weighting

API documentation for tradeexecutor.strategy.weighting Python module in Trading Strategy.

Module description

Weighting based portfolio manipulation.

Various helper functions to calculate weights for assets, normalise them.

Functions

check_normalised_weights(weights[, epsilon])	Check that the sum of weights is good.
clip_to_normalised(weights[, epsilon, ...])	If the sum of the weights are not exactly 1, then decrease the largest member to make the same sum 1 precise.
normalise_weights(weights)	Normalise weight distribution so that the sum of weights is 1.
weight_by_1_slash_n(alpha_signals)	Use 1/N (position) weighting system to generate portfolio weightings from the raw alpha signals.
weight_by_1_slash_signal(alpha_signals)	Use 1/signal weighting system to generate portfolio weightings from the raw alpha signals.
weight_equal(alpha_signals)	Give equal weight to every asset, regardless of the signal strength.
weight_passthrouh(alpha_signals)	Use the given raw weight value as is as the portfolio weight.