Martin Molinero
e21a8fec35
- New InsightWeightingPortfolioConstructionModel will inherit from EqualWeightingPortfolioConstructionModel
62 lines
3.0 KiB
Python
62 lines
3.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm.Framework")
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from QuantConnect import Resolution, Extensions
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from QuantConnect.Algorithm.Framework.Alphas import *
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from itertools import groupby
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from datetime import datetime, timedelta
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from pytz import utc
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UTCMIN = datetime.min.replace(tzinfo=utc)
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from EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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class InsightWeightingPortfolioConstructionModel(EqualWeightingPortfolioConstructionModel):
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'''Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the
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Insight.Weight. The target percent holdings of each Symbol is given by the Insight.Weight from the last
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active Insight for that symbol.
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For insights of direction InsightDirection.Up, long targets are returned and for insights of direction
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InsightDirection.Down, short targets are returned.
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If the sum of all the last active Insight per symbol is bigger than 1, it will factor down each target
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percent holdings proportionally so the sum is 1.
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It will ignore Insight that have no Insight.Weight value.'''
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def __init__(self, resolution = Resolution.Daily):
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'''Initialize a new instance of InsightWeightingPortfolioConstructionModel
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Args:
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resolution: Rebalancing frequency'''
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super().__init__(resolution)
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def ShouldCreateTargetForInsight(self, insight):
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'''Method that will determine if the portfolio construction model should create a
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target for this insight
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Args:
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insight: The insight to create a target for'''
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# Ignore insights that don't have Weight value
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return insight.Weight is not None
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def DetermineTargetPercent(self, activeInsights):
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'''Will determine the target percent for each insight
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Args:
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activeInsights: The active insights to generate a target for'''
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result = {}
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# We will adjust weights proportionally in case the sum is > 1 so it sums to 1.
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weightSums = sum(insight.Weight for insight in activeInsights)
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weightFactor = 1.0
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if weightSums > 1:
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weightFactor = 1 / weightSums
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for insight in activeInsights:
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result[insight] = insight.Direction * insight.Weight * weightFactor
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return result |