AlexCatarino
c2ff03caad
Implements `PortfolioBias` in EWPCM, CWPCM and IWPCM. With this new feature, these PCM will ignore insights that do not respect the desired bias. E.g. for `PortfolioBias.Long`, on Insights with `InsightDirection.Up` will be converted into `PortfolioTarget.Quantity` greater than zero and other `InsightDirection` will result in `PortfolioTarget.Quantity` of zero.
38 lines
1.2 KiB
C#
38 lines
1.2 KiB
C#
/*
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* 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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*/
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namespace QuantConnect.Algorithm.Framework.Portfolio
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{
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/// <summary>
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/// Specifies the bias of the portfolio (Short, Long/Short, Long)
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/// </summary>
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public enum PortfolioBias
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{
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/// <summary>
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/// Portfolio can only have short positions
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/// </summary>
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Short = -1,
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/// <summary>
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/// Portfolio can have both long and short positions
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/// </summary>
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LongShort = 0,
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/// <summary>
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/// Portfolio can only have long positions
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/// </summary>
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Long = 1
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}
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} |