modular_trader.framework.portfolio_construction.equal

Classes

EqualWeightPortfolioConstruction

Assigns equal weight to all signals. Liquidates positions no longer in signals.

Module Contents

class modular_trader.framework.portfolio_construction.equal.EqualWeightPortfolioConstruction

Bases: modular_trader.framework.portfolio_construction.base.BasePortfolioConstruction

Assigns equal weight to all signals. Liquidates positions no longer in signals.

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]