investos
Advanced tools
| import investos.portfolio | ||
| __version__ = "0.7.0" | ||
| __version__ = "0.8.0" | ||
@@ -5,0 +5,0 @@ import os |
@@ -60,2 +60,5 @@ import collections | ||
| """ | ||
| # Zero out small (immaterial only) rounding errors in h_next | ||
| h_next = h_next.where(h_next.abs() >= 1e-5, 0.0) | ||
| self.save_data("u", t, u) | ||
@@ -62,0 +65,0 @@ self.save_data("h_next", t, h_next) |
@@ -215,9 +215,10 @@ import datetime as dt | ||
| if trades_saved >= self.n_periods_held: | ||
| if trades_saved > self.n_periods_held: | ||
| # Use holdings_unwind, t_unwind, w_unwind, u_unwind, u_unwind_scaled | ||
| idx_unwind = trades_saved - self.n_periods_held | ||
| u_unwind_pre = self.u_unwind_pre.iloc[idx_unwind] | ||
| t_unwind = self.backtest_controller.results.u.index[idx_unwind] | ||
| u_unwind_pre = self.u_unwind_pre.loc[t_unwind] | ||
| u_unwind_pre = u_unwind_pre.drop(self.cash_column_name) | ||
| t_unwind = self.backtest_controller.results.u.index[idx_unwind] | ||
| r_scale_unwind = self._cum_returns_to_scale_unwind(t_unwind, t) | ||
@@ -224,0 +225,0 @@ u_unwind_scaled = u_unwind_pre * r_scale_unwind |
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| Metadata-Version: 2.1 | ||
| Name: investos | ||
| Version: 0.7.0 | ||
| Version: 0.8.0 | ||
| Summary: Reliable backtesting and portfolio optimization for investors who want to focus on generating alpha | ||
@@ -30,3 +30,3 @@ Home-page: https://investos.io/ | ||
| Requires-Dist: forecastos (>=0.2.0,<0.3.0) | ||
| Requires-Dist: numpy (>=1.24.3,<2.0.0) | ||
| Requires-Dist: numpy (>=1.24.3) | ||
| Requires-Dist: pandas (>=2.0.1,<3.0.0) | ||
@@ -33,0 +33,0 @@ Requires-Dist: requests (>=2.31.0,<3.0.0) |
+4
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| [tool.poetry] | ||
| name = "investos" | ||
| version = "0.7.0" | ||
| version = "0.8.0" | ||
| description = "Reliable backtesting and portfolio optimization for investors who want to focus on generating alpha" | ||
@@ -33,3 +33,3 @@ authors = ["Charlie Reese", "ForecastOS"] | ||
| requests = "^2.31.0" | ||
| numpy = "^1.24.3" | ||
| numpy = ">=1.24.3" | ||
| pandas = "^2.0.1" | ||
@@ -53,3 +53,3 @@ forecastos = "^0.2.0" | ||
| plotly = "^5.15.0" | ||
| pyarrow = "^12.0.1" | ||
| pyarrow = ">=17.0.0" | ||
| xgboost = "^1.7.6" | ||
@@ -66,2 +66,3 @@ scikit-learn = "^1.3.0" | ||
| "test_*.py", | ||
| "*_test.py", | ||
| ] | ||
@@ -68,0 +69,0 @@ norecursedirs = [ |
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