Commit Graph

3 Commits

Author SHA1 Message Date
Martin-Molinero cb326788b3 Filter out small orders based on Setting (#5776)
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* Filter out small orders based on Setting

- BuyingPowerModel will filter out small orders based on algorithm
  setting, a % of PTV, instead of hard coded 1 share value. Addin unit
  and regression tests
- Updating regression algorithms to use new setting, reduce order trades

* Update regression algorithms
2021-07-19 13:17:51 -03:00
Martin-Molinero 03f56481d4 Refactor python algorithm import (#5657)
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* Python research import improvements

- Improve start.py for research env
- Remove unrequired imports

* Centralize algorithm imports

* Add regression test GH action

* Unit test python import clean up

* Join research and main imports

* More python import clean up

* Fix failing skipped regression algorithm
2021-06-15 19:06:06 -03:00
AlexCatarino a18bd953ac Implements ConfidenceWeightedPortfolioConstructionModel
- 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.
2019-10-18 20:47:06 +01:00