modular_trader.framework.portfolio_construction.base

Classes

BasePortfolioConstruction

Base class for portfolio construction.

Module Contents

class modular_trader.framework.portfolio_construction.base.BasePortfolioConstruction

Bases: abc.ABC

Base class for portfolio construction.

This class defines the interface for all portfolio construction strategies.

The __call__ method is called by the framework to construct the portfolio. It is expected to clear the current allocations and add the new allocations.

The run method is called by __call__ to perform the portfolio construction. It must be implemented by subclasses to return an iterable of Allocation objects.

__call__(context: modular_trader.context.Context, signals: modular_trader.signal.SignalCollection) → Any

Parameters:

• context (modular_trader.context.Context)

• signals (modular_trader.signal.SignalCollection)

Return type:

Any

abstract run(context: modular_trader.context.Context, signals: modular_trader.signal.SignalCollection) → collections.abc.Iterable[modular_trader.allocation.Allocation]

Must be implemented by subclasses.

Called by __call__ to perform portfolio construction.

Parameters:

• context (modular_trader.context.Context)

• signals (modular_trader.signal.SignalCollection)

Return type:

collections.abc.Iterable[modular_trader.allocation.Allocation]