cvxportfolio
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cvxgrp
Portfolio optimization and back-testing.
Hello, Here are my two cents on cvxportfolio's constraint class: Some real world constraints are complex, Hence can not be represented as a single math expression form. Instead, we should...
## Specifications - Problem: Bug, feature request, or other? Bug - OS: WSL2 - Cvxportfolio version: 1.2.1 - Python version: 3.10.11 - Cvxpy version: Latest - Pandas version: 2.2.1 (tried...
Hi @enzbus, Amazing project! really interesting. Would it be possible to add an example where you've used margin from multiple currencies, accounting for both interest rates and fees? Additionally, showcasing...
With user provided returns forecast, with a single forecasted return per timestamp- how does the model use the forecast? Is it looking at the next `planning_horizon` bars of forecast on...
Even after considerable effort in data cleaning developed for 1.2.0, the London strategy still has problems with data quality. This is slowing down development of other non-US strategies, assuming (maybe...
I get the error: `ValueError: Parameter value must be real.` with callback to: ``` in FactorModelCovariance.values_in_time(self, **kwargs) sigma_sqrt = self.Sigma.current_value \ if self._alreadyfactorized \ else project_on_psd_cone_and_factorize( self.Sigma.current_value) # numpy eigendecomposition...
Why is there the check: ``` v = np.sum(h) if v < 0.: raise DataError( f"Holdings provided to {self.__class__.__name__}.execute " + " have negative sum.") ``` In the case where...
Today's sp500 execution failed because Yahoo Finance didn't update the price of one symbol. DownloadedMarketData canceled the whole last row of returns, since it applies a dropna on it. The...
Some individual test modules enforce `warnings='error'` in `unittest.main` but that is not done in `__main__.py`. Most warnings have been fixed already, with this we'll get a Github CI failure any...
- OS: Ubuntu 22.04.1 LTS - Cvxportfolio version: 1.1.1 - Python version: 3.10.12 - Cvxpy version: 1.4.2 - Pandas version: 2.2.0 I followed the instructions in Readme and run such...
