Commit Graph

5 Commits

Author SHA1 Message Date
Mark Aron Szulyovszky 42a1bc59cb feat(Events): added EventFilter, EventLabeller (#186) 2022-01-26 23:22:43 +01:00
Mark Aron Szulyovszky e6e2317fe0 refactor(Training): use date indexes instead of integers, need this to prepare for Events (#185) 2022-01-24 12:22:30 +01:00
Mark Aron Szulyovszky 2c03959315 feat(Reporting): added backtesting with vectorbt (#148)
* feat(Reporting): added vectorbt-based backtest

* fix(Reporting): added transaction costs

* feat(Reporting): added ability to rebalance only every n days

* feat(Dependencies): added pytorch

* fix(Dependencies): added pytorch-lightning

* feat(CI): added portfolio reporting step

* feat(Reporting): save weights as well

* fix(Reporting): start with less cash
2022-01-11 09:34:08 +01:00
Mark Aron Szulyovszky 81c217a401 feat(Portfolio): reporting MVP (#108)
* feat(DataLoader): added load_only_returns() method

* feat(Portfolio): load predictions

* feat(Portfolio): normalize weights

* feat(Portfolio): started integrating with portfoliobt

* feat(Portfolio): include fees in the portfolio construction

* feat(Portfolio): demo of pyportfolioopt

* feat(Portfolio): get efficient frontier calculation to work

* feat(Portfolio): add a few strategies to create weights

* chore(Dependencies): remove pyportfolioopt for now

* fix(Dependencies): try to install all dependencies with pip

* fix(Dependencies): indentation

* fix(Dependencies): corrected pytorch module name

* fix(Dependencies): try to have as many modules installed by conda for the sake of sanity?

* fix(Dependencies): put fracdiff into pip modules

* fix(Dependencies): revert to using pip almost exclusively

* feat(Portfolio): added alphalens

* fix(Portfolio): got limited weights working

* feat(Portfolio): trying to get alphalens to work

* feat(Portfolio): alphalens working

* fix(Dependencies): removed vectorbt

* fix(Dependencies): use alphalens-reloaded

* fix(Dependencies): added conda source for alphalens-reloaded

* refactor(Portfolio): removed traces of vectorbt

* feat(Reporting): factor reporting done

* feat(Portfolio): added pyfolio reporting (fails bc alphalens is not working properly lol)
2022-01-08 00:05:36 +01:00
Mark Aron Szulyovszky f8af5641e8 chore(Project): added output folder (#124)
* chore(Project): added output folder

* chore(CI): updated path

* fix(CI): correct path
2022-01-07 19:03:17 +01:00