AlexCatarino
57 lines
3.2 KiB
Python
57 lines
3.2 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 *
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from QuantConnect.Algorithm.Framework.Portfolio import PortfolioBias
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from InsightWeightingPortfolioConstructionModel import InsightWeightingPortfolioConstructionModel
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class ConfidenceWeightedPortfolioConstructionModel(InsightWeightingPortfolioConstructionModel):
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'''Provides an implementation of IPortfolioConstructionModel that generates percent targets based on the
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Insight.Confidence. The target percent holdings of each Symbol is given by the Insight.Confidence 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.Confidence value.'''
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def __init__(self, rebalance = Resolution.Daily, portfolioBias = PortfolioBias.LongShort):
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'''Initialize a new instance of ConfidenceWeightedPortfolioConstructionModel
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Args:
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rebalance: Rebalancing parameter. If it is a timedelta, date rules or Resolution, it will be converted into a function.
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If None will be ignored.
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The function returns the next expected rebalance time for a given algorithm UTC DateTime.
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The function returns null if unknown, in which case the function will be called again in the
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next loop. Returning current time will trigger rebalance.
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portfolioBias: Specifies the bias of the portfolio (Short, Long/Short, Long)'''
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super().__init__(rebalance, portfolioBias)
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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 Confidence value
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return insight.Confidence is not None
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def GetValue(self, insight):
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'''Method that will determine which member will be used to compute the weights and gets its value
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Args:
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insight: The insight to create a target for
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Returns:
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The value of the selected insight member'''
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return insight.Confidence |