/// <summary>
/// Initialize the model
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance UTC time.
/// Returning current time will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="lookback">Historical return lookback period</param>
/// <param name="period">The time interval of history price to calculate the weight</param>
/// <param name="resolution">The resolution of the history price</param>
/// <param name="targetReturn">The target portfolio return</param>
/// <param name="optimizer">The portfolio optimization algorithm. If the algorithm is not provided then the default will be mean-variance optimization.</param>
public MeanVarianceOptimizationPortfolioConstructionModel(Func <DateTime, DateTime> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
int lookback = 1,
int period = 63,
Resolution resolution = Resolution.Daily,
double targetReturn = 0.02,
IPortfolioOptimizer optimizer = null)
: this(rebalancingFunc != null ? (Func <DateTime, DateTime?>)(timeUtc => rebalancingFunc(timeUtc)) : null,
portfolioBias,
lookback,
period,
resolution,
targetReturn,
optimizer)
{
}
/// <summary>
/// Initialize the model
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance UTC time.
/// Returning current time will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="lookback">Historical return lookback period</param>
/// <param name="period">The time interval of history price to calculate the weight</param>
/// <param name="resolution">The resolution of the history price</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="delta">The risk aversion coeffficient of the market portfolio</param>
/// <param name="tau">The model parameter indicating the uncertainty of the CAPM prior</param>
/// <param name="optimizer">The portfolio optimization algorithm. If no algorithm is explicitly provided then the default will be max Sharpe ratio optimization.</param>
public BlackLittermanOptimizationPortfolioConstructionModel(Func <DateTime, DateTime> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
int lookback = 1,
int period = 63,
Resolution resolution = Resolution.Daily,
double riskFreeRate = 0.0,
double delta = 2.5,
double tau = 0.05,
IPortfolioOptimizer optimizer = null)
: this(rebalancingFunc != null ? (Func <DateTime, DateTime?>)(timeUtc => rebalancingFunc(timeUtc)) : null,
portfolioBias,
lookback,
period,
resolution,
riskFreeRate,
delta,
tau,
optimizer)
{
}
/// <summary>
/// Initialize the model
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance time
/// or null if unknown, in which case the function will be called again in the next loop. Returning current time
/// will trigger rebalance.</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="lookback">Historical return lookback period</param>
/// <param name="period">The time interval of history price to calculate the weight</param>
/// <param name="resolution">The resolution of the history price</param>
/// <param name="targetReturn">The target portfolio return</param>
/// <param name="optimizer">The portfolio optimization algorithm. If the algorithm is not provided then the default will be mean-variance optimization.</param>
public MeanVarianceOptimizationPortfolioConstructionModel(Func <DateTime, DateTime?> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
int lookback = 1,
int period = 63,
Resolution resolution = Resolution.Daily,
double targetReturn = 0.02,
IPortfolioOptimizer optimizer = null)
: base(rebalancingFunc)
{
_lookback = lookback;
_period = period;
_resolution = resolution;
_portfolioBias = portfolioBias;
var lower = portfolioBias == PortfolioBias.Long ? 0 : -1;
var upper = portfolioBias == PortfolioBias.Short ? 0 : 1;
_optimizer = optimizer ?? new MinimumVariancePortfolioOptimizer(lower, upper, targetReturn);
_symbolDataDict = new Dictionary <Symbol, ReturnsSymbolData>();
}
public void PortfolioBiasIsRespected(Language language, PortfolioBias bias)
{
SetPortfolioConstruction(language, bias);
var appl = _algorithm.AddEquity("AAPL");
var bac = _algorithm.AddEquity("BAC");
var spy = _algorithm.AddEquity("SPY");
var ibm = _algorithm.AddEquity("IBM");
var aig = _algorithm.AddEquity("AIG");
var qqq = _algorithm.AddEquity("QQQ");
foreach (var equity in new[] { qqq, aig, ibm, spy, bac, appl })
{
equity.SetMarketPrice(new Tick(_nowUtc, equity.Symbol, 30, 30));
}
var insights = new[]
{
new Insight(_nowUtc, appl.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Up, -0.1d, null),
new Insight(_nowUtc, spy.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, -0.1d, null),
new Insight(_nowUtc, ibm.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, 0d, null),
new Insight(_nowUtc, aig.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, -0.1d, null),
new Insight(_nowUtc, qqq.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Up, -0.1d, null),
new Insight(_nowUtc, bac.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, -0.1d, null)
};
_algorithm.PortfolioConstruction.OnSecuritiesChanged(_algorithm, SecurityChangesTests.AddedNonInternal(appl, spy, ibm, aig, qqq, bac));
foreach (var target in _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights))
{
QuantConnect.Logging.Log.Trace($"{target.Symbol}: {target.Quantity}");
if (target.Quantity == 0)
{
continue;
}
Assert.AreEqual(Math.Sign((int)bias), Math.Sign(target.Quantity));
}
}
private void SetPortfolioConstruction(Language language, QCAlgorithm algorithm, PortfolioBias bias = PortfolioBias.LongShort)
{
algorithm.SetPortfolioConstruction(new AccumulativeInsightPortfolioConstructionModel((Func <DateTime, DateTime>)null, bias));
if (language == Language.Python)
{
using (Py.GIL())
{
var name = nameof(AccumulativeInsightPortfolioConstructionModel);
var instance = Py.Import(name).GetAttr(name).Invoke(((object)null).ToPython(), ((int)bias).ToPython());
var model = new PortfolioConstructionModelPythonWrapper(instance);
algorithm.SetPortfolioConstruction(model);
}
}
foreach (var kvp in _algorithm.Portfolio)
{
kvp.Value.SetHoldings(kvp.Value.Price, 0);
}
_algorithm.Portfolio.SetCash(_startingCash);
SetUtcTime(new DateTime(2018, 7, 31));
var changes = SecurityChanges.Added(_algorithm.Securities.Values.ToArray());
algorithm.PortfolioConstruction.OnSecuritiesChanged(_algorithm, changes);
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="timeSpan">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(TimeSpan timeSpan,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this(dt => dt.Add(timeSpan), portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="ConfidenceWeightedPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public ConfidenceWeightedPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingDateRules, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="InsightWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="timeSpan">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public InsightWeightingPortfolioConstructionModel(TimeSpan timeSpan,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(timeSpan, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="InsightWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalance">Rebalancing func or if a date rule, timedelta will be converted into func.
/// For a given algorithm UTC DateTime the func returns the next expected rebalance time
/// or null if unknown, in which case the function will be called again in the next loop. Returning current time
/// will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <remarks>This is required since python net can not convert python methods into func nor resolve the correct
/// constructor for the date rules parameter.
/// For performance we prefer python algorithms using the C# implementation</remarks>
public InsightWeightingPortfolioConstructionModel(PyObject rebalance,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalance, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="InsightWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="resolution">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public InsightWeightingPortfolioConstructionModel(Resolution resolution = Resolution.Daily,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(resolution, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="AccumulativeInsightPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="percent">The percentage amount of the portfolio value to allocate
/// to a single insight. The value of percent should be in the range [0,1].
/// The default value is 0.03.</param>
public AccumulativeInsightPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
double percent = 0.03)
: this(rebalancingDateRules.ToFunc(), portfolioBias, percent)
{
}
/// <summary>
/// Initialize a new instance of <see cref="AccumulativeInsightPortfolioConstructionModel"/>
/// </summary>
/// <param name="resolution">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="percent">The percentage amount of the portfolio value to allocate
/// to a single insight. The value of percent should be in the range [0,1].
/// The default value is 0.03.</param>
public AccumulativeInsightPortfolioConstructionModel(Resolution resolution,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
double percent = 0.03)
: this(resolution.ToTimeSpan(), portfolioBias, percent)
{
}
/// <summary>
/// Initialize a new instance of <see cref="AccumulativeInsightPortfolioConstructionModel"/>
/// </summary>
/// <param name="timeSpan">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <param name="percent">The percentage amount of the portfolio value to allocate
/// to a single insight. The value of percent should be in the range [0,1].
/// The default value is 0.03.</param>
public AccumulativeInsightPortfolioConstructionModel(TimeSpan timeSpan,
PortfolioBias portfolioBias = PortfolioBias.LongShort,
double percent = 0.03)
: this(dt => dt.Add(timeSpan), portfolioBias, percent)
{
}
/// <summary>
/// Initialize a new instance of <see cref="ConfidenceWeightedPortfolioConstructionModel"/>
/// </summary>
/// <param name="timeSpan">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public ConfidenceWeightedPortfolioConstructionModel(TimeSpan timeSpan,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(timeSpan, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="ConfidenceWeightedPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance UTC time.
/// Returning current time will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public ConfidenceWeightedPortfolioConstructionModel(Func <DateTime, DateTime> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingFunc, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="ConfidenceWeightedPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingParam">Rebalancing func or if a date rule, timedelta will be converted into func.
/// For a given algorithm UTC DateTime the func returns the next expected rebalance time
/// or null if unknown, in which case the function will be called again in the next loop. Returning current time
/// will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <remarks>This is required since python net can not convert python methods into func nor resolve the correct
/// constructor for the date rules parameter.
/// For performance we prefer python algorithms using the C# implementation</remarks>
public ConfidenceWeightedPortfolioConstructionModel(PyObject rebalancingParam,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingParam, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="resolution">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(Resolution resolution = Resolution.Daily,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this(resolution.ToTimeSpan(), portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this(rebalancingDateRules.ToFunc(), portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="InsightWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingDateRules">The date rules used to define the next expected rebalance time
/// in UTC</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public InsightWeightingPortfolioConstructionModel(IDateRule rebalancingDateRules,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingDateRules, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance time
/// or null if unknown, in which case the function will be called again in the next loop. Returning current time
/// will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(Func <DateTime, DateTime?> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingFunc)
{
_portfolioBias = portfolioBias;
}
/// <summary>
/// Initialize a new instance of <see cref="InsightWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance UTC time.
/// Returning current time will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public InsightWeightingPortfolioConstructionModel(Func <DateTime, DateTime> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(rebalancingFunc, portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalancingFunc">For a given algorithm UTC DateTime returns the next expected rebalance UTC time.
/// Returning current time will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public EqualWeightingPortfolioConstructionModel(Func <DateTime, DateTime> rebalancingFunc,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this(rebalancingFunc != null ? (Func <DateTime, DateTime?>)(timeUtc => rebalancingFunc(timeUtc)) : null, portfolioBias)
{
}
public IPortfolioConstructionModel GetPortfolioConstructionModel(Language language, Resolution resolution, PortfolioBias bias)
{
if (language == Language.CSharp)
{
return(new MeanVarianceOptimizationPortfolioConstructionModel(resolution, bias, 1, 63, Resolution.Daily, 0.0001));
}
using (Py.GIL())
{
const string name = nameof(MeanVarianceOptimizationPortfolioConstructionModel);
var instance = Py.Import(name).GetAttr(name)
.Invoke(((int)resolution).ToPython(), ((int)bias).ToPython(), 1.ToPython(), 63.ToPython(), ((int)Resolution.Daily).ToPython(), 0.0001.ToPython());
return(new PortfolioConstructionModelPythonWrapper(instance));
}
}
/// <summary>
/// Initialize a new instance of <see cref="EqualWeightingPortfolioConstructionModel"/>
/// </summary>
/// <param name="rebalance">Rebalancing func or if a date rule, timedelta will be converted into func.
/// For a given algorithm UTC DateTime the func returns the next expected rebalance time
/// or null if unknown, in which case the function will be called again in the next loop. Returning current time
/// will trigger rebalance. If null will be ignored</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
/// <remarks>This is required since python net can not convert python methods into func nor resolve the correct
/// constructor for the date rules parameter.
/// For performance we prefer python algorithms using the C# implementation</remarks>
public EqualWeightingPortfolioConstructionModel(PyObject rebalance,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: this((Func <DateTime, DateTime?>)null, portfolioBias)
{
SetRebalancingFunc(rebalance);
}
public BLOPCM(IPortfolioOptimizer optimizer, PortfolioBias portfolioBias)
: base(optimizer: optimizer, portfolioBias: portfolioBias)
{
}
/// <summary>
/// Initialize a new instance of <see cref="ConfidenceWeightedPortfolioConstructionModel"/>
/// </summary>
/// <param name="resolution">Rebalancing frequency</param>
/// <param name="portfolioBias">Specifies the bias of the portfolio (Short, Long/Short, Long)</param>
public ConfidenceWeightedPortfolioConstructionModel(Resolution resolution = Resolution.Daily,
PortfolioBias portfolioBias = PortfolioBias.LongShort)
: base(resolution, portfolioBias)
{
}