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Marigold / universal-portfolios

Collection of algorithms for online portfolio selection
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Id like to see W-KACM added #56

Open ghost opened 3 years ago

ghost commented 3 years ago

Any plans on adding... It's a variation on Anticor...

paper can be found https://doi.org/10.1016/j.physa.2019.04.185

Marigold commented 3 years ago

Hi devchild, no plans due to lack of time. Still, the paper shows that it performs worse than others in terms of sharpe ratio, so I don't see much point in adding it.

ghost commented 3 years ago

I guess it depends on the dataset, there's no real comparison in the paper. The algorithm seems very interesting as it exploits both reversal and momentum...Anticor only exploits reversal. I hope someone else finds the time to add it to this library...