RPRT Paper Implementation - Jan 2025

QuantConnect implementation of the Reweighted Price Relative Tracking (RPRT) strategy. Reference: "Reweighted Price Relative Tracking System for Automatic Portfolio Optimization" by Zhao-Rong Lai, et al. (IEEE TSMC:Systems, 2018). This implementation focuses on the "broad_etfs" variant identified in the analysis. Inpsired by / Ported from: - Python Implementation (Paper to profilt) : https://substack.com/home/post/p-160783235 - Original research Paper (Zhao-Rong et al): https://ieeexplore.ieee.org/document/8411138/