kch382001

SimulationResult object contains policy and simulator objects. Both take a lot of spaces. This is causing problem if we run parameter tuning codes because many SimulationResult object will be created...

I am trying to follow the paper to set up factor neutral soft constraint as objective cost in Multi-Period-Optimization. From the resulting trade schedule, you can see that for the...

MPO with monotonic trade direction

1

I have a question. If we use MPO in liquidation context with alpha estimation. Say if my initial position is: long symbol A and short symbol B, and I have...

I suggest to add in support for time-varying factor exposure support in FactorMaxLimit and FactorMinLimit constraints. By doing so, user can pass in factor exposures as Pandas panel data with...

Can not set attribute Error in get_trades when adding terminal_weights constraint in MPO example

2

The terminal_weights setup in MultiPeriodOpt example seems to fail when calling run_backtest function. python 3.6 + cvxportfolio 0.05 + cvxpy 1.0.25 + numpy 1.17.1 + pandas 0.22.0. ``` terminal_weights =...

Error out on Policy.py when running MPO example

5

When running MPO example, I got error message on this line in policy.py file: z = cvx.Variable(*w.size) #----- Error Out wplus = w + z It looks like the line...

for i,t in enumerate(returns.index[:-1]): all_return_estimates[(t,t)]= return_estimate.loc[t] tp1=returns.index[i+1] all_return_estimates[(t,tp1)]=return_estimate.loc[tp1] returns_forecast = cp.MPOReturnsForecast(all_return_estimates) #

null_checer(obj) function in data_management.py returns error

1

When I ran the MultipPeriodOPtimization example, the volumes is loaded from csv.gz file and passed as a dataframe to the TCostModel setup. volumes=pd.read_csv(datadir+'volumes.csv.gz',index_col=0,parse_dates=[0]).iloc[:,:-1] .... ... simulated_tcost = cp.TcostModel(half_spread=0.0005/2., nonlin_coeff=1., sigma=sigmas,...

expose "BaseCost" for extension

1

I have a suggestion. In costs.py file, only 'HcostModel' and 'TcostModel' are exposed. Would it be better to expose 'BaseCost' for extension as well?