quantlab.portfolio.base.Decision#

class quantlab.portfolio.base.Decision(weights, failure=None, events=<factory>)[source]#

Bases: object

What a rule decided at one bar: PortfolioConstructor.decide’s result.

Attributes:

weightsxr.DataArray: The weights to hold after the bar, on symbol in the order of the context’s symbols: finite on a traded bar, all NaN to hold the current position.
failurestr or None: The message of the PortfolioConstructionError that made the bar a hold, or None when the rule decided it.
eventsdict: The events the rule’s row reported in attrs["events"], as the rule gave them ({name: [symbol, ...]} or {name: count}); empty after a failure.

Examples

>>> decision = Decision(
...     weights=xr.DataArray([0.5, 0.5, 0.0], dims="symbol", coords={"symbol": ["AAA", "BBB", "CCC"]}),
... )
>>> decision.failure is None, decision.events
(True, {})