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the proper behavior should be something like, only start the rolling Fama-French factors from the time which the backtest returns indexes AND the Fama-French indexes intersect
![image](https://cloud.…
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I was trying to run this example Fama-French Benchmark.ipynb, but found there's no such a function portfolio_returns_metric_weighted in timeseries.py. Maybe I'm missing something, but could anyone cla…
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Everything works up to the command
`pf.create_full_tear_sheet(returns, positions=positions, transactions=transactions,
live_start_date='2009-10-22', round_trips=True)`
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hkopp updated
6 years ago
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Hello,
wondering if your backtester supports loading data from a csv file.. if i wanted to load my own dataset, what would the format be for the file and how would i set it to be a csv??
thanks!
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I'm having issues when running this particular part of a bayesian tear sheet. In particular, pyfolio is complaining that pymc3 can't find a MAP assignment since logp has a negative value. I'm quite co…
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maybe easily via a boolean, or some kwargs?
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AQR seem to be right.
HML does not have an alpha, but a large shar eof the variance is unexplaiend by all theh other factors. It provides diversifciation.
- The weight of HML seems to be carved…
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https://pandas-datareader.readthedocs.org/en/latest/remote_data.html
- Yahoo Finance
- Fama / French
- EDGAR
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related #5884
- [ ] OLS https://github.com/statsmodels/statsmodels/blob/master/statsmodels/regression/linear_model.py
- [ ] plm (regression for panels)
- [ ] fama_macbeth
- [ ] VAR https://github.com/…
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ME_breakpoints.zip is not read because it is a different format.
ME breakpoints includes the breakpoints between the deciles of market cap. For example, what is the 5%, 10%, etc.
http://mba.tuck.…