Comments (6)
Could there be a simple minimal manual data test like this included in the examples and some insight into the failure?
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Please refrain from posting unless you found a bug in Cvxportfolio.Thanks.
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I believe this is a bug though? It's the simplest possible test I could come up with.
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This should fix your "dummy" code
returns = returns.astype(float)
volume = volume.astype(float)
prices = prices.astype(float)
But what's the point? The default examples use Yahoo Finance (which vendors ICE data) and they all work. I'm happy to review PRs of data interfaces to other data vendors, so that the user gets the same experience. The only reason I'm not doing it myself is that I don't think it's needed. And, for user-provided data, the old examples (e.g., the one on data provision , should get you started.
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Apologies, I wrongly assumed it was a more subtle issue.
Thanks.
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Amend DataEstimator
and UserProvidedMarketData
, if dtypes not numeric coerce to float, if failure throw ValueError
. Otherwise exception is thrown deep in the data checks and failure is difficult to understand.
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Related Issues (20)
- 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 HOT 1
- How are returns computed? HOT 1
- New Cvxportfolio versions will have the General Public License
- Optimization `BacktestResult` with `AllCash` benchmark confusing
- Idea: `UnwindingCostLimit`
- Feature request: Full UserProvidedMarketData Example HOT 4
- Improve exception traceback reporting
- Improve `UserProvidedMarketData` input validation
- backtest() works, but backtest_many() gives MemoryError HOT 11
- DollarNeutral portfolios are not fully invested HOT 7
- Add `MaxImbalance`, `MinImbalance`, `TargetImbalance` constraints HOT 1
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