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As described by this [paper](http://www.ledoit.net/jef_2008pdf.pdf). We can do a Hypothesis test on the difference of sharpe ratio between two return series using the bootstrap method. however, It'…
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When I do the following, I can get the target weights.
```
mu = returns_series
S = risk_models.sample_cov(df)
ef = EfficientFrontier(mu, S)
raw_weights = ef.max_sharpe(risk_free_rate=0.0004)
…
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Hi,
When I run a script after trained, all of Sharpe Ratio = 0
and predict all value = nan
Please advice me.
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Hi sorry for so many questions this is a learning process for me.
What is the relationship between mean-variance based `Allocator` layer and loss function?
From my limited understanding, there a…
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Not sure if the framework is supposed to prevent this but it looks like there is some sort of infinite leverage but with `TurtleRules`.
```text
CANDLES |
----------------------+---…
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There are two simple examples in attached notebook, please take a look:
1. SPY, TLT, GLD for 10 years — seems like a network doesn't learn. It's little bit better than random.
2. Set of 13 tickers —…
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xalpha的计算公式源码是:
@staticmethod
def ratedaily(price, date=yesterdayobj()):
partp = price[price["date"]
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Hello,
First of all, you are doing an amazing project. Congrats.
My question:
When I run `portfolio.stats()` my output shows:
```
Start 0
End …
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Before explaining my issue I would like to thank the brilliant mind and kind person who made this tool, well done !
I am trying to run a large file with more then 1500 symbols and 9 years of data. …
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how to set up with multiprocess? it's too late for a single CPU kernel
wac81 updated
3 years ago