QuantConnect / QuantConnect/Lean
Add Buying Power / Leverage Option to PortfolioConstructionModel
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depth
feature
framework
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
PortfolioConstructionModelrespect equities and forex leverage
Actual Behavior
PortfolioConstructionModelimplementatios aren't using any leverage for equities and forex.
Potential Solution
PortfolioConstructionModelfactor in security leverage when calculating percents or uses aPortfolioTargetAPI method that does so.- Since this would be a breaking change, it could be an optional setting of the PCM.
Reproducing the Problem
N/A
System Information
N/A
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the PortfolioConstructionModel implementations and the PortfolioTarget API mentioned in the issue, then trace how equity and forex leverage is represented. Determine the scope of an optional setting that preserves existing behavior; done means portfolio targets account for security leverage and the relevant behavior is covered by tests.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 25/100