Add CompositePortfolioConstructionModel

Expected Behavior

Have an IPortfolioConstructionModel that all allocates the same portfolio share for each alpha model.

Actual Behavior

Not implemented.

Potential Solution

Constructor

• Rebalacing func. We could inherit from PCM to re use his logic around rebalancing, but could still override CreateTargets
• Portfolio bias -> on the aggregated result
• Dictionary<string, IPCM> the source models with their corresponding IPCM
• Portfolio factoring per SourceModel (default being EW)
  Would be nice being able to evaluate a SourceModel performance and factor based on it. How? Accessing its active insights + Portfolio? What if there isn’t any holding because the insight was canceled by another Alpha? There will be no holding, the security price is there though. Maybe analyze the closed insight score?

Add(string sourceModel, IPCM pcm)

IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)

• Filter insights with no SourceModel -> won’t happen they are set by the framework https://github.com/QuantConnect/Lean/blob/master/Algorithm/QCAlgorithm.Framework.cs#L408
• Group insights by SourceModel and push them into their corresponding IPCM
  Aggregate IPCM results, factoring allocation per SourceModel

Checklist

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