second run dow30 daily

cvxgrp · Dec 27, 2023 · 1b5397a · 1b5397a
1 parent 08bff9a
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diff --git a/examples/strategies/dow30_daily.py b/examples/strategies/dow30_daily.py
@@ -25,6 +25,13 @@
 itself, and an index ETF which tracks the Dow Jones.
 
 We will see how it performs online.
+
+You run it from the root of the repository in the development environment by:
+
+.. code:: bash
+
+    python -m examples.strategies.dow30daily
+
 """
 
 import cvxportfolio as cvx
@@ -62,15 +69,15 @@ def hyperparameter_optimize():
         }
 
 def execute_strategy(current_holdings, market_data, gamma_risk, gamma_trade):
-    """_summary_
+    """Execute this strategy.
 
-    :param current_holdings: _description_
+    :param current_holdings: Current holdings in dollars.
     :type current_holdings: pandas.Series
-    :param market_data: _description_
+    :param market_data: Market data server.
     :type market_data: cvxportfolio.data.MarketData
-    :param gamma_risk: _description_
+    :param gamma_risk: Risk aversion multiplier
     :type gamma_risk: float
-    :param gamma_trade: _description_
+    :param gamma_trade: Transaction cost aversion multiplier.
     :type gamma_trade: float
 
     :return: Output of the execute method of a Cvxportfolio policy.

diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json
@@ -31,5 +31,38 @@
         "VZ": 0.0,
         "WBA": 0.0,
         "WMT": 0.0
+    },
+    "2023-12-27 14:30:00+00:00": {
+        "AAPL": 246579.69703674305,
+        "AMGN": 29872.49999999998,
+        "AXP": 0.0,
+        "BA": 0.0,
+        "CAT": 0.0,
+        "CRM": 77388.54071044918,
+        "CSCO": 48005.3805847168,
+        "CVX": 0.0,
+        "DIS": 0.0,
+        "DOW": 0.0,
+        "GS": 0.0,
+        "HD": 109171.92114257811,
+        "HON": 0.0,
+        "IBM": 0.0,
+        "INTC": 0.0,
+        "JNJ": 0.0,
+        "JPM": 0.0,
+        "KO": 0.0,
+        "MCD": 2329.760009765625,
+        "MMM": 0.0,
+        "MRK": 0.0,
+        "MSFT": 287625.0,
+        "NKE": 3465.60009765625,
+        "PG": 0.0,
+        "TRV": 0.0,
+        "UNH": 100336.84094238281,
+        "USDOLLAR": -62.670703622057644,
+        "V": 77558.99963378906,
+        "VZ": 0.0,
+        "WBA": 0.0,
+        "WMT": 16761.549346923828
     }
 }
diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json
@@ -31,5 +31,38 @@
         "VZ": 5.397329043378718e-10,
         "WBA": 1.0853776483959217e-09,
         "WMT": 0.016696481121971495
+    },
+    "2023-12-27 14:30:00+00:00": {
+        "AAPL": 0.24589078777885695,
+        "AMGN": 0.0299014082321686,
+        "AXP": 5.499284657873057e-10,
+        "BA": 1.2890275184764871e-09,
+        "CAT": 4.955832115024613e-10,
+        "CRM": 0.08252239762708234,
+        "CSCO": 0.048051850130132155,
+        "CVX": 5.38934815608656e-10,
+        "DIS": 8.080166328161634e-10,
+        "DOW": 1.048542837181586e-09,
+        "GS": 5.206068454752672e-10,
+        "HD": 0.11114191311572022,
+        "HON": 3.8044934528264073e-10,
+        "IBM": 2.935982923134919e-10,
+        "INTC": 9.450614762250101e-10,
+        "JNJ": 7.439909165865663e-10,
+        "JPM": 1.1381789182932963e-09,
+        "KO": 5.426247696360391e-10,
+        "MCD": 3.0376189662575936e-09,
+        "MMM": 3.495765521810727e-10,
+        "MRK": 5.904313178512819e-10,
+        "MSFT": 0.28790334541736873,
+        "NKE": 0.0031106705871322706,
+        "PG": 4.388155901786739e-10,
+        "TRV": 3.942059392166395e-10,
+        "UNH": 0.10043395088713987,
+        "USDOLLAR": 4.205589951701387e-09,
+        "V": 0.07691135411449629,
+        "VZ": 3.760828029968684e-10,
+        "WBA": 6.436843790614438e-10,
+        "WMT": 0.01413230277935307
     }
 }