Comments (3)
Ok, good point. Currently I separated all logic that is run before a backtest from whatever is run during it: pre_evaluation
does cvxpy
parameter instantiation and problem compilation, values_in_time
does parameters update and problem solution. (Names are not very good, will probably change.) They're both recursive (tree) traversals of the policy object. I guess what you're asking is to make the pre_evaluation
done lazily so that you can use a policy without explicitly initializing it first. That's good, something would break (only one or two objects need this separation, they can just throw SyntaxError
's) but most things would work. It would also probably be needed for online usage (get trades for today at 9:31am). I'll work on it. Also the policy.cache
is only needed in backtest, not for online/interactive usage. Thanks!
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In the meantime you can do policy.pre_evaluation(universe, [pd.Timestamp.today()])
and then pass it to simulate. I guess it would work?
from cvxportfolio.
Yes, that would work fine in the meantime - thanks. And even running one day of backtest as a dummy instantiation works in a pinch. The lazy pre-eval is a good idea, appreciate your working on the fix.
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Related Issues (20)
- Pandas 2.2.0 causes issues HOT 1
- Possible issue when using Cvxportfolio's internet access through a VPN HOT 4
- Make test suite fail on warnings
- Questions on accounting model (e.g., for short positions) HOT 3
- Robustify online execution of example strategies (when open prices are missing) HOT 1
- Failure on non-numeric (object dtpye) user-provided data difficult to understand HOT 6
- Example request - Margin in a different currency HOT 14
- 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
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