Code

Improved forecasters logic#126

Code

Merged

enzbus merged 56 commits intomastercvxgrp/cvxportfolio:masterfrom improved_forecasters_logiccvxgrp/cvxportfolio:improved_forecasters_logicCopy head branch name to clipboardFeb 7, 2024

+2,305-952

Commits

Commits on Jan 9, 2024

• started implementing (exponential) moving average logic in forecast.py

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• minor

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• Merge branch 'master' into improved_forecasters_logic

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Commits on Jan 13, 2024

• ewm first cut

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Commits on Jan 15, 2024

• [auto commit] dow30_daily reconciliation & execution

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• [auto commit] sp500_daily reconciliation & execution

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• Revert "[auto commit] sp500_daily reconciliation & execution"

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  enzbus

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  da3529e

• Revert "[auto commit] dow30_daily reconciliation & execution"

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  enzbus

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• Merge branch 'master' into improved_forecasters_logic

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Commits on Jan 16, 2024

• tests

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Commits on Jan 17, 2024

• fixing EMA recursion

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• basic EMA / MA tests working

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Commits on Jan 20, 2024

• Merge branch 'master' into improved_forecasters_logic

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Commits on Jan 25, 2024

• Merge branch 'master' into improved_forecasters_logic

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• robust testing of forecast with MW, EWM, and MW + EWM

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• minor

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• adapting covariance forecaster to new base

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Commits on Jan 26, 2024

• more refactoring of mean/cov forecasters

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• plugged HistoricalCovariance in new base class

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• minor

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• refactored to manage MW-EWM of non-kelly part

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• fixed tests

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• more testing cov with MW/EMW

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• started docs cleanup for forecast.py

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• docstrings and documentation

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• added meanvolume

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Commits on Jan 27, 2024

• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/base_constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/base_constraints.py

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  567af84

• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/base_constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/base_constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/constraints.py

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• Split history cvxportfolio/constraints.py to cvxportfolio/constraints/constraints.py

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• refactoring for circular import

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• refactoring for circular import

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• cvx.MarketNeutral

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• making SimulatorCost an estimator to plug forecasters in TransactionCost

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• cvx.MarketNeutral

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Commits on Jan 28, 2024

• SimulatorCost now evaluates recursively

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Commits on Jan 29, 2024

• minor adjustments MarketSimulator

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• MarketBenchmark adapted to use MeanVolumeForecast; very slight difference (before 1yr was wrt day before, now wrt current day); current one makes more sense; tested with examples.strategies and acc…

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• costs.py docstrings

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• costs.py docstrings

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• costs.py docstrings

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• simulator was passing unnecessary params to costs

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Commits on Jan 31, 2024

• passes all tests; big cleanup required

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Commits on Feb 5, 2024

• Simulator cost now uses same cvxpy compiled for opt and sim; passes all tests & cleanup required

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• cleanup pass

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• docstrings

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Commits on Feb 6, 2024

• supporting hyperparameters for rolling and half_life

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Commits on Feb 7, 2024

• cleaning

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• docstrings

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• docstrings, coverage of new code

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• minor clean docstrings

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• some updates in TODOs

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