Share New Research 
So, for the following code:
class ForexTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(100000)
self.SetStartDate(2018,1,1)
self.SetEndDate(datetime.now() - timedelta(1))
self.signs = [
"USDCAD",
"EURUSD",
"USDCHF",
"EURGBP",
"GBPUSD",
"USDJPY",
]
self.symbols = [Symbol.Create(x, SecurityType.Forex, Market.Oanda) for x in self.signs]
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverseSelection(ManualUniverseSelectionModel(self.symbols))
self.SetAlpha(RsiAlphaModel())
self.SetAlpha(EmaCrossAlphaModel())
self.SetAlpha(MacdAlphaModel())
self.SetPortfolioConstruction(MeanVarianceOptimizationPortfolioConstructionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.02))
self.SetExecution(ImmediateExecutionModel())
I get the following errors:
`Runtime Error: An item with the same key has already been added. Key: 11/03/2017 20:00:00 (Open Stacktrace)`
I am assuming it's because I'm trying to analyze Forex data but the MeanVarianceOptimizationPortfolioConstructionModel is calculating returns on 252 trading days as opposed to daily for Forex as shown in this code:
My question is, what should I do to modify the returns formula for the MeanVarianceOptimizationPortfolioConstructionModel code so it's compatible with Forex. Do I calculate returns over 365 days instead?
Thank you for your help! Best wishes.
Rahul Chowdhury
Hi Yaz,
There may possibly be an issue with the C# version of MeanVarianceOptimization PCM. We've created a GitHub issue regarding this which you can follow for updates.
For now, you can run your algorithm by copying over the python version of the PCM into your project and importing it. MeanVarianceOptimization PCM requires insights with magnitude to create portfolio targets. So we need to make sure to use an alpha model which emits insights with magnitude. For example, we can use a constant alpha model which emits upwards insights with magnitude 0.01.
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1), 0.01, 0.05))Best
Rahul
Yaz Khoury
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