test fails because of different leverages

[haimivan]

Hi,

I execute the test file test_kelly_criterion.py. The data is downloaded correctly from IEX.

The test fails because of different leverages: actual_leverages = {'IBM': -5.92880957675537, 'AAPL': 1.4182295083611631}

expected_leverages = {'AAPL': 1.2944, 'IBM': -5.2150}

For the sake of completeness, I put here the contents of the DataFrame df as it is found in kelly_criterion/kelly_criterion.py after df = DataFrame(excess_return).dropna() was executed:

date, IBM, AAPL
2018-01-03 00:00:00 , 0.027329114249697726 , -0.00033288550529933015
2018-01-04 00:00:00 , 0.020094913604283258 , 0.0044862213595885155
2018-01-05 00:00:00 , 0.0047268604411462075 , 0.011226578747239957
2018-01-08 00:00:00 , 0.00587241021913929 , -0.0038730158730159395
2018-01-09 00:00:00 , 0.0020435087841953244 , -0.0002734419453661824
2018-01-10 00:00:00 , 0.0019776307031388104 , -0.00038818005260967737
2018-01-11 00:00:00 , -3.691264137120121e-05 , 0.005521458033363435
2018-01-12 00:00:00 , -0.0066142721806546016 , 0.01016760484811594
2018-01-16 00:00:00 , 0.004193360070520935 , -0.005240891771469492
2018-01-17 00:00:00 , 0.02913635681105928 , 0.01635753069602894
2018-01-18 00:00:00 , 0.0026281064852070376 , 0.0007346255084948788
2018-01-19 00:00:00 , -0.04007121833280771 , -0.004621521634798365
2018-01-22 00:00:00 , 0.0012577876709181973 , -0.008339835168256116
2018-01-23 00:00:00 , 0.022288994318514586 , 6.725854183473544e-05
2018-01-24 00:00:00 , -0.005451963241436953 , -0.016087333864107458
2018-01-25 00:00:00 , 0.00044597444307190536 , -0.018009723156089754
2018-01-26 00:00:00 , 0.011142412042273042 , 0.002178947358656291
2018-01-29 00:00:00 , -0.0033856932279304978 , -0.020857231703829495
2018-01-30 00:00:00 , -0.019223478360169046 , -0.006052990696953553
2018-01-31 00:00:00 , 0.00033020762393696167 , 0.0025962557668853577
2018-02-01 00:00:00 , -0.008100086298009202 , 0.0019316956908786759
2018-02-02 00:00:00 , -0.020909961685823732 , -0.043548883931527914
2018-02-05 00:00:00 , -0.04103152145596969 , -0.02514315383474255
2018-02-06 00:00:00 , 0.018263875230373736 , 0.041633077624514715
2018-02-07 00:00:00 , -0.0097505931689015 , -0.021565833145910453
2018-02-08 00:00:00 , -0.040847712934160695 , -0.02767534041321176
2018-02-09 00:00:00 , 0.012850281291910104 , 0.007962442899600441
2018-02-12 00:00:00 , 0.012482564737932389 , 0.040120024396605204
2018-02-13 00:00:00 , -0.004451993038518865 , 0.009859092962159676
2018-02-14 00:00:00 , 0.026441601516228406 , 0.018278655748535353
2018-02-15 00:00:00 , 0.007918292327700449 , 0.033419569417060126
2018-02-16 00:00:00 , 0.0009309435801328808 , -0.0033959114986920284
2018-02-20 00:00:00 , -0.006689656013513146 , -0.0035224139724516993
2018-02-21 00:00:00 , -0.007892682208227387 , -0.0046975721721138845
2018-02-22 00:00:00 , -0.005224981133009199 , 0.008200421065914653
2018-02-23 00:00:00 , 0.015117415552198121 , 0.017232574189095826
2018-02-26 00:00:00 , 0.01951719576719588 , 0.01961334961334957
2018-02-27 00:00:00 , -0.01295984000864816 , -0.003399496767659072
2018-02-28 00:00:00 , -0.004757899753108941 , -0.0016722679130885215
2018-03-01 00:00:00 , -0.013121574283738191 , -0.017675011317499514
2018-03-02 00:00:00 , 0.004262308785421753 , 0.006755555555555492
2018-03-05 00:00:00 , 0.015764630576592473 , 0.0033030484009429536
2018-03-06 00:00:00 , -0.007995620888261801 , -0.0010070504844851508
2018-03-07 00:00:00 , 0.01653790482714199 , -0.00944157387865987
2018-03-08 00:00:00 , -0.013486168258780596 , 0.010753684855838807
2018-03-09 00:00:00 , 0.01968635018183704 , 0.017022235140241235
2018-03-12 00:00:00 , 0.005804486211867887 , 0.009509010701365428
2018-03-13 00:00:00 , -0.0060241987722331695 , -0.009788930466896573
2018-03-14 00:00:00 , -0.007690741205679608 , -0.008660147061547297
2018-03-15 00:00:00 , 0.00926449270997729 , 0.0010181360147734958
2018-03-16 00:00:00 , 0.003913696380960152 , -0.003685178521450583
2018-03-19 00:00:00 , -0.01831672341968107 , -0.015437912273099342
2018-03-20 00:00:00 , -0.007467277982053955 , -0.0005010005523411693
2018-03-21 00:00:00 , 0.0029782736824991215 , -0.022813375216936074
2018-03-22 00:00:00 , -0.029516059918127693 , -0.014288466831819524
2018-03-23 00:00:00 , -0.021198903740162336 , -0.023315378071078332
2018-03-26 00:00:00 , 0.029930597532854406 , 0.04731307777142644
2018-03-27 00:00:00 , -0.009678192895901794 , -0.02579975579975582
2018-03-28 00:00:00 , 0.0038568053557191725 , -0.011207797522399
2018-03-29 00:00:00 , 0.005807700473318 , 0.007650015636560736
2018-04-02 00:00:00 , -0.02205796759599801 , -0.0067149347123122375
2018-04-03 00:00:00 , -0.0016247127002108292 , 0.0101004491069284
2018-04-04 00:00:00 , 0.028336431669765048 , 0.018963545510846645
2018-04-05 00:00:00 , -0.0007426907089507445 , 0.006775597677642997
2018-04-06 00:00:00 , -0.02262188668667933 , -0.025737433862433903
2018-04-09 00:00:00 , 0.013921099820681437 , 0.009759312364134942
2018-04-10 00:00:00 , 0.01752415673628591 , 0.018659264548708785
2018-04-11 00:00:00 , -0.00035179277537202903 , -0.00483405483405488
2018-04-12 00:00:00 , 0.017284627204812473 , 0.00969977134904063
2018-04-13 00:00:00 , -0.008762513292784569 , 0.003229348398752307
2018-04-16 00:00:00 , 0.007371102015349162 , 0.006079465915212445
2018-04-17 00:00:00 , 0.018968510325150987 , 0.013605346738096191
2018-04-18 00:00:00 , -0.0754803385112254 , -0.0024028953292867476
2018-04-19 00:00:00 , -0.007484491298591767 , -0.028498811130390014
2018-04-20 00:00:00 , -0.019116076130294004 , -0.041130952380952455
2018-04-23 00:00:00 , 0.006466528640441815 , -0.0030551820052181714
2018-04-24 00:00:00 , -0.0022154969213793677 , -0.014077878064806227
2018-04-25 00:00:00 , 0.0024518771509703715 , 0.004198702024895784
2018-04-26 00:00:00 , 0.00518593203121096 , 0.0033243129210130725
2018-04-27 00:00:00 , -0.0017944989700715791 , -0.011728575488166327
2018-04-30 00:00:00 , -0.010535573413781885 , 0.01795364046719392
2018-05-01 00:00:00 , 0.00011720803111523403 , 0.023077382633234087
2018-05-02 00:00:00 , -0.01774493705528193 , 0.04401631419372407
2018-05-03 00:00:00 , -0.0033879333879332178 , 0.0016535822386193105
2018-05-04 00:00:00 , 0.013363348860918922 , 0.03907469174188614
2018-05-07 00:00:00 , -0.0049533934899788305 , 0.007076215171194144
2018-05-08 00:00:00 , -0.0016948284690220478 , 0.004647923546173693
2018-05-09 00:00:00 , -0.002886002886002737 , 0.006882387820307789
2018-05-10 00:00:00 , 0.011271043349439047 , 0.014145283504805128
2018-05-11 00:00:00 , -0.0008520191215699807 , -0.007788702796069602
2018-05-14 00:00:00 , 0.0009513017546874719 , -0.0024918337167130437
2018-05-15 00:00:00 , -0.0040395340395340765 , -0.009247223382222081
2018-05-16 00:00:00 , 0.006033004918492546 , 0.009174031051310738
2018-05-17 00:00:00 , -0.0010575754881915428 , -0.006482462755180407
2018-05-18 00:00:00 , -0.003065304553193782 , -0.0037952882634416877
2018-05-21 00:00:00 , 0.009627499713562892 , 0.006926235758289856
2018-05-22 00:00:00 , -0.002908060009579017 , -0.0026636600739889053
2018-05-23 00:00:00 , -0.0030534851383981158 , 0.006252896257170714
2018-05-24 00:00:00 , -0.004306100035000227 , -0.0012736165464982913
2018-05-25 00:00:00 , -0.0031433903933383526 , 0.0021266804179374873
2018-05-29 00:00:00 , -0.017006404901141605 , -0.0037646268603952707
2018-05-30 00:00:00 , 0.009754879811529093 , -0.0022875220693209467
2018-05-31 00:00:00 , -0.00934397766959818 , -0.003518730158730188
2018-06-01 00:00:00 , 0.0043703194485161575 , 0.017875197170429267
2018-06-04 00:00:00 , 0.00752002996807497 , 0.008199133592321139
2018-06-05 00:00:00 , 0.004455363801001288 , 0.007556434309809656
2018-06-06 00:00:00 , 0.006869801504457129 , 0.0033072053852146507
2018-06-07 00:00:00 , 0.004333011946169396 , -0.0028394188895270126
2018-06-08 00:00:00 , 0.005207257733399561 , -0.009256218011516349
2018-06-11 00:00:00 , 0.0028520813918378792 , -0.002610477680900192
2018-06-12 00:00:00 , 0.00181971164779191 , 0.005332040117900094
2018-06-13 00:00:00 , -0.0036992762198727828 , -0.00837591343312174
2018-06-14 00:00:00 , -0.008016605116024334 , 0.0003656536902473023
2018-06-15 00:00:00 , 0.001149809786173383 , -0.01043126684636122
2018-06-18 00:00:00 , -0.006417757602158148 , -0.0006882789831317521
2018-06-19 00:00:00 , -0.004173126614986944 , -0.016318526704242522
2018-06-20 00:00:00 , -0.008984303473532207 , 0.004203378732432572
2018-06-21 00:00:00 , -0.009834114019068108 , -0.005735137665432566
2018-06-22 00:00:00 , 5.3659221800871895e-05 , -0.0030704092269929987
2018-06-25 00:00:00 , -0.01778330547016851 , -0.01503002585416604
2018-06-26 00:00:00 , 0.0019307575565231433 , 0.012247264242104405
2018-06-27 00:00:00 , -0.011662900420450173 , -0.0016227002286754116
2018-06-28 00:00:00 , 0.018462160152587923 , 0.007117551335622618
2018-06-29 00:00:00 , -0.0025866079079446495 , -0.002261156034740886
2018-07-02 00:00:00 , 0.0009865812228019072 , 0.011023809952554897
2018-07-03 00:00:00 , -0.0022322322322323677 , -0.01757512079875592
2018-07-05 00:00:00 , 0.013167915968661159 , 0.007888246787768427
2018-07-06 00:00:00 , 0.007265437273921904 , 0.013703190013869637
2018-07-09 00:00:00 , 0.013246660071477656 , 0.013726464287192241
2018-07-10 00:00:00 , 0.0020574898011010753 , -0.0013655724296926192
2018-07-11 00:00:00 , 0.0014306555091573075 , -0.01313482682277003
2018-07-12 00:00:00 , 0.010259373884322054 , 0.016607290705651454
2018-07-13 00:00:00 , -0.003914278127320059 , 0.0014117038045216906
2018-07-16 00:00:00 , -0.0031744943808001084 , -0.0023538903531587167
2018-07-17 00:00:00 , -0.013701972287150333 , 0.0026698278005175876
2018-07-18 00:00:00 , 0.007019470412738293 , -0.005643190853428371
2018-07-19 00:00:00 , 0.03250110930985559 , 0.007614379084967293
2018-07-20 00:00:00 , -0.01952351171863378 , -0.0024518300128056007
2018-07-23 00:00:00 , -0.004600137743287736 , 0.0007292765274379048
2018-07-24 00:00:00 , 0.004508394069135368 , 0.007095588509397821
2018-07-25 00:00:00 , 0.0014808380882981081 , 0.009271321654741404
2018-07-26 00:00:00 , 0.00045510151498415695 , -0.003289825528815316
2018-07-27 00:00:00 , -0.010791952161320362 , -0.016790211544858626
2018-07-30 00:00:00 , 0.0021836742505017877 , -0.005761411067725786
2018-07-31 00:00:00 , -0.004007791949918538 , 0.0018422176586570854
2018-08-01 00:00:00 , -0.010025562422581702 , 0.058751354448973815
2018-08-02 00:00:00 , -0.003921796360820707 , 0.02907203907203901
2018-08-03 00:00:00 , 0.03299739742940631 , 0.0027343697978735367
2018-08-06 00:00:00 , -0.011465432934627118 , 0.005033827175756933
2018-08-07 00:00:00 , 0.006552219646104395 , -0.009533580687261201
2018-08-08 00:00:00 , -0.000975001160702838 , 0.0005172391329505194
2018-08-09 00:00:00 , -0.014591298747469917 , 0.007706167308097233
2018-08-10 00:00:00 , -0.002161907612622716 , -0.006621771139197397
2018-08-13 00:00:00 , -0.01240956072351409 , 0.006298167639178542
2018-08-14 00:00:00 , 0.004395961173341822 , 0.004054416774769231
2018-08-15 00:00:00 , 0.003677765376984032 , 0.0021773842632007764
2018-08-16 00:00:00 , 0.009778035875596868 , 0.014491193737769059
2018-08-17 00:00:00 , 0.004795171038462697 , 0.01981126796615271
2018-08-20 00:00:00 , 0.0029221954882642006 , -0.00990227276374902
2018-08-21 00:00:00 , -0.003844485397280351 , -0.002108047897521637
2018-08-22 00:00:00 , -0.005159757767142748 , -0.00011222718253969311
2018-08-23 00:00:00 , 0.0007363400698568773 , 0.0018873056468965194
2018-08-24 00:00:00 , 0.004450198781216086 , 0.0029504628432651444
2018-08-27 00:00:00 , 0.00429210522883503 , 0.008075910847931666
2018-08-28 00:00:00 , -0.0008404398867279067 , 0.007916886983602467
2018-08-29 00:00:00 , 0.006321930186450197 , 0.014770719090245832
2018-08-30 00:00:00 , -0.011071025129585377 , 0.009034919495947457
2018-08-31 00:00:00 , 0.0036102001503220734 , 0.011395284861489418
2018-09-04 00:00:00 , -0.005620226608757295 , 0.0030482285022549235
2018-09-05 00:00:00 , 0.006568342878062827 , -0.006683515585249733
2018-09-06 00:00:00 , -0.001999722931128956 , -0.01677617627324515
2018-09-07 00:00:00 , -0.006579933792858173 , -0.008226861041742218
2018-09-10 00:00:00 , 0.0012163128113627847 , -0.013579426046665089
2018-09-11 00:00:00 , 0.005608520098736447 , 0.025124098586746777
2018-09-12 00:00:00 , 0.00038738220388831956 , -0.012577760759578971
2018-09-13 00:00:00 , 0.016079244870266105 , 0.023996514786309795
2018-09-14 00:00:00 , -0.004321200786457391 , -0.011509818891559909
2018-09-17 00:00:00 , -0.0027880027266531607 , -0.026784891702690185
2018-09-18 00:00:00 , 0.0040321580391878605 , 0.001493555503102017
2018-09-19 00:00:00 , 0.0032069133523092482 , 0.00043694432807326266
2018-09-20 00:00:00 , 0.013862469358242846 , 0.0074430466421123494
2018-09-21 00:00:00 , 0.0011644587264830525 , -0.010929988623484954
2018-09-24 00:00:00 , -0.008880236600751901 , 0.014221495881883683
2018-09-25 00:00:00 , -0.0076239037906704835 , 0.006182136728357079
2018-09-26 00:00:00 , 0.017973027278648333 , -0.008124885251218595
2018-09-27 00:00:00 , -0.0008842759670542272 , 0.020392943918032456
2018-09-28 00:00:00 , -0.0020729215778720004 , 0.0033531613727214356
2018-10-01 00:00:00 , 0.011679111253874863 , 0.006574679959104523
2018-10-02 00:00:00 , 0.0047432306255835496 , 0.008729767597144144
2018-10-03 00:00:00 , -0.003605884630274914 , 0.012009797405819622
2018-10-04 00:00:00 , -0.012624465702392862 , -0.017739632472687086
2018-10-05 00:00:00 , -0.015227132775873753 , -0.016387512122851413
2018-10-08 00:00:00 , -0.004453167520335333 , -0.002477157195156088
2018-10-09 00:00:00 , -0.007908578531261834 , 0.013694780142025164
2018-10-10 00:00:00 , -0.03106065898241941 , -0.04648481998991096
2018-10-11 00:00:00 , -0.025878822666964754 , -0.008986609618889219
2018-10-12 00:00:00 , 0.013004843427804147 , 0.03556055172515902
2018-10-15 00:00:00 , 0.0018292002637051213 , -0.021544529987643803
2018-10-16 00:00:00 , 0.028113075977456468 , 0.021878443194232575
2018-10-17 00:00:00 , -0.07644042806391207 , -0.004480134615178511
2018-10-18 00:00:00 , -0.026268390733142712 , -0.023532300392465812
2018-10-19 00:00:00 , -0.011265585769607367 , 0.015071341130965176
2018-10-22 00:00:00 , 0.006967528555445001 , 0.005951342341383814
2018-10-23 00:00:00 , 0.00899370792771812 , 0.009267963700322656
2018-10-24 00:00:00 , -0.030644211448266147 , -0.03446035095521018
2018-10-25 00:00:00 , -0.006133103242607097 , 0.021739080060248026
2018-10-26 00:00:00 , -0.013286448624526903 , -0.01608229703771105
2018-10-29 00:00:00 , -0.04142806263729417 , -0.018928956695946988
2018-10-30 00:00:00 , -0.035598382448934006 , 0.004835615864639519
2018-10-31 00:00:00 , 0.00010123517922475621 , 0.025907842743285812
2018-11-01 00:00:00 , 0.011969832606582109 , 0.015193549837614428
2018-11-02 00:00:00 , -0.010087686762342197 , -0.06648939346536323
2018-11-05 00:00:00 , 0.03779406659064297 , -0.028547008547008448
2018-11-06 00:00:00 , 0.025328526213083877 , 0.010655298314904504
2018-11-07 00:00:00 , 0.0138113803026084 , 0.030169581172672853
2018-11-08 00:00:00 , -0.011853699719768374 , -0.007112766834129003
2018-11-09 00:00:00 , 0.001138076454983627 , -0.019440230470495725
2018-11-12 00:00:00 , -0.021528327050425202 , -0.050532868174086996
2018-11-13 00:00:00 , -0.00065500807436294 , -0.010149974944227447
2018-11-14 00:00:00 , -0.005454989675446465 , -0.02840614211315964
2018-11-15 00:00:00 , 0.010157409608324652 , 0.02452007069780091
2018-11-16 00:00:00 , 0.0009117573248008431 , 0.010916971215283766
2018-11-19 00:00:00 , -0.01052312927035306 , -0.03979082854140983
2018-11-20 00:00:00 , -0.02600861794860634 , -0.04793662750081575
2018-11-21 00:00:00 , 0.011530689636491597 , -0.0012888013532153192
2018-11-23 00:00:00 , -0.011797424600831797 , -0.025557530928048047
2018-11-26 00:00:00 , 0.020064838405140593 , 0.013364979865067106
2018-11-27 00:00:00 , 0.003772350470242802 , -0.002334884092987344
2018-11-28 00:00:00 , 0.02458508388775824 , 0.03829397874852423
2018-11-29 00:00:00 , -0.012516453735965905 , -0.0078408347237793
2018-11-30 00:00:00 , 0.02280801333814173 , -0.005561125034809234
2018-12-03 00:00:00 , 0.008210144066746672 , 0.034783592609776905
2018-12-04 00:00:00 , -0.02976530585101336 , -0.044147475965461
2018-12-06 00:00:00 , 0.018837980367585636 , -0.011308200983338202
2018-12-07 00:00:00 , -0.03704033777716289 , -0.03581578144078137
2018-12-10 00:00:00 , 0.014840431899255302 , 0.006429197908217254
2018-12-11 00:00:00 , -0.0021400725181786266 , -0.005878069781371642
2018-12-12 00:00:00 , 0.0020747051957242576 , 0.0026284370119987518
2018-12-13 00:00:00 , -0.0037077562399450373 , 0.010781541869655386
2018-12-14 00:00:00 , -0.007033574853503555 , -0.03215639029327246
2018-12-17 00:00:00 , -0.0318518077233674 , -0.009464990734026202
2018-12-18 00:00:00 , 0.004578565276239876 , 0.012833828094289101
2018-12-19 00:00:00 , -0.0020447138706889637 , -0.03135039632360039
2018-12-20 00:00:00 , -0.029446714355243177 , -0.025393362516241382
2018-12-21 00:00:00 , -0.01856255249106067 , -0.03905434961929268
2018-12-24 00:00:00 , -0.030535510400302248 , -0.02603280963859469
2018-12-26 00:00:00 , 0.03535302962559648 , 0.0702628458134825
2018-12-27 00:00:00 , 0.02129741491712953 , -0.006648518286235272
2018-12-28 00:00:00 , -0.006750398290211979 , 0.00035359773111918124
2018-12-31 00:00:00 , 0.005503483412888066 , 0.00950650699162523

Thanks for taking care.