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Hi, I have a question about the new Bootcamp lesson. In the final walkthrough of this tutorial, it's written:
Finally, iterate through the insights and multiply the equal weight by the insight direction to return a target percent, and save as a value in self.result. Through inheritance, the target percent is turned into a target number of shares (Portfolio Targets) and delivered to the execution model.
Why is the target percent is turned into a target number of shares due to inheritance? I do not see any call to the parent DetermineTargetPercent() function. Or is the parent function is automatically called? But if this the case, how is the self.result from the current class being taken into account by the parent class since the parent class should not be able to access its child class instance in my knowledge. I tried to use the debugger and read through the codes in Github but I couldn't find an answer.
Also, is it legitimate to do self.result[insight] = insight.Direction * self.percent? So in this case, this value is acting in some sense like the magnitude property of the insight?
Any kind of help is appreciated. Thank you.
Alexandre Catarino
Hi Chai Jiazheng ,
Great question!
DetermineTargetPercent is a virtual method of PortfolioConstructionModel (PCM) (that serves as a parent class for all portfolio construction models) that determine the target percent for each security. It is called by the CreateTargets method where the percentages are converted into shares (PortfolioTarget object).
SectorWeightingPortfolioConstructionModel (SWPCM) inherits PCM implementation, overrides DetermineTargetPercent and OnSecuritiesChanged method.
Here is the relevant part of the stack:
1. AlphaModel creates Insights with Update method:
var insightsEnumerable = Alpha.Update(this, slice);2. SectorWeightingPortfolioConstructionModel create portfolio targets with CreateTargets method (implemented in PCM):
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights); // where insights is insightsEnumerable and PortfolioConstruction is SWPCM3. In CreateTargets, DetermineTargetPercent is called:
public virtual IEnumerable<IPortfolioTarget> CreateTargets( QCAlgorithm algorithm, Insight[] insights) { // other statements and lastActiveInsights definition var percents = DetermineTargetPercent(lastActiveInsights); // <=== foreach (var insight in lastActiveInsights) { // Not exactly the next three statements. Just to keep it simple. percent = percents[insight.Symbol]; // Convert the percentage to a PortfolioTarget (Symbol/Quantity pair) var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percent); targets.Add(target); } // other statements return targets; }4. Finally, targetsEnumerable will be risk-adjusted by the RiskModel and used by the ExecutionModel to place orders.
Chai Jiazheng
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