QuantConnect / QuantConnect/Lean
Black Litterman PCM working on forcasted-data only
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@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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