AlexCatarino
108 lines
5.1 KiB
Python
108 lines
5.1 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
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from QuantConnect.Algorithm.Framework.Alphas import *
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from EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from itertools import groupby
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class SectorWeightingPortfolioConstructionModel(EqualWeightingPortfolioConstructionModel):
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'''Provides an implementation of IPortfolioConstructionModel that
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generates percent targets based on the CompanyReference.IndustryTemplateCode.
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The target percent holdings of each sector is 1/S where S is the number of sectors and
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the target percent holdings of each security is 1/N where N is the number of securities of each sector.
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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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It will ignore Insight for symbols that have no CompanyReference.IndustryTemplateCode'''
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def __init__(self, rebalance = Resolution.Daily):
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'''Initialize a new instance of InsightWeightingPortfolioConstructionModel
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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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super().__init__(rebalance)
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self.sectorCodeBySymbol = dict()
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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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return insight.Symbol in self.sectorCodeBySymbol
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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 = dict()
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insightBySectorCode = dict()
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for insight in activeInsights:
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if insight.Direction == InsightDirection.Flat:
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result[insight] = 0
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continue
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sectorCode = self.sectorCodeBySymbol.get(insight.Symbol)
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insights = insightBySectorCode.pop(sectorCode, list())
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insights.append(insight)
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insightBySectorCode[sectorCode] = insights
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# give equal weighting to each sector
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sectorPercent = 0 if len(insightBySectorCode) == 0 else 1.0 / len(insightBySectorCode)
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for _, insights in insightBySectorCode.items():
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# give equal weighting to each security
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count = len(insights)
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percent = 0 if count == 0 else sectorPercent / count
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for insight in insights:
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result[insight] = insight.Direction * percent
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return result
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def OnSecuritiesChanged(self, algorithm, changes):
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'''Event fired each time the we add/remove securities from the data feed
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Args:
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algorithm: The algorithm instance that experienced the change in securities
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changes: The security additions and removals from the algorithm'''
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for security in changes.RemovedSecurities:
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# Removes the symbol from the self.sectorCodeBySymbol dictionary
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# since we cannot emit PortfolioTarget for removed securities
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self.sectorCodeBySymbol.pop(security.Symbol, None)
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for security in changes.AddedSecurities:
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sectorCode = self.GetSectorCode(security)
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if sectorCode:
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self.sectorCodeBySymbol[security.Symbol] = sectorCode
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super().OnSecuritiesChanged(algorithm, changes)
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def GetSectorCode(self, security):
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'''Gets the sector code
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Args:
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security: The security to create a sector code for
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Returns:
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The value of the sector code for the security
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Remarks:
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Other sectors can be defined using AssetClassification'''
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fundamentals = security.Fundamentals
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companyReference = security.Fundamentals.CompanyReference if fundamentals else None
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return companyReference.IndustryTemplateCode if companyReference else None |