Comments (3)
enzbus
commented on July 4, 2024
1
Hello, this has been added with commit 7827bc6 , I'll make a release probably today. I also clarified the various combination of arguments in the docstring.
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enzbus
commented on July 4, 2024
Hi, you are right thanks for your comment. It's just a matter of simplification, you can always take a square root decomposition (like np.linalg.cholesky) of the factor Sigma and matrix multiply it by F to fit in this new framework (that would be done internally if I implement the change you suggest). I can add it as an optional argument to the constructor, maybe it's easier.
It's also a bit more difficult (not a one liner change) because of the new implementation with cvxpy parameters, it restricts the allowed syntax. Let me think about it, I'll make a fix.
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wec7
commented on July 4, 2024
Thank you very much
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Related Issues (20)
- Questions on accounting model (e.g., for short positions) HOT 3
- Robustify online execution of example strategies (when open prices are missing) HOT 1
- Failure on non-numeric (object dtpye) user-provided data difficult to understand HOT 6
- Example request - Margin in a different currency HOT 14
- BUG: packaging failed to include modules moved into submodules (constraints, data)
- Feature request: handle user-defined time-varying universes (and better error checks with temporary `nan`s in user-provided returns) HOT 13
- Data quality issues in `ftse100_daily` example strategy
- EOFError: Ran out of input HOT 4
- Rendering of code blocks in README on github is broken
- Feature request: add `market_data=None` option to `Policy.execute`
- Feature request: Add constraint priority with automatic resolution into soft-constraints HOT 1
- Is it possible to have different costs definition depending on entry or exit HOT 1
- can we load into our custom crypto data into cvxportfolio for backtesting and portfolio construction ? [bounty possible] HOT 1
- Feature Request: Online Data Loading HOT 1
- Ecos needs to added in pyproject "test" optional dependencies HOT 1
- Issue loading data from FRED HOT 9
- Testsuite failing on py 3.9 b/c of dependencies HOT 1
- The result of backtesting 30 years is different from 5 years? HOT 5
- Feature Request: Ignore Tcosts in first period HOT 2
- Incompatible with Numpy 2.0
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