Portfolio management
Portfolio allocation algorithm now implemented, needed infrastructure (quicksorts, ranking etc. implemented), neccessary config parameters implemented and documented. For now the allocation algorithm works as follows:
loop through all portfolio entries, calc correllation and position
size using the following formula:
P_N = \frac[\sum{_i=0}{^N-1} P_i * \Rho_iN * d_iN ] [N-1]
with P_N new position size
P_i Position sizes of existing portfolio entries
Rho_iN Correlation between new entry and existing entreis
d_iN weight, =1 for long/long or short/short; -1 if otherwise
all weights and corresponding intervalls are configurable