rp managers

Author: microprediction

Diff for: precise/skaters/managers/rpmanagers.py

@@ -1,6 +1,6 @@
 from precise.skaters.covariance.ewaemp import ewa_emp_pcov_d0_r05, ewa_emp_pcov_d0_r01, ewa_emp_pcov_d0_r02
 from precise.skaters.covariance.weakpm import weak_pm_ewa_scov_r02_n100_t0, weak_pm_ewa_scov_r01_n100_t0
-from precise.skaters.portfoliostatic.rpport import rp_port_p0, rp_port_p20, rp_port_p40, rp_port_p60, rp_port_p80
+from precise.skaters.portfoliostatic.rpport import rp_port_p0, rp_port_p20, rp_port_p40, rp_port_p60, rp_port_p59, rp_port_p61, rp_port_p80
 from precise.skaters.managers.covmanagerfactory import static_cov_manager_factory_d0
 
 
@@ -43,6 +43,18 @@ def rp_ewa_r05_p40_long_manager(y, s, k=1,e=1,j=1,q=1.0):
     return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r05, port=rp_port_p40, e=e,j=j,q=q)
 
 
+def rp_ewa_r01_p59_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r01, port=rp_port_p59, e=e,j=j,q=q)
+
+
+def rp_ewa_r02_p59_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r02, port=rp_port_p59, e=e,j=j,q=q)
+
+
+def rp_ewa_r05_p59_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r05, port=rp_port_p59, e=e,j=j,q=q)
+
+
 def rp_ewa_r01_p60_long_manager(y, s, k=1,e=1,j=1,q=1.0):
     return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r01, port=rp_port_p60, e=e,j=j,q=q)
 
@@ -55,6 +67,18 @@ def rp_ewa_r05_p60_long_manager(y, s, k=1,e=1,j=1,q=1.0):
     return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r05, port=rp_port_p60, e=e,j=j,q=q)
 
 
+def rp_ewa_r01_p61_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r01, port=rp_port_p61, e=e,j=j,q=q)
+
+
+def rp_ewa_r02_p61_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r02, port=rp_port_p61, e=e,j=j,q=q)
+
+
+def rp_ewa_r05_p61_long_manager(y, s, k=1,e=1,j=1,q=1.0):
+    return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r05, port=rp_port_p61, e=e,j=j,q=q)
+
+
 def rp_ewa_r01_p80_long_manager(y, s, k=1,e=1,j=1,q=1.0):
     return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r01, port=rp_port_p80, e=e,j=j,q=q)
 
@@ -70,12 +94,15 @@ def rp_ewa_r05_p80_long_manager(y, s, k=1,e=1,j=1,q=1.0):
 RP_EWA_LONG_MANAGERS = [rp_ewa_r01_p0_long_manager, rp_ewa_r02_p0_long_manager,rp_ewa_r05_p0_long_manager,
                         rp_ewa_r01_p20_long_manager, rp_ewa_r02_p20_long_manager,rp_ewa_r05_p20_long_manager,
                         rp_ewa_r01_p40_long_manager, rp_ewa_r02_p40_long_manager, rp_ewa_r05_p40_long_manager,
+                        rp_ewa_r01_p59_long_manager, rp_ewa_r02_p59_long_manager, rp_ewa_r05_p59_long_manager,
                         rp_ewa_r01_p60_long_manager, rp_ewa_r02_p60_long_manager, rp_ewa_r05_p60_long_manager,
+                        rp_ewa_r01_p61_long_manager, rp_ewa_r02_p61_long_manager, rp_ewa_r05_p61_long_manager,
                         rp_ewa_r01_p80_long_manager, rp_ewa_r02_p80_long_manager, rp_ewa_r05_p80_long_manager]
 
 
 # Some more close to p40_r01 but using convex hull
 
+
 def rp_ewa_r01_p40_l20_long_manager(y, s, k=1,e=1,j=1,q=1.0):
     return static_cov_manager_factory_d0(y=y, s=s, f=ewa_emp_pcov_d0_r01, l=20, port=rp_port_p40, e=e,j=j,q=q)
 

Diff for: precise/skaters/portfoliostatic/rpport.py

@@ -18,10 +18,18 @@ def rp_port_p70(cov=None, pre=None):
     return rp_portfolio_factory(cov=cov, pre=pre,phi=0.7)
 
 
+def rp_port_p61(cov=None, pre=None):
+    return rp_portfolio_factory(cov=cov, pre=pre,phi=0.61)
+
+
 def rp_port_p60(cov=None, pre=None):
     return rp_portfolio_factory(cov=cov, pre=pre,phi=0.6)
 
 
+def rp_port_p59(cov=None, pre=None):
+    return rp_portfolio_factory(cov=cov, pre=pre,phi=0.59)
+
+
 def rp_port_p50(cov=None, pre=None):
     return rp_portfolio_factory(cov=cov, pre=pre,phi=0.5)
 
@@ -47,5 +55,5 @@ def rp_port_p0(cov=None, pre=None):
 
 
 RP_LONG_PORT = [rp_port_p100, rp_port_p70, rp_port_p80, rp_port_p90,
-                rp_port_p40, rp_port_p50, rp_port_p60,
+                rp_port_p40, rp_port_p50, rp_port_p59, rp_port_p60, rp_port_p61,
                 rp_port_p10, rp_port_p20, rp_port_p30, rp_port_p0]

Diff for: setup.py

@@ -7,7 +7,7 @@
 
 setup(
     name="precise",
-    version="0.10.27",
+    version="0.10.28",
     description="Online covariance, precision, portfolios and ensembles",
     long_description=README,
     long_description_content_type="text/markdown",