# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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from typing import Optional, List
from qf_lib.backtesting.signals.signal import Signal
from qf_lib.backtesting.broker.broker import Broker
from qf_lib.backtesting.signals.signals_register import SignalsRegister
from qf_lib.backtesting.order.execution_style import MarketOrder
from qf_lib.backtesting.order.order import Order
from qf_lib.backtesting.order.order_factory import OrderFactory
from qf_lib.backtesting.order.time_in_force import TimeInForce
from qf_lib.backtesting.position_sizer.position_sizer import PositionSizer
from qf_lib.common.enums.frequency import Frequency
from qf_lib.data_providers.data_provider import DataProvider
[docs]class FixedPortfolioPercentagePositionSizer(PositionSizer):
"""
This PositionSizer converts signals to orders using Fixed Percentage value.
Each signal will be sized based on that percentage of the portfolio.
Parameters
----------
broker: Broker
data_provider: DataProvider
order_factory: OrderFactory
fixed_percentage: float
should be set once for all signals. It corresponds to the fraction of a portfolio that we
are investing in every asset on single trade.
For example: fixed_percentage = 0.2, means that we are investing 20% of portfolio to
any signal that is long or short.
tolerance_percentage: float
used by OrderFactory
"""
def __init__(self, broker: Broker, data_provider: DataProvider, order_factory: OrderFactory,
signals_register: SignalsRegister, fixed_percentage: float, tolerance_percentage: float = 0.0):
super().__init__(broker, data_provider, order_factory, signals_register)
self.fixed_percentage = fixed_percentage
self.tolerance_percentage = tolerance_percentage
def _generate_market_orders(self, signals: List[Signal], time_in_force: TimeInForce, frequency: Frequency = None) \
-> List[Optional[Order]]:
target_percentages = {
self._get_specific_ticker(signal.ticker): signal.suggested_exposure.value * self.fixed_percentage
for signal in signals
}
market_order_list = self._order_factory.target_percent_orders(
target_percentages, MarketOrder(), time_in_force, self.tolerance_percentage, frequency)
return market_order_list