Create testing notebook

pat42w / EF_Portfolio_Optimization

This project aims to test Portfolio Optimization methods on stock data in python.

MIT License

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Create testing notebook #5

Closed pat42w closed 3 years ago

pat42w commented 3 years ago

Testing notebook that will take a pipeline or function, index & date range and test how the optimal portfolio performs vs actual

pat42w commented 3 years ago

Testing function and while loop is ready , in Pat_testing_nb

pat42w commented 3 years ago

@eohara-ie I've made the testing function and have it working with some while & for loops its not efficient yet , if you see any good ways to speed it up? have a look and see what you think of the output you can run it for a subset of the data its quite quick to run just a few years for 1 or 2 starting assets. I just put in some simple graphs add any you find good :)

pat42w commented 3 years ago

Once we have the portfolio data creation part ready prior to V0.1 release I'll split off the portfolio creation into its own notebook similar to the database maintenance one. We can then have our analysis code in a new notebook for looking at the historica methods performance data

pat42w commented 3 years ago

Historic_portfolio_nb.ipynb created to generate historic data for us to analyze in a separate notebook Ive left a space in cell 3 for @eohara-ie to add currency conversion

i have to make 2 further updates prior to V0.1 release:

Add functionality to use objectives other than max sharpe ratio
Rework actual returns to include the max & minimum returns achieved by the portfolio during the year which will be useful for analysis

pat42w commented 3 years ago

Duplicate of #10