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Before
- Website to advertise link can be created legally
- Once I have my series licenses, I should be able to sell rather than show site and fund
- Organize all strats into separate…
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Hi,
Please consider the following snippet:
```python
import datetime as dt
import pandas as pd
import quantstats as qs
returns = [0.5, -0.4, 0.5, -0.4] # i.e., +50%, -40%, +50%, -40%
yea…
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**What are you trying to do?**
I am trying to find the Optimal Max Sharpe Portfolio by using **"max_sharpe"** method. For diversification purposes I would like to include **L2 Regularisation**.
…
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**What are you trying to do?**
I'm trying to reproduce the results of optimizing two ETFs (VOO, VGLT) from portfoliovisualizer.com
https://www.portfoliovisualizer.com/optimize-portfolio?s=y&sl=3buj…
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I have been running this portfolio optimization function and getting the following warning, `pypfopt\efficient_frontier\efficient_frontier.py:257: UserWarning: max_sharpe transforms the optimization p…
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I run your script and were able to reproduce annualized returns (7.1% ), but the Sharpe Ratio was very low (0.3) with random forest 15-15 (EW) strategy. This is quite different to the Sharpe ratio of …
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**Annualised Sharpe Ratio:**
```
def calc_sharpe(rets, periods_per_year = 12):
sharpe = ((1+rets.mean())**12-1)/ ( rets.std() * np.sqrt(periods_per_year) )
return sharpe
```
**Annualis…
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got through some other issues so far but getting error here. any ideas how to fix?
Traceback (most recent call last):
File "C:\code\main.py", line 71, in
generate_optimum_portfolio()
Fil…
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Compounded Annual Growth Rate
Calmar Ratio
Downside Deviation
Jensen's Alpha
Log Max Drawdown
Max Drawdown
Pure Profit Score
Sharpe Ratio
Sortino Ratio
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Just because a strategy results in higher returns, does not mean it is _better_!
What is the Sharpe Ratio of your strategy?
What is the Calmar ratio?
It may be that you are just effectively tak…