def CreateTargets(self, algorithm, insights):
"""
Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model
"""
targets = []
for symbol in self.pendingRemoval:
targets.append(PortfolioTarget.Percent(algorithm, symbol, 0))
self.pendingRemoval.clear()
# construct the dataframe of historical return
price = {}
for symbol, data in self.symbolDataDict.items():
price[str(symbol)] = data.PriceSeries()
df_price = pd.DataFrame(price)[::-1]
returns = df_price.pct_change().dropna()
# get view vectors
P, Q = self.get_views(insights, returns)
# get the implied excess equilibrium return vector
equilibrium_return, cov = self.get_equilibrium_return(returns)
# if view is empty, use equilibrium return as the expected return instead
if P.size == 0:
expected_return = equilibrium_return
else:
# create the diagonal covariance matrix of error terms from the expressed views
omega = dot(dot(dot(self.tau, P), cov), transpose(P))
if np.linalg.det(omega) == 0:
expected_return = equilibrium_return
else:
A = inv(dot(self.tau, cov)) + dot(
dot(np.transpose(P), inv(omega)), P)
B = dot(inv(dot(self.tau, cov)), equilibrium_return) + dot(
dot(np.transpose(P), inv(omega)), Q)
# the new combined expected return vector
expected_return = dot(inv(A), B)
# the optimization method processes the data frame
opt, weights = self.maximum_sharpe_ratio(self.risk_free_rate,
expected_return, returns)
# create portfolio targets from the specified insights
for insight in insights:
weight = weights[str(insight.Symbol)]
targets.append(
PortfolioTarget.Percent(algorithm, insight.Symbol, weight))
return targets
def CreateTargets(self, algorithm, insights):
"""
Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model
"""
targets = []
for symbol in self.pendingRemoval:
targets.append(PortfolioTarget.Percent(algorithm, symbol, 0))
self.pendingRemoval.clear()
symbols = [insight.Symbol for insight in insights]
if len(symbols) == 0 or all(
[insight.Magnitude == 0 for insight in insights]):
return targets
for insight in insights:
symbolData = self.symbolDataBySymbol.get(insight.Symbol)
if insight.Magnitude is None:
algorithm.SetRunTimeError(
ArgumentNullException(
'MeanVarianceOptimizationPortfolioConstructionModel does not accept \'None\' as Insight.Magnitude. Please checkout the selected Alpha Model specifications.'
))
symbolData.Add(algorithm.Time, insight.Magnitude)
# Create a dictionary keyed by the symbols in the insights with an pandas.Series as value to create a data frame
returns = {
str(symbol): data.Return
for symbol, data in self.symbolDataBySymbol.items()
if symbol in symbols
}
returns = pd.DataFrame(returns)
# The portfolio optimizer finds the optional weights for the given data
weights = self.optimizer.Optimize(returns)
weights = pd.Series(weights, index=returns.columns)
# Create portfolio targets from the specified insights
for insight in insights:
weight = weights[str(insight.Symbol)]
targets.append(
PortfolioTarget.Percent(algorithm, insight.Symbol, weight))
return targets
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
targets = []
if self.removedSymbols is not None:
# zero out securities removes from the universe
for symbol in self.removedSymbols:
targets.append(PortfolioTarget(symbol, 0))
self.removedSymbols = None
if len(self.securities) == 0:
return []
# give equal weighting to each security
percent = 1.0 / len(self.securities)
for insight in insights:
targets.append(
PortfolioTarget.Percent(algorithm, insight.Symbol,
insight.Direction * percent))
return targets
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
self.insightCollection.AddRange(insights)
targets = []
if self.removedSymbols is not None:
# zero out securities removes from the universe
for symbol in self.removedSymbols:
targets.append(PortfolioTarget(symbol, 0))
self.removedSymbols = None
if len(insights) == 0:
return targets
# Get symbols that have emit insights and still in the universe
symbols = list(set([x.Symbol for x in self.insightCollection if x.CloseTimeUtc > algorithm.UtcTime]))
if len(symbols) == 0:
return targets
# give equal weighting to each security
percent = 1.0 / len(symbols)
for symbol in symbols:
activeInsights = [ x for x in self.insightCollection if x.Symbol == symbol ]
direction = activeInsights[-1].Direction
targets.append(PortfolioTarget.Percent(algorithm, symbol, direction * percent))
return targets
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
self.insightCollection.AddRange(insights)
targets = []
if self.removedSymbols is not None:
# zero out securities removes from the universe
for symbol in self.removedSymbols:
targets.append(PortfolioTarget(symbol, 0))
self.removedSymbols = None
if len(insights) == 0:
return targets
# Get last insight that haven't expired of each symbol that is still in the universe
activeInsights = list()
# Remove expired insights
validInsights = [
i for i in self.insightCollection
if i.CloseTimeUtc > algorithm.UtcTime
]
# Force one group per symbol
for symbol, g in groupby(validInsights, lambda x: x.Symbol):
# For direction, we'll trust the most recent insight
activeInsights.append(
sorted(g, key=lambda x: x.GeneratedTimeUtc)[-1])
if len(activeInsights) == 0:
return targets
# give equal weighting to each security
count = sum(x.Direction != InsightDirection.Flat
for x in activeInsights)
percent = 0 if count == 0 else 1.0 / count
for insight in activeInsights:
targets.append(
PortfolioTarget.Percent(algorithm, insight.Symbol,
insight.Direction * percent))
return targets
def CreateTargets(self, algorithm, insights):
"""
Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portfolio targets from
Returns:
An enumerable of portfolio targets to be sent to the execution model
"""
targets = []
if (algorithm.UtcTime <= self.nextExpiryTime
and algorithm.UtcTime <= self.rebalancingTime
and len(insights) == 0 and self.removedSymbols is None):
return targets
insights = PortfolioConstructionModel.FilterInvalidInsightMagnitude(
algorithm, insights)
self.insightCollection.AddRange(insights)
# Create flatten target for each security that was removed from the universe
if self.removedSymbols is not None:
universeDeselectionTargets = [
PortfolioTarget(symbol, 0) for symbol in self.removedSymbols
]
targets.extend(universeDeselectionTargets)
self.removedSymbols = None
# Get insight that haven't expired of each symbol that is still in the universe
activeInsights = self.insightCollection.GetActiveInsights(
algorithm.UtcTime)
# Get the last generated active insight for each symbol
lastActiveInsights = []
for sourceModel, f in groupby(
sorted(activeInsights, key=lambda ff: ff.SourceModel),
lambda fff: fff.SourceModel):
for symbol, g in groupby(sorted(list(f), key=lambda gg: gg.Symbol),
lambda ggg: ggg.Symbol):
lastActiveInsights.append(
sorted(g, key=lambda x: x.GeneratedTimeUtc)[-1])
# Get view vectors
P, Q = self.get_views(lastActiveInsights)
if P is not None:
returns = dict()
# Updates the BlackLittermanSymbolData with insights
# Create a dictionary keyed by the symbols in the insights with an pandas.Series as value to create a data frame
for insight in lastActiveInsights:
symbol = insight.Symbol
symbolData = self.symbolDataBySymbol.get(
symbol,
self.BlackLittermanSymbolData(insight.Symbol,
self.lookback, self.period))
if insight.Magnitude is None:
algorithm.SetRunTimeError(
ArgumentNullExceptionArgumentNullException(
'BlackLittermanOptimizationPortfolioConstructionModel does not accept \'None\' as Insight.Magnitude. Please make sure your Alpha Model is generating Insights with the Magnitude property set.'
))
symbolData.Add(algorithm.Time, insight.Magnitude)
returns[symbol] = symbolData.Return
returns = pd.DataFrame(returns)
# Calculate prior estimate of the mean and covariance
Pi, Sigma = self.get_equilibrium_return(returns)
# Calculate posterior estimate of the mean and covariance
Pi, Sigma = self.apply_blacklitterman_master_formula(
Pi, Sigma, P, Q)
# Create portfolio targets from the specified insights
weights = self.optimizer.Optimize(returns, Pi, Sigma)
weights = pd.Series(weights, index=Sigma.columns)
for symbol, weight in weights.items():
target = PortfolioTarget.Percent(algorithm, symbol, weight)
if target is not None:
targets.append(target)
# Get expired insights and create flatten targets for each symbol
expiredInsights = self.insightCollection.RemoveExpiredInsights(
algorithm.UtcTime)
expiredTargets = []
for symbol, f in groupby(expiredInsights, lambda x: x.Symbol):
if not self.insightCollection.HasActiveInsights(
symbol, algorithm.UtcTime):
expiredTargets.append(PortfolioTarget(symbol, 0))
continue
targets.extend(expiredTargets)
self.nextExpiryTime = self.insightCollection.GetNextExpiryTime()
if self.nextExpiryTime is None:
self.nextExpiryTime = UTCMIN
self.rebalancingTime = algorithm.UtcTime + self.rebalancingPeriod
return targets
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
targets = []
if (algorithm.UtcTime <= self.nextExpiryTime
and algorithm.UtcTime <= self.rebalancingTime
and len(insights) == 0 and self.removedSymbols is None):
return targets
self.insightCollection.AddRange(insights)
# Create flatten target for each security that was removed from the universe
if self.removedSymbols is not None:
universeDeselectionTargets = [
PortfolioTarget(symbol, 0) for symbol in self.removedSymbols
]
targets.extend(universeDeselectionTargets)
self.removedSymbols = None
# Get insight that haven't expired of each symbol that is still in the universe
activeInsights = self.insightCollection.GetActiveInsights(
algorithm.UtcTime)
# Get the last generated active insight for each symbol
lastActiveInsights = []
for symbol, g in groupby(activeInsights, lambda x: x.Symbol):
lastActiveInsights.append(
sorted(g, key=lambda x: x.GeneratedTimeUtc)[-1])
# give equal weighting to each security
count = sum(x.Direction != InsightDirection.Flat
for x in lastActiveInsights)
percent = 0 if count == 0 else 1.0 / count
errorSymbols = {}
for insight in lastActiveInsights:
target = PortfolioTarget.Percent(algorithm, insight.Symbol,
insight.Direction * percent)
if not target is None:
targets.append(target)
else:
errorSymbols[insight.Symbol] = insight.Symbol
# Get expired insights and create flatten targets for each symbol
expiredInsights = self.insightCollection.RemoveExpiredInsights(
algorithm.UtcTime)
expiredTargets = []
for symbol, f in groupby(expiredInsights, lambda x: x.Symbol):
if not self.insightCollection.HasActiveInsights(
symbol, algorithm.UtcTime) and not symbol in errorSymbols:
expiredTargets.append(PortfolioTarget(symbol, 0))
continue
targets.extend(expiredTargets)
self.nextExpiryTime = self.insightCollection.GetNextExpiryTime()
if self.nextExpiryTime is None:
self.nextExpiryTime = UTCMIN
self.rebalancingTime = algorithm.UtcTime + self.rebalancingPeriod
return targets
def CreateTargets(self, algorithm, insights):
"""
Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model
"""
targets = []
for symbol in self.pendingRemoval:
targets.append(PortfolioTarget.Percent(algorithm, symbol, 0))
self.pendingRemoval.clear()
symbols = [insight.Symbol for insight in insights]
if len(symbols) == 0 or all(
[insight.Magnitude == 0 for insight in insights]):
return targets
for insight in insights:
symbolData = self.symbolDataBySymbol.get(insight.Symbol)
if insight.Magnitude is None:
algorithm.SetRunTimeError(
ArgumentNullException(
'BlackLittermanOptimizationPortfolioConstructionModel does not accept \'None\' as Insight.Magnitude. Please make sure your Alpha Model is generating Insights with the Magnitude property set.'
))
symbolData.Add(algorithm.Time, insight.Magnitude)
# Create a dictionary keyed by the symbols in the insights with an pandas.Series as value to create a data frame
historical_returns = {
str(symbol): data.Return
for symbol, data in self.symbolDataBySymbol.items()
if symbol in symbols
}
historical_returns = pd.DataFrame(historical_returns)
# Get view vectors
P, Q = self.get_views(insights)
# Get the implied excess equilibrium return vector
equilibrium_return, cov = self.get_equilibrium_return(
historical_returns)
# If view is empty, use equilibrium return as the expected return instead
if P.size == 0:
investors_views_aggregation_returns = equilibrium_return
else:
# Create the diagonal covariance matrix of error terms from the expressed views
omega = dot(dot(dot(self.tau, P), cov), transpose(P))
if np.linalg.det(omega) == 0:
investors_views_aggregation_returns = equilibrium_return
else:
A = inv(dot(self.tau, cov)) + dot(
dot(np.transpose(P), inv(omega)), P)
B = dot(inv(dot(self.tau, cov)), equilibrium_return) + dot(
dot(np.transpose(P), inv(omega)), Q)
# the new combined expected return vector
investors_views_aggregation_returns = dot(inv(A), B)
# The portfolio optimizer finds the optional weights for the given data
weights = self.optimizer.Optimize(historical_returns,
investors_views_aggregation_returns)
weights = pd.Series(weights, index=historical_returns.columns)
# create portfolio targets from the specified insights
for insight in insights:
weight = weights[str(insight.Symbol)]
targets.append(
PortfolioTarget.Percent(algorithm, insight.Symbol, weight))
return targets