Re:Show HN: Eiten – open-source tool for portfolio optimization
by hydershykh on Thursday September 10, 2020 @02:11AM
(#24429399)
This is perfect. Thank you for sharing this.
I might start implementing some of these but would love for someone else to add a few PRs as well. The code is pretty modular especially if we want to add new strategies.
Re:Show HN: Eiten – open-source tool for portfolio optimization
by westurner on Thursday September 10, 2020 @03:25AM
(#24429801)
(Sustainable) Index ETFs in the stocks.txt universe would likely be less sensitive to single performers' effects in unbalanced portfolios.
> pyfolio.tears.create_interesting_times_tear_sheet measures algorithmic trading algorithm performance during "stress events" https://github.com/quantopian/pyfolio/blob/03568e0f328783a6a...
Re:Show HN: Eiten – open-source tool for portfolio optimization
by iav on Thursday September 10, 2020 @08:52AM
(#24431837)
Does the code have any factor investing features at all right now? I was just reading about alpha lens, another project focused on performance attribution of factors. To avoid reinventing the wheel, are there any other libraries that can be leveraged to add factors - so portfolios are constructed to go long and/or short a certain factor like sustainability or etc.
Re:Show HN: Eiten – open-source tool for portfolio optimization
by hydershykh on Thursday September 10, 2020 @12:37PM
(#24433919)
I will try to modify it such that it's easy to add factors. Thanks for sharing this.
My concern is that - like any other portfolio optimization algorithm - blindly optimizing on fundamentals and short term returns will lead to investing in firms who just dump external costs onto people in the present and future; so, screening with sustainability criteria is important to me.
From https://news.ycombinator.com/item?id=19111911 :
> awesome-quant lists a bunch of other tools for algos and superalgos: https://github.com/wilsonfreitas/awesome-quant