pysystemtrade
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Published
20 hours ago •
robcarver17
robcarver17
Systematic Trading in python
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32
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Provides a better method to import split frequency CSV price files. The previous method was not correctly handling cases where there were some Hour only files, or Day only files...
In the function `estimate_SR_given_weights()` for static optimisation of the best set of instruments, there are 3 variables `wt, mu, cm` used to calculate the portfolio SR with `neg_SR()`. The formula...
