Comments (1)
You're right, it's a bug. It shouldn't use window
at all. Thanks for spotting that. I've read more about TCO (https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?referer=&httpsredir=1&article=4761&context=sis_research) and decided to move it to a separate algorithm. The algo "TCO" is available in the newest package version.
cc @DrPaprikaa I took your code and moved it to a separate file (plus fixed a few bugs), hope you don't mind
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Related Issues (20)
- It seem like the two functions "run" and "run_combination" do not calculate the same the total_wealth? HOT 6
- some question about the transaction cost code HOT 1
- Question about data format HOT 3
- Data reference HOT 2
- Convergence Issue: "Converged, but not successfully." and Weight Sum Not Equal to 1 HOT 3
- ModuleNotFoundError: No module named 'scipy.special'
- Question about data and TCO algorithm
- Invalid equity result using result weight
- MaybeEncodingError while using the run_combination() method
- Issue with Mac M1 HOT 2
- Data information HOT 3
- 2 questions HOT 1
- Installation Issues HOT 10
- specifying the args of CORN class HOT 8
- a self.eta error in TCO
- Try to include transaction cost into OLMAR, but does not work HOT 1
- Assertion error # update logarithms, fees, etc. AssertionError:` HOT 2
- tools.simplex_project() returns the largest positive vector only? HOT 1
- There are several FeatureWarnings with the code
- Equity calculation, shift issue? HOT 5
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