Comments (9)
commented on May 28, 2024
it looks like there are NaN values in the return forecast, could you inspect it? it could be an issue with the data source...
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andrewcz
commented on May 28, 2024
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andrewcz
commented on May 28, 2024
not sure whats going on.
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andrewcz
commented on May 28, 2024
so interesting, r_hat.all() seems to have worked?
I'm not sure why and to be honest I am not sure if this is mathematically correct.
How would could I find out?
Best,
Andrew
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commented on May 28, 2024
sorry but i can reproduce your error and i don't have enough information for understanding what's wrong. can you isolate the error in a (short) python script and post it here?
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andrewcz
commented on May 28, 2024
Hi Enzo,
Champion!
Its probably my mistake.
Will try it again tonight with updated packages.
Many thanks
Best,
Andrew
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andrewcz
commented on May 28, 2024
Hi Enzo!
So i have updated pandas and everything looks like its working.
however, on the real-time optimization example, I get the following error -
Best,
Andrew
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andrewcz
commented on May 28, 2024
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commented on May 28, 2024
(1) take away the .shift(…) method, it’s not important (and maybe got broken by a pandas update)
(2) AlphaSource was the old name of ReturnForecast, please double check (it’s possible that the solutiontime example hasn’t been updated in a long time)
good luck!
… On 22 Aug 2018, at 04:29, andrewcz ***@***.***> wrote:
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Related Issues (20)
- Make `MarketSimulator`, `TransactionCost`, `HoldingCost` agnostic to asset class and subclass them to specialize them
- Query: How do I use ESG scores of a company to optimize a portfolio? HOT 3
- FactorModelSigma -> FactorModelCovariance HOT 3
- Error while calculating returns from 2010. HOT 3
- pip install complains of scipy<1.11.0 HOT 4
- User provided returns forecast (`r_hat`) can be problematic HOT 1
- Interest rate on short sell cash proceeds
- Error from sp500_ndx100 example HOT 1
- Issue When Running examples/sp500_ndx100.py HOT 5
- poetry for dependency management HOT 6
- Best practices for dealing with nan assets (e.g., IPOs) HOT 3
- MarketData <> prepare_data HOT 7
- questions / thoughts on examples folder HOT 2
- suggestion for splitting backtest() method into single and multiple HOT 2
- Implement TurnoverLimit and other constraints from Chapter 4 of the book
- simulator.simulate() doesn't work unless backtest() is called first HOT 3
- Dollar volume assumption HOT 1
- Pulling out F parameter in FactorModelCovariance
- Memory Error When use more than two policiy HOT 1
- PEP8 HOT 2
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