Larger problems

cvxgrp · Dec 20, 2023 · 8899f5f · 8899f5f
1 parent c5a986c
commit 8899f5f
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Showing 2 changed files with 6 additions and 4 deletions.
diff --git a/experiments/backtest.py b/experiments/backtest.py
@@ -268,7 +268,7 @@ def daily_turnover(self) -> pd.Series:
         prices = load_data()[0].loc[self.history]
         valuation_trades = trades * prices
         relative_trades = valuation_trades.div(self.portfolio_value, axis=0)
-        return relative_trades.abs().sum(axis=1)
+        return relative_trades.abs().sum(axis=1) / 2
 
     @property
     def turnover(self) -> float:

diff --git a/experiments/scaling_large.py b/experiments/scaling_large.py
@@ -6,7 +6,7 @@
 
 
 def main():
-    fitting = False
+    fitting = True
     scenarios = get_scenarios(fitting=fitting)
     res = []
     for n_assets, n_factors in scenarios:
@@ -151,11 +151,13 @@ def get_scenarios(fitting=False):
             (2000, 100),
             (10000, 50),
             (10000, 100),
+            (50_000, 200),
+            (50_000, 500),
         ]
     else:
         # fine grid for fitting
-        assets = np.logspace(3, 3.5, 10, dtype=int)
-        factors = np.logspace(3, 3.5, 10, dtype=int)
+        assets = np.logspace(3, 4.7, 10, dtype=int)
+        factors = np.logspace(3, 4, 10, dtype=int)
         pairs = [(a, f) for a in assets for f in factors if a >= f]
         return pairs