QuantConnect / QuantConnect/Lean
MeanVarianceOptimizationPortfolioConstructionModel Doesn't Use ScaledRaw Data
Nobody has claimed this yet.
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
The MeanVarianceOptimizationPortfolioConstructionModel uses ScaledRaw data and resets/warms-up indicators when corporate actions occur.
Actual Behavior
The MeanVarianceOptimizationPortfolioConstructionModel uses adjusted data and doesn't reset/warm-up indicators when corporate actions occur.
Potential Solution
Update MeanVarianceOptimizationPortfolioConstructionModel to use ScaledRaw data and to reset/warm-up indicators when corporate actions occur.
Reproducing the Problem
N/A. View source code
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 Algorithm.Framework/Portfolio/MeanVarianceOptimizationPortfolioConstructionModel.py at the referenced line and trace how data and corporate actions are handled. Confirm the model uses ScaledRaw data and resets and warms up indicators after corporate actions; add or update focused coverage if the surrounding tests identify an appropriate location.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- backend
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100