel` (`EWPCM`) to allow different rebalancing definitions.
It is possible to define rebalancing period with `Resolution`, `TimeSpan` (`timedelta` for Python) or a `Func<DateTime, DateTime>` (`lambda x: x+timedelta(y)`). The last option lets the model use `Expiry` helper class with the members such as `EndOfWeek` and `EndOfMonth`.
- Adding new `ConfidenceWeightedPortfolioConstructionModel` (C# / Py) that will
generate percent `Targets` based on the latest active `Insight` `Confidence` per
`Symbol`.
- Will ignore `Insights` that have no `Confidence`.(unit tested)
- 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. (unit tested)
- Adding unit tests
- Adding a new regression test framework algorithm (C#/Py)
-**Note**: `ConfidenceWeightedPortfolioConstructionModel` inherits from the `InsightWeightingPortfolioConstructionModel`. Protect method `GetValue` was implemented in `IWPCM` to enable the choice of `Insight` member.
- 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`
AlexCatarino