Risk parity meta portfolio

This MetaClass is for making risk parity portfolio of several alphas.

Import

from finter.modeling.meta_portfolio.risk_parity_portfolio import (
    RiskParityMetaPortfolio,
)
from finter.framework_model.submission.config import ModelUniverseConfig

Example Code (Class Definition)

Portfolio = RiskParityMetaPortfolio.create(
    RiskParityMetaPortfolio.Parameters(
        universe=ModelUniverseConfig.KR_STOCK,
        alpha_list=[
            "krx.krx.stock.ywcho.peter",
            "krx.krx.stock.ywcho.gusty",
        ],
        risk = "Volatility",
        lookback_periods = "6M",
        rebalancing_periods = "1M"      
    )
)

• universe (ModelUniverseConfig): Determines the universe of the portfolio.

• alpha_list (list): Contains the list of models to be used for portfolio creation.

• risk (str): Determines the method to calculate 'risk'.

  • There are three available options ['Volatility', 'MDD', 'TuW'].

• lookback_periods (str): Determines the duration used to calculate historical risk.

  • There are 3 available options ['3M', '6M', '12M']

• rebalancing_periods (str): Determines the duration for rebalancing the portfolio.

  • There are 3 available options ['1W', '1M', '1Q']

Method

• get(start: int, end: int) : Generate positions within the created portfolio from YYYYmmdd(start) to YYYYmmdd(end).

• submit(model_name : str) : Submits the model with the specified name.

• get_source_code( ) : Displays the source code of the submitted or submitting model.