pyrb
mlfinlab
| pyrb | mlfinlab | |
|---|---|---|
| 3 | 126 | |
| 111 | 3,779 | |
| - | 1.0% | |
| 0.0 | 0.0 | |
| 10 months ago | 7 months ago | |
| Python | Python | |
| MIT License | GNU General Public License v3.0 or later |
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pyrb
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On the relationship between QQQ and TQQQ returns
There's also risk budgeting you can try: https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb
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TMF down -18% in 52 weeks - have people been plowing money into it?
In another (https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb), he's calculating the covariance matrix from the input as follows:
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My Guide to Hedgefundie's Portfolio and Why I'm 100% Invested in it for FATFire and WHALEFire
The technical explanation is in this academic paper and one of the authors released a python library implementing it. I use this to create some scripting for my own portfolio needs that tells me what portfolio weights to use when I want to rebalance or add new funds.
mlfinlab
What are some alternatives?
Riskfolio-Lib - Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
bulbea - :boar: :bear: Deep Learning based Python Library for Stock Market Prediction and Modelling
vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.
riskparity.py - Fast and scalable construction of risk parity portfolios
PyPortfolioOpt - Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
zipline - Zipline, a Pythonic Algorithmic Trading Library
tradestation-python-api - A Python Client library for the TradeStation API.
portfolio_allocation_js - A JavaScript library to allocate and optimize financial portfolios.
tf-quant-finance - High-performance TensorFlow library for quantitative finance.
documentation - This repository contains the documentation for the current Quantiacs project. Check it out at: https://quantiacs.com/documentation/en/
deepdow - Portfolio optimization with deep learning.