Added a MonthlyLiquidateRebalanceStrategy class along with appropriat…

[mhallsmoore]

…e PositionSizer subclass to allow monthly rebalancing for long portfolios.

[coveralls]

Coverage decreased (-2.4%) to 70.196% when pulling 97c4c1c on mhm_price_lock into 325266d on master.

[ryankennedyio]

Looks nice Mike.

How could we consider allowing people to include some modern portfolio theory (for example), where a user may want to adjust the position weights dynamically according to asset correlations across the portfolio? That's an interesting problem because it encompasses a lot of the system (risk, sizing, correlations & some factor in the strategy for 'inclusion' in the basket).

If we can at least think about how one might build that nicely, it would be a good proof that the current architecture is, at least, pretty decent. Just thinking about that, there is some conceptual overlap between position_sizer and risk_manager, the lines between them can be a bit blurry.

[mhallsmoore]

@ryankennedyio - This is certainly tricky!

As it stands the SuggestedOrder is generated and sent through the PositionSizer and then subsequently the RiskManager.

I agree that the lines are blurry between PositionSizer and RiskManager. For instance calculating the correlations between each asset in the portfolio is something that should really be part of "risk", but those values are needed in order to size positions! Perhaps this motivates combining PositionSizer and RiskManager into a new PositionRiskManager class?

The other issue here is that in this situation (long-style weighted portfolios) it makes the Strategy object rather redundant, beyond selecting which assets to invest in (and even that can be set outside the Strategy), as most of the trading code is handled by the above mentioned manager classes.

Another common example is Risk Parity strategies (as discussed here: http://www.signalplot.com/implement-simple-risk-parity-strategy/), which involve calculating historical vol (standard deviations) of each asset and then using this as weightings. I imagine we'd want to calculate previous N-month std and then adjust weights accordingly. Again, this makes use of Strategy, PositionSizer and RiskManager!