weight_by_1_slash_n#

API documentation for tradeexecutor.strategy.weighting.weight_by_1_slash_n Python function.

weight_by_1_slash_n(alpha_signals)[source]#

Use 1/N (position) weighting system to generate portfolio weightings from the raw alpha signals.

  • The highest alpha gets portfolio allocation 1/1

  • The second-highest alpha gets portfolio allocation 1/2

  • etc.

More information:

The Fallacy of 1/N and Static Weight Allocation.

Parameters:

alpha_signals (Dict[int, float]) –

Return type:

Dict[int, float]