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hudson-and-thames / portfoliolab

PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professionals in the industry.
https://hudson-and-thames-portfoliolab.readthedocs-hosted.com/en/latest/
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DLASCL Parameter Error #3

Open peoples-hedge-fund opened 3 years ago

peoples-hedge-fund commented 3 years ago 
ValueError                                Traceback (most recent call last)
<ipython-input-21-c0ce94737fd8> in <module>()
     20 # Compute Confidence Weighted Mean Reversion - Var with given user weights, epsilon of 1, and confidence of 1.
     21 cwmr_var = CWMR(confidence=1, epsilon=1, method='var')
---> 22 cwmr_var.allocate(asset_prices=us_equity)
     23 
     24 # Compute Online Moving Average Reversion - 1 with no given weights, epsilon of 10, and window of 7.

4 frames
<__array_function__ internals> in pinv(*args, **kwargs)

<__array_function__ internals> in svd(*args, **kwargs)

/usr/local/lib/python3.7/dist-packages/numpy/linalg/linalg.py in svd(a, full_matrices, compute_uv, hermitian)
   1659         The matrix whose condition number is sought.
   1660     p : {None, 1, -1, 2, -2, inf, -inf, 'fro'}, optional
-> 1661         Order of the norm:
   1662 
   1663         =====  ============================

ValueError: On entry to DLASCL parameter number 4 had an illegal value
PanPip commented 3 years ago

Hi @peoples-hedge-fund!

Thank you for reporting this issue.

May you please also provide a code snippet and a dataset used to recreate this output?