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cvxportfolio-0.2.0
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...
| ویژگی | مقدار |
|---|---|
| سیستم عامل | - |
| نام فایل | cvxportfolio-0.2.0 |
| نام | cvxportfolio |
| نسخه کتابخانه | 0.2.0 |
| نگهدارنده | [] |
| ایمیل نگهدارنده | [] |
| نویسنده | Cvxportfolio's Contributors |
| ایمیل نویسنده | - |
| آدرس صفحه اصلی | https://cvxportfolio.readthedocs.io |
| آدرس اینترنتی | https://pypi.org/project/cvxportfolio/ |
| مجوز | - |
# Cvxportfolio
[](https://pypi.org/project/cvxportfolio/)
[](https://pepy.tech/project/cvxportfolio)
[](https://cvxportfolio.readthedocs.io/en/latest/?badge=latest)
**WORK IN PROGRESS. Cvxportfolio is currently under development. We will freeze the user interface by end of 2023Q2 and release the first stable version by end of 2023Q3. The script `hello_world.py` now runs with the new interface (see below).**
`cvxportfolio` is a python library for portfolio optimization and simulation
based on the book [Multi-Period Trading via Convex Optimization](https://web.stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf).
It is written in Python, its main dependencies are [`cvxpy`](https://github.com/cvxgrp/cvxpy)
and [`pandas`](https://github.com/pandas-dev/pandas).
The documentation of the package is at [cvxportfolio.readthedocs.io](https://cvxportfolio.readthedocs.io/en/latest/).
Installation
------------
```
pip install cvxportfolio
```
Testing
------------
To test it locally, for example, you can set up the development environment with [`poetry`](https://python-poetry.org/) and run [`pytest`](https://pytest.org/).
```
git clone https://github.com/cvxgrp/cvxportfolio.git
cd cvxportfolio
poetry install
poetry run pytest --cov
```
Example
------------
To get a sneak preview of `cvxportfolio` you may try the following code. This is available in `examples/hello_world.py` and runs
with `cvxportfolio` >= 0.2.0
```python
import cvxportfolio as cp
import matplotlib.pyplot as plt
# define a portfolio optimization policy
# with rolling window mean (~10 yrs) returns
# with forecast error risk on returns (see the book)
# rolling window mean (~10 yrs) covariance
# and forecast error risk on covariance (see the book)
policy = cp.SinglePeriodOptimization(objective =
cp.RollingWindowReturnsForecast(2500) -
cp.RollingWindowReturnsForecastErrorRisk(2500) -
5 * cp.RollingWindowFullCovariance(2500, forecast_error_kappa = 0.25),
constraints = [cp.LeverageLimit(3)]
)
# define a market simulator, which downloads stock market data and stores it locally
# in ~/cvxportfolio/
simulator = cp.MarketSimulator(["AMZN", "AAPL", "MSFT", "GOOGL", "TSLA", "GM"])
# perform a backtest (by default it starts with 1E6 USD cash)
backtest = cp.BackTest(policy, simulator, '2023-01-01', '2023-04-21')
# plot value of the portfolio in time
backtest.v.plot(figsize=(12, 5), label='Single Period Optimization')
plt.ylabel('USD')
plt.title('Total value of the portfolio in time')
plt.show()
# plot weights of the (non-cash) assets for the SPO policy
backtest.w.iloc[:, :-1].plot()
plt.title('Weights of the portfolio in time')
plt.show()
print('total tcost', backtest.tcost.sum())
print('total borrow cost', backtest.hcost_stocks.sum())
print('total cash return + cost', backtest.hcost_cash.sum())
```
(*The other examples may currently have problems as we are changing various bits and pieces of `cvxportfolio`.*)
Academic
------------
If you use `cvxportfolio` in your academic work please cite our book:
```
@article{BBDKKNS:17,
author = {S. Boyd and E. Busseti and S. Diamond and R. Kahn and K. Koh and P. Nystrup and J. Speth},
title = {Multi-Period Trading via Convex Optimization},
journal = {Foundations and Trends in Optimization},
year = {2017},
month = {August},
volume = {3},
number = {1},
pages = {1--76},
publisher = {Now Publishers},
url = {http://stanford.edu/~boyd/papers/cvx_portfolio.html},
}
```
License
------------
Cvxportfolio is licensed under the [Apache 2.0](http://www.apache.org/licenses/) permissive
open source license.
نیازمندی
| مقدار | نام |
|---|---|
| - | cvxpy |
| - | multiprocess |
| - | numpy |
| - | pandas |
| - | pandas_datareader |
| - | yfinance |
زبان مورد نیاز
| مقدار | نام |
|---|---|
| >=3.9.0 | Python |
نحوه نصب
نصب پکیج whl cvxportfolio-0.2.0:
pip install cvxportfolio-0.2.0.whl
نصب پکیج tar.gz cvxportfolio-0.2.0:
pip install cvxportfolio-0.2.0.tar.gz