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The Sortino Ratio is annualized in stats.py as follows:
`return sortino * ann_factor`
where `ann_factor` is
`ann_factor = annualization_factor(period, annualization)`
I believe you actually me…
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Implementation of the following recent strategy ("Transaction cost optimization for online portfolio selection") is missing from the framework, I would be glad if someone can implement this as well:
…
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I have a few doubts about the messages japonicus prints. I do not know if I understand them correctly.
**EXAMPLE RESULTS**
```
Remember to check MAX and MIN values for each parameter.
results m…
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Would it be possible to add in a small function to change the max fitness to be
max profit * sharpe ratio * number of trades ?
This I think should give a better estimation of good vs bad genome…
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---------------------------------------------------------------------------
TypeError Traceback (most recent call last)
pandas/index.pyx in pandas.index.DatetimeEngin…
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Great bit of software, thanks developer!
Two things: Can a requirement for python>=3.6 be added to the readme?
Also, what is supposed to be done with the output after 400 epochs?
I ran with the -i…
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Hi !
I'm new to this amazing projet, and I'm trying quite hard to make it work and understand its ways, but I'm facing a problem right now : it fails after 1m30 or so.
The main problem seems to …
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Results from gekko interface are not the same as Gekko-BacktestTool
I did one test with the following parameters:
- From 01/01/2018 00:00 to 22/05/2018 23:59
- Only 1 indicator -> RSI (with def…
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https://github.com/quantopian/alphalens/blob/738b1a9f538b8cc575c9d431e44890540c52a145/alphalens/plotting.py#L173-L174
Not sure what this calculation is trying to do. I am assuming that IR stands fo…
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hey i got this in the newest version. can't seem to solve it myself
> `File "/home/david/gekko/japonicus/web.py", line 43, in update_graph
> statisticNames = { k: sNa.get(k,0) + sNb.get(k,0) f…