Problem with SetHoldings by Kamer Ali Yüksel

Kamer Ali Yüksel INVESTOR

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Target weights and portfolio values does not match at all when using SetHoldings. What can be the reason for that? (Please, note that I am using FX market and check those hourly so the change in asset prices can't be the reason for such a large deviation)

        values = []

        for asset in trade_assets:

            values.append(self.Portfolio[asset].Quantity * self.Portfolio[asset].Price)

        pvalues = np.array(values)

        pvalues /= np.sum(np.abs(pvalues))

        

        self.Debug(pvalues)

        self.Debug(target_weights)

        

        for i, asset in enumerate(trade_assets):

            self.SetHoldings(asset, target_weights[i])

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Kamer Ali Yüksel

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Kamer Ali Yüksel

548 ,

I just noted that the base currencies of these assets were different. Hence, there may be an error with my calculation of portfolio weights since that the "Price" values of those assets are not probably using the same currency. I will check if the problem persists after fixing this error in the portfolio weights calculation.

trade_assets = ['EURAUD', 'EURNZD', 'GBPAUD', 'GBPNZD', 'USDSEK', 'AUDUSD', 'NZDUSD']

Jared Broad

Please post an example demonstrating your issue for best assistance.

Kamer Ali Yüksel

548 ,

Thanks Jared, there wasn't an issue actually, it was just my miscalculation. I wasn't using uniform base currency while calculating the weights of the positions within the portfolio. Is there an existing function for getting the portfolio weights (ratios) for each asset (or position) in the portfolio?

Jack Simonson

Hi Kamer,

There is no built-in function or method to retrieve the current portfolio weights, but the best way to calculate these would be dividing the value of the holding of each individual security by the value of all holdings in the portfolio.

## In initialize

    self.ratios = {}

    self.symbols = ['SPY', 'IBM', 'AAPL']

    for symbol in self.symbols:

        self.AddEquity(symbol, Resolution.Daily)





def CalculateWeight(self, symbol):

    if self.Portfolio.TotalHoldingsValue > 0:

        self.ratios[symbol] = self.Securities[symbol].Holdings.AbsoluteHoldingsValue/self.Portfolio.TotalHoldingsValue

    else:

        self.ratios[symbol] = 0

Kamer Ali Yüksel INVESTOR

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