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If possible please consider adding Sharpe Ratio as a mainObjective.
`// profit || score || sharpeRatio`
`mainObjective: 'sharpeRatio',`
Thanks
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The resulting problems are as follows
/home/xie/Tacrypto/DCmaster/env/EnvMultipleStock_validation.py:162: RuntimeWarning: invalid value encountered in greater
buy_index = argsort_actions[::-1][:…
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Adding images into Readme
![Daily_Return_Of_4_Funds](https://user-images.githubusercontent.com/94591580/147888108-02e1d243-c681-4d3d-b7ad-dd81160dee74.png)
![Daily_Return_Of_4_Funds_and_SP500](https…
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SAC model on testing set is allocating same weights to a given TIC on consecutive days for nearly 7 years. The model is behaving like an extreme Buy and Hold. I have tried using Optuna to fine tune et…
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**Describe the bug**
Baseline numbers don't quite match paper numbers. They're close, but not sure why they aren't exact... am I doing anything wrong?
**To Reproduce**
Steps to reproduce the beha…
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## How can I build my confidence that my strategy returns better?
for example, I have to return sequence. R1 is from my strategy, R2 is from benchmark
R1: [r_11, r_12, r_13, r_14 .... r_1n]
R2:[r_…
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Hello,
in table.DownsideRiskRatio function:
freq is not defined if scale is not NA.
y = checkData(R)
columns = ncol(y)
columnnames = colnames(y)
if (is.na(scale)) {
**freq** = peri…
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@tradytics
Firstly, thank you for putting this together. I've been working on portfolio optimization through backtesting and this is definitely a simple and great setup. As I was testing your code…
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GINI_MEAN_DIFFERENCE Risk Measure for MeanRisk model not working. I have tried with SCIP and CLARABEL solvers. Looks like I am missing something. Appreciate any help. Thanks!
```
model = MeanRisk(
…
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First of all, thanks for developing this excellent library!
My strategy will enter short/long position right after closing long/short position, while short/long signal happens. And each postion wil…