EvoPortfolio

Table of Contents

• Installation
• Run
• Parameters

Installation

The latest version can be installed with

`git clone --recurse-submodules https://github.com/Balbus95/EvoPortfolio.git`

For Windows:

Install the custom DEAP library

`pip install .\deap --use-pep517` or with `pip install .\deap`

For Linux/MacOS:

Install the custom DEAP library

`pip install ./deap --use-pep517` or with `pip install ./deap`

Notes to set up a libraries for VSCode on Linux/MacOS

To set up a libraries for VSCode on Linux/MacOS you can use

`python3 -m venv env`

Note: to enable and disable a virtual environments use source env/bin/activate and deactivate

Install other dependency libraries

`pip install matplotlib`
`pip install pandas`
`pip install numpy`

Run

`python evoportfolio.py`

Other scripts

in the same way

Run the loadfile.py script to see graphs of the .dump files created with the main script

Run stockToPDF.py to generate PDFs of the trend graphs for each stock (change the PATHCSVFOLDER path), default path is ./stock/WEEK, PDFs are saved in the stockToPDF_out folder

Parameters

Default parameters of scripts

MINAZIONI, MAXAZIONI= 10, 14 # min and max number of different stocks that a portfolio can hold
BUDG = 1000000 # initial budget of portfolios (USD$)
BOUND_LOW, BOUND_UP = 0, BUDG # min and max number of equal stock that a portfolio can hold
NDIM = len(stockdf) # portfolio size (number of stock's files)
MAXTIME=24 # maximum csv row to read, the row is the date in the csv
ELITEPARAM=0.3 # elite parameter, e.g. 0.3 selects 30% of the pop

Note: these below are overwritten by the for, if you want to change them, edit them in the evoportfolio.py

MU = 100 # population size, number of individuals in the population.
TOURNPARAM= 0.9 # tournament parameter, e.g. 0.9 selects 90% of the pop
SELPARAM= 0.8 # NSGA-II selection parameter, e.g. 0.8 selects 80% of the pop
CXPB = 0.9 # probability of mating each individual at each generation 
NGEN = 250 # number of generation of nsga2

Default path for input and output, if you want to change them, edit them in the evoportfolio.py and in loadfile.py

# Input - `evoportfolio.py`
PATHCSVFOLDER = "./stock/WEEK/" # path of portfolio stock folder
# Output - `loadfile.py`
PATHLOGBMONFOLDER = "./output/mensile/logbook/" # path where saves monthly `Logb_x` files
PATHGUADMONFOLDER = "./output/mensile/guadagni/" # path where saves monthly `Guad_x` files
PATHLOGBTRIFOLDER = "./output/trimestrale/logbook/" # path where saves monthly `Logb_x` files
PATHGUADTRIFOLDER = "./output/trimestrale/guadagni/" # path where saves trimestral `Guad_x` files