cvxgrp / cvxportfolio

97%

master: 99%

LAST BUILD ON BRANCH refs/tags/1.0.0

branch: refs/tags/1.0.0

CHANGE BRANCH

x

Reset

• refs/tags/1.0.0
• 1.5.1
• gh_issue_107
• main
• master
• old_experiment
• refs/heads/master
• refs/tags/0.3.1
• refs/tags/0.3.2
• refs/tags/0.3.3
• refs/tags/0.3.4
• refs/tags/0.3.5
• refs/tags/0.4.0
• refs/tags/0.4.10
• refs/tags/0.4.2
• refs/tags/0.4.3
• refs/tags/0.4.4
• refs/tags/0.4.5
• refs/tags/0.4.7
• refs/tags/0.4.8
• refs/tags/0.4.9
• refs/tags/1.0.1
• simplify_varying_universes

Build # 6372488520

Build Type

push

github

Committed by enzbus

Commit Message

version 1.0.0

This version provides includes many improvements of internal APIs
that allow for full modularity. In particular, the MarketSimulator has
been greatly simplified and it interacts with the MarketData server
only via few public methods, allowing for user-specified MarketData
instances to work seamlessly with the rest of the library. The Policy
objects now return market weights via their internal interface and have an `execute` method for
on-line (live trading) usage (which returns trades vectors in dollars
and number of shares). The Yahoo Finance interface has been
rewritten (dropping a dependency package) and has much a better data
cleaning logic. The BacktestResult has been updated with metrics
relative to the benchmark. The optimization policies now take
any Policy object as a benchmark (like cvxportfolio.Uniform).
Back-test resulting in bankruptcies now return a BacktestResult
object with the log of the back-test up to the time of bankruptcy.
The caching during back-tests has been made clearer and also can
work with user-provided MarketData servers (using their signature
method). The DownloadedMarketData server can take user-specified
single-symbol data sources (we provide YahooFinance and Fred), and
the single-symbol data sources can use any of the storage backends
that we provide (pickle, csv, sqlite) or define their own by
implementing two simple callbacks. Many logging and warning messages
have been added, and more.

Run Details

1 of 1 new or added line in 1 file covered. (100.0%)

3928 of 4032 relevant lines covered (97.42%)

8.76 hits per line