Change in portfolio turnover calculation and test, Ledoit-Wolfe cov, base for Github actions - #14

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huuphuocle wants to merge 13 commits into

GeomScale:mainfrom

huuphuocle:main

Commits on Nov 21, 2024

Merge branch 'feature_adaptive_selection'
huuphuocle
committed
2c20137

Commits on Nov 22, 2024

Fix(Data) Adapt data_loader to new format
huuphuocle
committed
6f836ec

Commits on Nov 27, 2024

Create run-tests.yml
huuphuocle
authored
0d4449f
Improve(CI/CD) Test qp: load data only once, adapt after changes in data_loader. Add requirements.txt, change GitHubActions yml file
huuphuocle
committed
c9bef72
Fix(CI/CD) Add highs to requirement, remove python 3.9 from yml config
huuphuocle
committed
8fc4d15

Commits on Nov 28, 2024

Feature: Ledoit Wolf covariance
huuphuocle
committed
fc268d2

Commits on Dec 3, 2024

Correct some calculations in portfolio, use binary search for querying
huuphuocle
committed
1114b9d

Commits on Dec 9, 2024

Merge branch 'GeomScale:main' into main
huuphuocle
authored
3f12249
Test portfolios
huuphuocle
committed
1ef0760
Merge remote-tracking branch 'origin/main'
huuphuocle
committed
dc27ad8
Use MSCI data for test_portfolio
huuphuocle
committed
8c98dcb

Commits on Dec 28, 2024

Handle init weight in backtest
huuphuocle
committed
d04ce48

Commits on Dec 30, 2024

add builder for turnover constraint, handle assets in prev weight that are not in current selection
huuphuocle
committed
d014534