removed unfinished notebook

This commit is contained in:
robertmartin8
2020-08-29 14:33:22 +08:00
parent 70221eb031
commit 92f2ded0fd

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@@ -1,88 +0,0 @@
{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Hierarchical Risk Parity Portfolio\n",
"\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"import pandas as pd\n",
"from pypfopt import HRPOpt, risk_models, plotting, DiscreteAllocation\n",
"\n",
"\n",
"df = pd.read_csv(\"tests/stock_prices.csv\", parse_dates=True, index_col=\"date\")\n",
"print(df.shape)\n",
"df.tail()\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"returns = risk_models.returns_from_prices(df)\n",
"hrp = HRPOpt(returns)\n",
"weights = hrp.optimize()\n",
"hrp.portfolio_performance(verbose=True);"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"plotting.plot_dendrogram(hrp);"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"da = DiscreteAllocation(weights, df.iloc[-1], total_portfolio_value=10000)\n",
"w, leftover = da.lp_portfolio()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"plotting.plot_weights(weights);"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.7.5"
}
},
"nbformat": 4,
"nbformat_minor": 2
}