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

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

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huuphuocle
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Hello,

Here are the details of my PR:

  • Some changes in portfolio.py: correct calculations, some perf improvement through binary search in portfolio list
  • Ledoit-Wolfe covariance: sklearn Ledoit-Wolfe shrinks only towards identity matrix it seems
  • some setup for a Github actions, a test class for portfolio.py and some changes in test_quadratic_program.py.
  • a minor fix in data_loader (because of the data format change in this PR: ✨ Standardize CSV File Formats for Consistency (#8) #10

Please let me know your feedback on this. Thanks

huuphuocle and others added 13 commits November 21, 2024 06:18
Merge branch 'feature_adaptive_selection'
2c20137
Fix(Data) Adapt data_loader to new format
6f836ec
@huuphuocle
Create run-tests.yml
0d4449f
Improve(CI/CD) Test qp: load data only once, adapt after changes in d…
c9bef72 
…ata_loader. Add requirements.txt, change GitHubActions yml file
Fix(CI/CD) Add highs to requirement, remove python 3.9 from yml config
8fc4d15
Feature: Ledoit Wolf covariance
fc268d2
Correct some calculations in portfolio, use binary search for querying
1114b9d
@huuphuocle
Merge branch 'GeomScale:main' into main
3f12249
Test portfolios
1ef0760
Merge remote-tracking branch 'origin/main'
dc27ad8
@huuphuocle
Use MSCI data for test_portfolio
8c98dcb
@huuphuocle
Handle init weight in backtest
d04ce48
add builder for turnover constraint, handle assets in prev weight tha…
d014534 
…t are not in current selection
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@cbachela cbachela Awaiting requested review from cbachela

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@huuphuocle