Comments (1)
Edit: one complication actually. In MPO, constraints are duplicated for all forward planning steps (in the simplest case), or specified differently for each step. It's not clear how to make constraint priority easily specified in the latter case. The latter case should probably not be supported by this procedure. (I only included it because it was the original 2016 formulation.) Better bookkeeping should be defined in the MPO class for mapping the user syntax into compiled program.
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Related Issues (20)
- BUG: packaging failed to include modules moved into submodules (constraints, data)
- Feature request: handle user-defined time-varying universes (and better error checks with temporary `nan`s in user-provided returns) HOT 13
- Data quality issues in `ftse100_daily` example strategy
- EOFError: Ran out of input HOT 4
- Rendering of code blocks in README on github is broken
- Feature request: add `market_data=None` option to `Policy.execute`
- Is it possible to have different costs definition depending on entry or exit HOT 1
- can we load into our custom crypto data into cvxportfolio for backtesting and portfolio construction ? [bounty possible] HOT 1
- Feature Request: Online Data Loading HOT 1
- Ecos needs to added in pyproject "test" optional dependencies HOT 1
- Issue loading data from FRED HOT 9
- Testsuite failing on py 3.9 b/c of dependencies HOT 1
- The result of backtesting 30 years is different from 5 years? HOT 5
- Feature Request: Ignore Tcosts in first period HOT 2
- Incompatible with Numpy 2.0 HOT 1
- How are returns computed? HOT 1
- New Cvxportfolio versions will have the General Public License
- Optimization `BacktestResult` with `AllCash` benchmark confusing
- Idea: `UnwindingCostLimit`
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