3 Commits

Author	SHA1	Message	Date
Michael Handschuh	fdc866fda0	Reverting 'Merge pull request #2483 python-history-provider' ... We didn't experience the expected performance improvements. Locally under unit test there was aboout an order of magnitude throughput increase, but when run against the history benchmark, this new approach was 60% slower. We're reverting this for now to perform further analysis and better understand the performance profiling of the python history stack.	2018-09-18 18:37:23 -04:00
AlexCatarino	3e4a71cd50	Creates QCAlgorithm.py: a bridge between C# QCAlgorithm and python algorithms	2018-09-17 19:05:48 +01:00
AlexCatarino	b0d1606118	Refactors portfolio construction models with portfolio optimization ... - Creates `MinimumVariancePortfolioOptimizer` and `MaximumSharpeRatioPortfolioOptimizer` portfolio optimizer. They implement `Optimize` method that returns a array of float representing the portfolio weights. - Refactors `BlackLittermanOptimizationPortfolioConstructionModel` and `MeanVarianceOptimizationPortfolioConstructionModel` to use the portfolio optimizers. Part of the logic in BLOPC was changed to match the MVOPC one. - Adds `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` similar to `MeanVarianceOptimizationFrameworkAlgorithm` that uses BLOPC.	2018-07-20 23:09:48 +01:00