Table of Contents

Class EqualWeightOptimizer.StrategyConstraints

Namespace
Balsam.Optimization
Assembly
Balsam.Backtester.dll

Encapuslates a list of strategy constraints as well as providing global min/max holdings.

public class EqualWeightOptimizer.StrategyConstraints : KeyedCollection<string, EqualWeightOptimizer.StrategyConstraint>, IList<EqualWeightOptimizer.StrategyConstraint>, ICollection<EqualWeightOptimizer.StrategyConstraint>, IReadOnlyList<EqualWeightOptimizer.StrategyConstraint>, IReadOnlyCollection<EqualWeightOptimizer.StrategyConstraint>, IEnumerable<EqualWeightOptimizer.StrategyConstraint>, IList, ICollection, IEnumerable
Inheritance
EqualWeightOptimizer.StrategyConstraints
Implements
Inherited Members
Extension Methods

Properties

HasConstraints

Gets whether any strategy level constraints have been added to the collection.

public bool HasConstraints { get; }

Property Value

bool

MaxHoldings

Gets/sets the maximum number of holdings across the entire portfolio.

public int MaxHoldings { get; set; }

Property Value

int

MinChange

Gets/sets the minimum improvement in Sharpe necessary to continue the optimization.

public double MinChange { get; set; }

Property Value

double

MinHoldings

Gets/sets the minimum number of holdings across the entire portfolio.

public int MinHoldings { get; set; }

Property Value

int

None

No constraints

public static EqualWeightOptimizer.StrategyConstraints None { get; }

Property Value

EqualWeightOptimizer.StrategyConstraints

Methods

GetKeyForItem(StrategyConstraint)

Returns the strategy name for use as a key.

protected override string GetKeyForItem(EqualWeightOptimizer.StrategyConstraint item)

Parameters

item EqualWeightOptimizer.StrategyConstraint

Returns

string