Metadata-Version: 2.1
Name: QuantOPT
Version: 0.1.1.7
Summary: a opt tool
Home-page: http://www.github.com/sn0wfree/QuantOPT
Author: sn0wfree
Author-email: snowfreedom0815@gmail.com
License: MIT Licence
Description: # QuantOPT
        
        
        ## Description
        
        This module is to create and run optimizer for the portfolio optimization. 
        it will have constraints with soft slack version and objects 
        
        main functions:
        1. RunOpt, main functions with slack constraints path
        2. create_constraints_holder, the creator for custom constraints with string
        3. Holder, model holder which can be defined by custom or new model
        
        
        
        
        ## Usage
        
        ```python
        from QuantOPT.constraints.relaxer import RunOpt
        from QuantOPT.constraints.constraints import create_constraints_holder
        from QuantOPT.core.model_core import Holder
        import numpy as np
        ## add model
        class risk_budge: 
            @staticmethod
            def loss_func(w):
                return np.sum(w)
        Holder.add_model('risk_budge',risk_budge)
        
        cov_price= stock_price.pct_change(1).cov()
        
        stock_pool = len(cov_price.columns)
        
        ## init constraints
        setting_yaml_path = './constraints.yaml'
        constr_cls = create_constraints_holder(setting_yaml_path)
        method = 'MinVar'
        
        Ropt = RunOpt(method=method, constr_cls=constr_cls)
        
        constraint_param_list = [('general_count_lower_rc', {'bound_value': 5}, 1, 'ineq')]
        res = Ropt.run_opt(constraint_param_list, slack=True,stockpool=stock_pool, sigma2=cov_price)
        
        
        
        ```
Keywords: QuantOPT,analysis
Platform: UNKNOWN
Description-Content-Type: text/markdown
