PortfolioConstructionModel#

API documentation for tradeexecutor.strategy.qstrader.portfolio_construction_model.PortfolioConstructionModel Python class in Trading Strategy framework.

class PortfolioConstructionModel[source]#

Bases: object

Portfolio construction model.

Encapsulates the process of generating a target weight vector for a universe of assets, based on input from an AlphaModel, a RiskModel and a TransactionCostModel.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)[source]#
Parameters:

Methods

__init__(universe, state, order_sizer, ...)

get_all_prices()

Get prices for all asssets.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)[source]#
Parameters:
get_all_prices()[source]#

Get prices for all asssets.

__call__(dt, stats=None, debug_details=None)[source]#

Execute the portfolio construction process at a particular provided date-time.

Use the optional alpha model, risk model and cost model instances to create a list of desired weights that are then sent to the target weight generator instance to be optimised.

Parameters:
Return type:

List[TradeExecution]