Merge main

.github/dependabot.yml

@@ -0,0 +1,11 @@
+# To get started with Dependabot version updates, you'll need to specify which
+# package ecosystems to update and where the package manifests are located.
+# Please see the documentation for all configuration options:
+# https://docs.github.com/github/administering-a-repository/configuration-options-for-dependency-updates
+
+version: 2
+updates:
+  - package-ecosystem: "pip" # See documentation for possible values
+    directory: "/" # Location of package manifests
+    schedule:
+      interval: "weekly"

.github/workflows/basic.yml

@@ -13,12 +13,12 @@ jobs:
       with:
         extra_args: '--verbose --all-files'
 
-  test:
+  experiment:
     runs-on: ubuntu-latest
 
     steps:
       - uses: actions/checkout@v3
-      - name: testing
+      - name: experiments
         shell: bash
         run: |
-          make test
+          make experiment

.gitignore

@@ -1,3 +1,5 @@
+checkpoints
+
 .idea
 .vscode
 .python-version

Makefile

@@ -14,11 +14,6 @@ fmt: install ## Run autoformatting and linting
 	${VENV}/bin/pre-commit install
 	${VENV}/bin/pre-commit run --all-files
 
-.PHONY: test
-test: install ## Run tests
-	${VENV}/bin/pip install pytest
-	${VENV}/bin/pytest tests
-
 .PHONY: clean
 clean:  ## Clean up caches and build artifacts
 	@git clean -X -d -f

README.md

@@ -5,20 +5,13 @@ It contains a reference implementation of the Markowitz portfolio optimization
 problem and the data used in the paper. Please note that the tickers of the
 stocks have been obfuscated to comply with the data provider's terms of use.
 
-## Installation
-
-Please start any experiment with
-
-```bash
-make install
-```
-
-to replicate the virtual environment we have defined in 'requirements.txt'.
-
 ## Experiments
 
 Please run all experiments using
 
 ```bash
 make experiments
 ```
+
+Before the experiments start the virtual environment defined in 'requirements.txt'
+is replicated locally.

experiments.py

@@ -1,4 +1,7 @@
+from pathlib import Path
+
 from experiments.taming import main as taming_main
 
 if __name__ == "__main__":
+    Path("checkpoints").mkdir(exist_ok=True)
     taming_main()

experiments/backtest.py

@@ -4,16 +4,12 @@
 from functools import lru_cache
 from pathlib import Path
 import pickle
-import sys
 import time
 from typing import Callable
 import numpy as np
 import cvxpy as cp
 import pandas as pd
-from utils import synthetic_returns
-
-# hack to allow importing from parent directory without having a package
-sys.path.append(str(Path(__file__).parent.parent))
+from experiments.utils import synthetic_returns
 
 
 def data_folder():

experiments/taming.py

@@ -1,9 +1,10 @@
 import numpy as np
 import pandas as pd
 import cvxpy as cp
-from backtest import BacktestResult, OptimizationInput, run_backtest
-from utils import get_solver
-from markowitz import Data, Parameters, markowitz
+
+from experiments.backtest import BacktestResult, OptimizationInput, run_backtest
+from experiments.markowitz import Data, Parameters, markowitz
+from experiments.utils import get_solver
 
 
 def basic_markowitz(inputs: OptimizationInput) -> tuple[np.ndarray, float, cp.Problem]:

requirements.txt

@@ -1,4 +1,4 @@
-cvxpy
-numpy
-pandas
-matplotlib
+cvxpy==1.4.1
+numpy==1.26.2
+pandas[output-formatting]==2.1.4
+matplotlib==3.8.2