Hi, thanks for your excellent library.
I tried to verify the result using 15 days of data with SPY, GLD, TLT.
For the given weights resulting from the calculation of Olmar, I did the manual calculation as in sheet 1.
The final equity is in the total column. I notice starting from k8, the values are different from the equity value from the Olmar result as shown in sheet 2.
In sheet 1, if I start to use the next row's weight (ie. row 7 use row 8's weight), then the result would match. But that would result in the last row without any future weight because there is no more row to shift up. Can you help me to understand how to use the weight output to adjust the portfolio? Is there something I am doing wrong or is the algorithm is looking at future data?
Hi, thanks for your excellent library.
I tried to verify the result using 15 days of data with SPY, GLD, TLT.
For the given weights resulting from the calculation of Olmar, I did the manual calculation as in sheet 1.
https://docs.google.com/spreadsheets/d/19svAxgDhEdOvGfWfQhcfH-V-7Kp94tTU/edit?usp=sharing&ouid=113915791728325835951&rtpof=true&sd=true
The final equity is in the total column. I notice starting from k8, the values are different from the equity value from the Olmar result as shown in sheet 2.
In sheet 1, if I start to use the next row's weight (ie. row 7 use row 8's weight), then the result would match. But that would result in the last row without any future weight because there is no more row to shift up. Can you help me to understand how to use the weight output to adjust the portfolio? Is there something I am doing wrong or is the algorithm is looking at future data?
Thank you so much!