TP

TP Instructions: Implementing a Strategy and a Portfolio for a backtesting task

Objective: You need to implement methods and functionalities for a Portfolio class. The class should handle the operations of initializing the portfolio with financial instrument, rebalancing its positions based on a given strategy, and providing a summary of the portfolio positions.

Tips: - Use the methods and attributes of other provided classes like Instrument, Quote, and Position. - Before starting the exercise be sure to fully understand how the object provided for it worked. - Remember to handle cases where certain attributes might be None or missing. - If you finish the exercise early, you can implement method to populate the attribute of the Portfolio class that are not handle yet.

PART I: Creating the meta class strategy and one specific strategy:

Create an abstract class Strategy that will serve as the base for all strategies. This class should:

• Include an abstract method generate_signals that will generate trading signals based on input data.
• Document the method generate_signals with a docstring explaining the parameters and return value:
  • Parameters for the class : A dictionary with tickers as keys and positions as values. The dict should be named data_for_signal_generation
  • Return: A dictionary with tickers as keys and signals as values.

Create a derived class EqualWeightStrategy from Strategy:

• This class should inherit from Strategy and implement the generate_signals method.
• It should calculate and return a dictionary with equal-weight signals for each ticker.
• To Implement the generate_signals method:
  • The method should calculate equal-weight signals for each ticker by dividing 1 by the total number of tickers.
  • It should return a dictionary where each ticker has an equal weight as its signal.

Part II : Creating the Portfolio class:

1. Class Attributes: Based on the provided code framework, create a Portfolio class which should have the following attributes:

   • name: Name of the portfolio.
   • currency: The currency in which the portfolio is denominated.
   • aum: Assets Under Management.
   • ‘nav’ : The last net asset value computed for the portfolio
   • historical_nav: A list that keeps track of the historical Net Asset Values.
   • positions: A list of Position objects representing the portfolio’s assets.
   • strategy: A strategy object, an instance of a class derived from the Strategy class.

2. Initialization: Implement the __init__ method to initialize the portfolio attributes.

3. Initialize Portfolio Positions: Implement a initialize_position_from_instrument_list method to initialize the portfolio’s positions with a given list of FinancialAsset objects. Each financial asset should be wrapped in a Position object.

4. Positions to Dictionary: Implement the _positions_to_dict method which returns a dictionary of positions with ticker symbols as keys and Position objects as values. This will help in rebalancing operations.

5. Rebalancing: Implement the rebalance_portfolio method which performs the following tasks:

   • Convert the positions list into a dictionary.
   • Generate trading signals using the provided strategy.
   • Update the weight and quantity of each position in the portfolio based on the generated signals.

6. Portfolio Summary: Implement the portfolio_position_summary method. This method should return a dataframe summarizing the portfolio’s current positions, including the ticker symbols, weights, quantities, and last close for the assets

After implementing the Part I and Part II, you can launch this unit test to validate your code.

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