Weights Generation#
!pip install mlfinlab
!pip install yfinance
# See https://plotly.com/python/static-image-export/
!wget https://github.com/plotly/orca/releases/download/v1.2.1/orca-1.2.1-x86_64.AppImage -O /usr/local/bin/orca
!chmod +x /usr/local/bin/orca
!apt-get install xvfb libgtk2.0-0 libgconf-2-4
ERROR: Could not find a version that satisfies the requirement mlfinlab (from versions: none)
ERROR: No matching distribution found for mlfinlab
Requirement already satisfied: yfinance in /opt/hostedtoolcache/Python/3.10.15/x64/lib/python3.10/site-packages (0.2.44)
Requirement already satisfied: pandas>=1.3.0 in /opt/hostedtoolcache/Python/3.10.15/x64/lib/python3.10/site-packages (from yfinance) (2.2.3)
Requirement already satisfied: numpy>=1.16.5 in /opt/hostedtoolcache/Python/3.10.15/x64/lib/python3.10/site-packages (from yfinance) (2.1.1)
Requirement already satisfied: requests>=2.31 in /opt/hostedtoolcache/Python/3.10.15/x64/lib/python3.10/site-packages (from yfinance) (2.32.3)
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Requirement already satisfied: certifi>=2017.4.17 in /opt/hostedtoolcache/Python/3.10.15/x64/lib/python3.10/site-packages (from requests>=2.31->yfinance) (2024.8.30)
--2024-10-02 01:16:38-- https://github.com/plotly/orca/releases/download/v1.2.1/orca-1.2.1-x86_64.AppImage
Resolving github.com (github.com)... 140.82.116.3
Connecting to github.com (github.com)|140.82.116.3|:443...
connected.
HTTP request sent, awaiting response...
302 Found
Location: https://objects.githubusercontent.com/github-production-release-asset-2e65be/99037241/9dc3a580-286a-11e9-8a21-4312b7c8a512?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=releaseassetproduction%2F20241002%2Fus-east-1%2Fs3%2Faws4_request&X-Amz-Date=20241002T011638Z&X-Amz-Expires=300&X-Amz-Signature=5a5d61eb48d7c7eb5fe36b1eb52c3574706605dc296b723959942a7de46f23c6&X-Amz-SignedHeaders=host&response-content-disposition=attachment%3B%20filename%3Dorca-1.2.1-x86_64.AppImage&response-content-type=application%2Foctet-stream [following]
--2024-10-02 01:16:38-- https://objects.githubusercontent.com/github-production-release-asset-2e65be/99037241/9dc3a580-286a-11e9-8a21-4312b7c8a512?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=releaseassetproduction%2F20241002%2Fus-east-1%2Fs3%2Faws4_request&X-Amz-Date=20241002T011638Z&X-Amz-Expires=300&X-Amz-Signature=5a5d61eb48d7c7eb5fe36b1eb52c3574706605dc296b723959942a7de46f23c6&X-Amz-SignedHeaders=host&response-content-disposition=attachment%3B%20filename%3Dorca-1.2.1-x86_64.AppImage&response-content-type=application%2Foctet-stream
Resolving objects.githubusercontent.com (objects.githubusercontent.com)... 185.199.108.133, 185.199.109.133, 185.199.110.133, ...
Connecting to objects.githubusercontent.com (objects.githubusercontent.com)|185.199.108.133|:443... connected.
HTTP request sent, awaiting response...
200 OK
Length: 51607939 (49M) [application/octet-stream]
Saving to: ‘/usr/local/bin/orca’
/usr/local/bin/orca 0%[ ] 0 --.-KB/s
/usr/local/bin/orca 40%[=======> ] 20.02M 77.0MB/s
/usr/local/bin/orca 81%[===============> ] 40.02M 76.0MB/s
/usr/local/bin/orca 100%[===================>] 49.22M 89.1MB/s in 0.6s
2024-10-02 01:16:39 (89.1 MB/s) - ‘/usr/local/bin/orca’ saved [51607939/51607939]
E: Could not open lock file /var/lib/dpkg/lock-frontend - open (13: Permission denied)
E: Unable to acquire the dpkg frontend lock (/var/lib/dpkg/lock-frontend), are you root?
import yfinance as yf
import pandas as pd
from mlfinlab.portfolio_optimization.mean_variance import MeanVarianceOptimisation
def get_prices(stocks, start_date="2019-03-01", end_date="2020-05-30"):
stocks_string = " ".join(stocks)
data = yf.download(stocks_string, start=start_date, end=end_date,
group_by="ticker")
data = data.fillna(method='ffill')
# Drop columns with no entries
data = data.dropna(axis='columns', how='all')
prices_df = pd.concat([data[ticker]["Close"] for ticker in stocks], axis=1)
prices_df.columns = stocks
return prices_df
stocks = ["NEXCF", "ACB.TO", "BB.TO", "N.V", "APHA.TO", "TTT.CN", "HUT.TO", "HIVE.V", "AC.TO", "CVE.TO"]
asset_prices = get_prices(stocks)
# Compute IVP weights
mvo = MeanVarianceOptimisation()
mvo.allocate(asset_names=asset_prices.columns, asset_prices=asset_prices,
solution='max_sharpe')
ivp_weights = mvo.weights.sort_values(by=0, ascending=False, axis=1)
with pd.option_context('display.max_rows', None, 'display.max_columns', None):
print(ivp_weights)
---------------------------------------------------------------------------
ModuleNotFoundError Traceback (most recent call last)
Cell In[2], line 3
1 import yfinance as yf
2 import pandas as pd
----> 3 from mlfinlab.portfolio_optimization.mean_variance import MeanVarianceOptimisation
5 def get_prices(stocks, start_date="2019-03-01", end_date="2020-05-30"):
6 stocks_string = " ".join(stocks)
ModuleNotFoundError: No module named 'mlfinlab'