MC1-Project-1 - Revision history

Dave at 00:48, 22 May 2017

2017-05-22T00:48:39Z

2017-05-19T23:02:28Z

Recent updates/clarifications

2017-03-02T18:27:22Z

Required, Allowed & Prohibited

2017-01-20T20:22:19Z

API specification

2017-01-17T00:43:34Z

Rubric

2017-01-16T18:41:12Z

Recent updates/clarifications

2017-01-16T18:37:45Z

Suggestions

2017-01-16T18:35:56Z

API specification

2017-01-16T18:34:55Z

API specification

2017-01-16T18:29:51Z

Recent updates/clarifications

← Older revision		Revision as of 00:48, 22 May 2017
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−	==~~DRAFT==~~	+	==Revisions==
−
−	~~This assignment is under revision. This notice will be removed once it is final.~~
−
−	~~==Recent updates/clarifications~~==

	'''2017-1-16'''		'''2017-1-16'''

← Older revision		Revision as of 23:02, 19 May 2017
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		+	==DRAFT==
		+
		+	This assignment is under revision. This notice will be removed once it is final.
		+
	==Recent updates/clarifications==		==Recent updates/clarifications==

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 Required:
 * Your project must be coded in Python 2.7.x.
-* Your code must run on one of the university-provided computers (e.g. buffet02.cc.gatech.edu), or on one of the provided virtual images.
+* Your code must run on one of the university-provided computers (e.g. buffet02.cc.gatech.edu).
 * Use the code for reading in historical data provided in util.py
 * Your code must run in less than 5 seconds on one of the university-provided computers.

@@ Line 58: / Line 58: @@
 * allocs: A list of 2 or more allocations to the stocks, must sum to 1.0
 * sv: Start value of the portfolio
-* rfr: The risk free return per sample period for the entire date range (a single number, not an array).
+* rfr: The risk free return per sample period that does not change for the entire date range (a single number, not an array).
 * sf: Sampling frequency per year
 * gen_plot: If False, do not create any output.  If True it is OK to output a plot such as <tt>plot.png</tt>

@@ Line 179: / Line 179: @@
 test cases: We will test your code against 10 cases (10% per case).  Each case will be deemed "correct" if:
-* 5%: Sharpe ratio = reference answer +- 0.001 (4%)
+* 5%: Sharpe ratio = reference answer +- 0.001
 * 2.5%: Average daily return = reference answer +- 0.00001
 * 2.5%: Cumulative return = reference answer +- 0.001

← Older revision		Revision as of 18:41, 16 January 2017
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	==Recent updates/clarifications==		==Recent updates/clarifications==
		+
		+	'''2017-1-16'''
		+
		+	* API revised to allow for variable length input. For instance, we might ask you to calculate statistics for a 2 asset portfolio or a 10 asset portfolio.
		+	* Be alert that the test suite on the buffet machines does not yet test these cases. That does not mean that you don't have to support them.

	==Overview==		==Overview==

@@ Line 81: / Line 81: @@
 Here is a suggested high-level outline for what your code needs to do:
-*Read in adjusted closing prices for the 4 equities.
+*Read in adjusted closing prices for the equities.
 *Normalize the prices according to the first day. The first row for each stock should have a value of 1.0 at this point.
 *Multiply each column by the allocation to the corresponding equity.

@@ Line 50: / Line 50: @@
 * sd: A datetime object that represents the start date
 * ed: A datetime object that represents the end date
-* syms: A list of symbols that make up the portfolio (note that your code should support any symbol in the data directory)
+* syms: A list of 2 or more symbols that make up the portfolio (note that your code should support any symbol in the data directory)
-* allocs: A list of allocations to the stocks, must sum to 1.0
+* allocs: A list of 2 or more allocations to the stocks, must sum to 1.0
 * sv: Start value of the portfolio
 * rfr: The risk free return per sample period for the entire date range (a single number, not an array).

← Older revision		Revision as of 18:29, 16 January 2017
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	==Recent updates/clarifications==		==Recent updates/clarifications==
−
−	* 2016-8-26: revised to indicate code only based assessment.

	==Overview==		==Overview==