{"payload":{"feedbackUrl":"https://github.com/orgs/community/discussions/53140","repo":{"id":806581950,"defaultBranch":"main","name":"GeoFin","ownerLogin":"GeomScale","currentUserCanPush":false,"isFork":false,"isEmpty":false,"createdAt":"2024-05-27T13:24:21.000Z","ownerAvatar":"https://avatars.githubusercontent.com/u/46485370?v=4","public":true,"private":false,"isOrgOwned":true},"refInfo":{"name":"","listCacheKey":"v0:1716822832.0","currentOid":""},"activityList":{"items":[{"before":"89084fcf5304c1ee7f2dc1163633cfffa0a62626","after":"33650945fa6089ddfc8529ce39210a6eeaaf282f","ref":"refs/heads/main","pushedAt":"2024-09-02T08:16:01.000Z","pushType":"pr_merge","commitsCount":1,"pusher":{"login":"cbachela","name":"CYRIL BACHELARD","path":"/cbachela","primaryAvatarUrl":"https://avatars.githubusercontent.com/u/76946014?s=80&v=4"},"commit":{"message":"Backtest with UniverseSelection (#4)\n\n* seperate code into src qnd test\r\n\r\n* remove trailing space\r\n\r\n* first test\r\n\r\n* add dtype to empty series to avoid warnings\r\n\r\n* set dtype in empty series to suppress warnings\r\n\r\n* separate QuadraticProgram class to another file because it should be considered as a separate step\r\n\r\n* add more structure to test class\r\n\r\n* remove recomputation of covariance\r\n\r\n* load  high dimensional dataset  (usa)\r\n\r\n* make args of add_linear more flexible to simplify syntax\r\n\r\n* Fix error in to_GhAb handling of >=\r\n\r\n* Add some helper functions for tests\r\n\r\n* set up tests for simple least squares\r\n\r\n* Fix type attribute to box_type attribute\r\n\r\n* Fix failing optim when using no box constraints\r\n\r\n* tests for optim with inequalities\r\n\r\n* least square with l1 test\r\n\r\n* sparse matrix for certain solvers\r\n\r\n* Amat fillna with 0\r\n\r\n* add example\r\n\r\n* modify gitignore\r\n\r\n* upload features data\r\n\r\n* add backtester\r\n\r\n* change path to data in backtest\r\n\r\n* add notebook example of backtest, investigate the drop of number of assets\r\n\r\n* add upper bound of weights: 0.1 for msci, 0.05 for usa to example\r\n\r\n* ml notebook\r\n\r\n* fix 6f3733a\r\n\r\n* fix errors due to ambiguous type\r\n\r\n* resolve PR\r\n\r\n* refactor optimization.py\r\n\r\n* rework sparse params in optimization\r\n\r\n* shorten codes\r\n\r\n* handle previous portfolios for turnover constraints\r\n\r\n* fix previous commit: linearize_turnover_constraints deleted by mistake\r\n\r\n* remove dtype in pandas type hint\r\n\r\n* fix error when adding turnover constraint without A matrix (no budget constraint)\r\n\r\n* add nearestPD call to solve function before passing to solvers\r\n\r\n* changes according to PR reviews\r\n\r\n* refactoring\r\n\r\n* add headers\r\n\r\n* fix bugs, refactoring\r\n\r\n* add more tests with different constraint params\r\n\r\n* use os path join for handling different os\r\n\r\n* use sparse in tests as default\r\n\r\n* rename ml.py to machine_learning.py\r\n\r\n* fix transaction cost constraints, add new usa data\r\n\r\n* refactor padding of GhAb for turnover/leverage constraints\r\n\r\n* try git-lfs\r\n\r\n* test moving usa_returns.csv to lfs\r\n\r\n* Revert \"test moving usa_returns.csv to lfs\"\r\n\r\nThis reverts commit d710548cb048ed5ecd933a9e0f02f1aa25b31051.\r\n\r\n* Revert \"try git-lfs\"\r\n\r\nThis reverts commit d9300e673ab5f2e4ad47fd43b87aaa61cc800d0c.\r\n\r\n* add __init__.py\r\n\r\n* ignore data folder, move small data to test_data\r\n\r\n* fix bug when not specifying box constraints\r\n\r\n* add LAD for gurobi and qpsolvers\r\n\r\n* add backtest_mutator for finetuning parameters\r\n\r\n* align data dates in backtest_mutator\r\n\r\n* add serialize method to qp_problems\r\n\r\n* refact backtest_mutator\r\n\r\n* add plot for turnover\r\n\r\n* add feasibility check\r\n\r\n* refactor optimization\r\n\r\n* feat(Universe selection): Add lstm model and LSTM_revelance\r\n\r\n* move universe selection to a separate class\r\n\r\n* allow to view data from a restricted universe in least square objective\r\n\r\n* move matrix building in add_box and add_budget to to_GhAb\r\n\r\n* fix errors in OptimizationData.view\r\n\r\n* reformat qp_problems.py\r\n\r\n* fix turnover when two universes are different\r\n\r\n* Revert constraints.py in commit 3420143f\r\n\r\n* reformat constraints.py\r\n\r\n* reformat optimization_data.py\r\n\r\n* minor reformat\r\n\r\n* add constraint provider to backtest\r\n\r\n* add(Universe selection): LSTM model\r\n\r\n* fix 5f1804a9\r\n\r\n* fix backtest after new dev\r\n\r\n* support backtest with different universes at each rebalancing\r\n\r\n* feat(UniverseSelection): add LstmSelection in backtest\r\n\r\n* minor changes: indentation, warning, variable names\r\n\r\n* fix building inequalities in Amat\r\n\r\n* change set_objective of LAD\r\n\r\n* add Cyril's credit for nearestPD","shortMessageHtmlLink":"Backtest with UniverseSelection (<a class=\"issue-link js-issue-link\" data-error-text=\"Failed to load title\" data-id=\"2472192947\" data-permission-text=\"Title is private\" data-url=\"https://github.com/GeomScale/GeoFin/issues/4\" data-hovercard-type=\"pull_request\" data-hovercard-url=\"/GeomScale/GeoFin/pull/4/hovercard\" href=\"https://github.com/GeomScale/GeoFin/pull/4\">#4</a>)"}},{"before":"34baf3b4625705b21f65c9d78e960c457a383605","after":"89084fcf5304c1ee7f2dc1163633cfffa0a62626","ref":"refs/heads/main","pushedAt":"2024-07-12T09:33:01.000Z","pushType":"pr_merge","commitsCount":1,"pusher":{"login":"vfisikop","name":null,"path":"/vfisikop","primaryAvatarUrl":"https://avatars.githubusercontent.com/u/160006479?s=80&v=4"},"commit":{"message":"Tests for qpsolvers, example for comparing different solvers, backtest framework (#3)","shortMessageHtmlLink":"Tests for qpsolvers, example for comparing different solvers, backtes…"}},{"before":"88d93a8d7e68f41837a73544fdac5d3ccbc780b0","after":"34baf3b4625705b21f65c9d78e960c457a383605","ref":"refs/heads/main","pushedAt":"2024-05-28T15:22:40.000Z","pushType":"pr_merge","commitsCount":2,"pusher":{"login":"TolisChal","name":"Apostolos Chalkis","path":"/TolisChal","primaryAvatarUrl":"https://avatars.githubusercontent.com/u/29889291?s=80&v=4"},"commit":{"message":"Merge pull request #2 from cbachela/code_skeleton_CB\n\nfirst commit","shortMessageHtmlLink":"Merge pull request <a class=\"issue-link js-issue-link\" data-error-text=\"Failed to load title\" data-id=\"2321356986\" data-permission-text=\"Title is private\" data-url=\"https://github.com/GeomScale/GeoFin/issues/2\" data-hovercard-type=\"pull_request\" data-hovercard-url=\"/GeomScale/GeoFin/pull/2/hovercard\" href=\"https://github.com/GeomScale/GeoFin/pull/2\">#2</a> from cbachela/code_skeleton_CB"}},{"before":"61196e414fba5283df794e13ab5c4f01b4a752c6","after":"88d93a8d7e68f41837a73544fdac5d3ccbc780b0","ref":"refs/heads/main","pushedAt":"2024-05-28T08:20:28.000Z","pushType":"pr_merge","commitsCount":1,"pusher":{"login":"vfisikop","name":null,"path":"/vfisikop","primaryAvatarUrl":"https://avatars.githubusercontent.com/u/160006479?s=80&v=4"},"commit":{"message":"Add license\n\nCo-authored-by: Apostolos Chalkis <apostolos.chalkis@quantagonia.com>","shortMessageHtmlLink":"Add license"}},{"before":null,"after":"61196e414fba5283df794e13ab5c4f01b4a752c6","ref":"refs/heads/main","pushedAt":"2024-05-27T15:13:52.000Z","pushType":"branch_creation","commitsCount":0,"pusher":{"login":"TolisChal","name":"Apostolos Chalkis","path":"/TolisChal","primaryAvatarUrl":"https://avatars.githubusercontent.com/u/29889291?s=80&v=4"},"commit":{"message":"Create README.md","shortMessageHtmlLink":"Create README.md"}}],"hasNextPage":false,"hasPreviousPage":false,"activityType":"all","actor":null,"timePeriod":"all","sort":"DESC","perPage":30,"cursor":"Y3Vyc29yOnYyOpK7MjAyNC0wOS0wMlQwODoxNjowMS4wMDAwMDBazwAAAASqV4Jv","startCursor":"Y3Vyc29yOnYyOpK7MjAyNC0wOS0wMlQwODoxNjowMS4wMDAwMDBazwAAAASqV4Jv","endCursor":"Y3Vyc29yOnYyOpK7MjAyNC0wNS0yN1QxNToxMzo1Mi4wMDAwMDBazwAAAARVBktc"}},"title":"Activity · GeomScale/GeoFin"}