deepdow
deepdow copied to clipboard
Custom portfolio benchmark
It would be nice to have a benchmark that is just some predefined portfolio. One would construct it by passing all the weights.
Hi,
Generating synthetic data is harder.
In this case:
-
Could you please upload the daily returns or give me 100 stocks that I can download from yahoo finance or can I pick 100 random stocks from
sp500_mean.csv
? -
The issue has the content
benchmark that is just some predefined portfolio
? Can I upload a benchmark example that will generate weights "from the optional rebalance count"?
Hey there!
I think what I meant here was that it would be nice to create a new Benchmark
subclass (see deepdow/benchmarks.py
) that would accept a fixed w
of shape (n_assets, )
representing predefined weights. The __call__
method would just return it independently of x
.
The actual choice of w
would be completely up to the user. I hope that makes sense:)
What I wish to do it is not related to that. Thanks for the clarification.
Hey @jankrepl, have you been able to get more into to this type of predefined portfolio benchmark?