Comments (3)
Ok, you ran into a temporary patch. Right now (assuming you're using the repo code) it drops all assets that don't have at least min_history_for_inclusion days of non-missing values at the start date of the backtest (default 252). They way it should work is by breaking the backtest into parts any time a new asset appears (after its min_history...), because each backtest needs to have the same number of assets (but we can concatenate them). All forecasters are robust against nans so they're not an issue. I'm refactoring the code of the simulator this week, not sure if I'll finish that feature soon but definitely in the next 2 weeks. You can try by reducing min_history... and starting the backtest after uber starts trading + min_history...
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Follow-on comment:
The simulator doesn't fail if only internal pricing is used, but the new assets are not represented in the ptf at all.
Code snippet (using the sample code in readme):
simulator = cp.MarketSimulator(['AAPL', 'AMZN', 'TSLA', 'GM', 'CVX', 'UBER'])
backtest = simulator.backtest(policy, start_time='2019-01-01', end_time='2021-04-01') # UBER went public in mid-2019
Results (UBER not represented at all):
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This should work now, you can test with the hello_world.py
in the repo (I added $UBER as you suggested). It's quite difficult to do in fact, but at least for IPOs it should already be correct. Each stock enters 1 year after its IPO (you can change it with the min_history
keyword).
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Related Issues (20)
- Example request - Margin in a different currency HOT 15
- 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`
- Feature request: Add constraint priority with automatic resolution into soft-constraints HOT 1
- 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
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