QuantConnect / QuantConnect/Lean

Black Litterman PCM working on forcasted-data only

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#7,483 0 comments 0 reactions 1 assignee View on GitHub

@AlexCatarino is already working on this.

Since Jan 10, 2024.

bug framework impact-low
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C#
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Description

Expected Behavior

The ROC is updated with real data, where using a forecasted value would make sense only for the last value.

Actual Behavior

The ReturnsSymbolData instance gets data (through the Add method) comming always from the Insight.Magnitude value, so the returns are based on forecasted data only.

Potential Solution

Update the return symbol data using asset's data, so the math is done based on the actual asset's ROC.

Splits/dividends should be accounted for by using scaled raw data to update the asset's ROC.

Reproducing the Problem

This was found while working on #7476

System Information

Windows 11

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