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I am trying to implement Margin using the AlgorithmFramework, and in particular InsightWeightedPortfolioConstruction.
This is proving difficult as the above does not allow the sum of all weights to total > 1.0.
Is there a "cleaner" way to implement margin than modifying the InsightWeightedPortfolioConstructionModel?
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Hi Mark,
The sum of the insight weights we emit to the InsightWeightedPortfolioConstructionModel can be greater than 1, the PCM normalizes the weights by this sum in that case. View the source code here.
The cleanest way to implement margin is to inherit from InsightWeightingPortfolioConstructionModel
and override CreateTargets
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class MyPCM(InsightWeightingPortfolioConstructionModel):
leverage = 0.5
def CreateTargets(self, algorithm, insights):
targets = super().CreateTargets(algorithm, insights)
return [PortfolioTarget(x.Symbol, x.Quantity*(1+self.leverage)) for x in targets] See the attached backtest for a full example of this.
Best,
Derek Melchin
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