pyrb
portfolio_allocation_js
pyrb | portfolio_allocation_js | |
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3 | 1 | |
111 | 169 | |
- | - | |
0.0 | 0.0 | |
10 months ago | about 1 year ago | |
Python | JavaScript | |
MIT License | MIT License |
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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.
portfolio_allocation_js
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TMF down -18% in 52 weeks - have people been plowing money into it?
I also found this, which seems to work with Google sheets: https://github.com/lequant40/portfolio_allocation_js. Haven't checked it out yet though, since I primarily use Excel and have the python working.
What are some alternatives?
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vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.
Clarabel.rs - Clarabel.rs: Interior-point solver for convex conic optimisation problems in Rust.
riskparity.py - Fast and scalable construction of risk parity portfolios
zipline - Zipline, a Pythonic Algorithmic Trading Library