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Hi everyone,
I am trying to understand EqualWeightingPortfolioConstructionModel, so I added "Log.Trace()" to the DetermineTargetPercent() function in line 66:
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from clr import AddReference
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Logging")
AddReference("QuantConnect.Common")
from QuantConnect import *
from QuantConnect.Indicators import *
from QuantConnect.Logging import Log
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from itertools import groupby
from datetime import datetime, timedelta
class MyEqualWeightingPortfolioConstructionModel(PortfolioConstructionModel):
'''Provides an implementation of IPortfolioConstructionModel that gives equal weighting to all securities.
The target percent holdings of each security is 1/N where N is the number of securities.
For insights of direction InsightDirection.Up, long targets are returned and
for insights of direction InsightDirection.Down, short targets are returned.'''
def __init__(self, rebalance = Resolution.Daily, portfolioBias = PortfolioBias.LongShort):
'''Initialize a new instance of EqualWeightingPortfolioConstructionModel
Args:
rebalance: Rebalancing parameter. If it is a timedelta, date rules or Resolution, it will be converted into a function.
If None will be ignored.
The function returns the next expected rebalance time for a given algorithm UTC DateTime.
The function returns null if unknown, in which case the function will be called again in the
next loop. Returning current time will trigger rebalance.
portfolioBias: Specifies the bias of the portfolio (Short, Long/Short, Long)'''
self.portfolioBias = portfolioBias
# If the argument is an instance of Resolution or Timedelta
# Redefine rebalancingFunc
rebalancingFunc = rebalance
if isinstance(rebalance, int):
rebalance = Extensions.ToTimeSpan(rebalance)
if isinstance(rebalance, timedelta):
rebalancingFunc = lambda dt: dt + rebalance
if rebalancingFunc:
self.SetRebalancingFunc(rebalancingFunc)
def DetermineTargetPercent(self, activeInsights):
'''Will determine the target percent for each insight
Args:
activeInsights: The active insights to generate a target for'''
result = {}
# give equal weighting to each security
count = sum(x.Direction != InsightDirection.Flat and self.RespectPortfolioBias(x) for x in activeInsights)
Log.Trace("count: %s" % count)
percent = 0 if count == 0 else 1.0 / count
for insight in activeInsights:
result[insight] = (insight.Direction if self.RespectPortfolioBias(insight) else InsightDirection.Flat) * percent
return result
def RespectPortfolioBias(self, insight):
'''Method that will determine if a given insight respects the portfolio bias
Args:
insight: The insight to create a target for
'''
return self.portfolioBias == PortfolioBias.LongShort or insight.Direction == self.portfolioBias
However, it doesn't show up in the log or console when running the backtest.
Could anyone help on this? Thanks.
Shile Wen
Hi Jinghao,
Log Trace writes to the algorithm internal logs. For algorithm logs, we must call Logging/Debugging functions on QCAlgorithm objects. Thus, we would need to pass the QCAlgorithm to the Portfolio Construction model through its constructor:
def __init__(self, algorithm, rebalance = Resolution.Daily, portfolioBias = PortfolioBias.LongShort): self.algorithm = algorithm ... # in Initialize: self.SetPortfolioConstruction(MyEqualWeightingPortfolioConstructionModel(self))I've shown an example in the attached backtest.
Best,
Shile Wen
Jinghao Liu
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