Fix + improve efficient frontier (#1190)

2026-11-04 08:22:26 +00:00 · 2022-01-15 11:02:59 -05:00
parent 7412d2b61a
commit a3255b96a0
3 changed files with 50 additions and 43 deletions
--- a/gamestonk_terminal/portfolio/portfolio_optimization/optimizer_view.py
+++ b/gamestonk_terminal/portfolio/portfolio_optimization/optimizer_view.py
@@ -1,11 +1,11 @@
 """Optimization View"""
 __docformat__ = "numpy"

+import copy
 import math
 from typing import List

 import matplotlib.pyplot as plt
-
 from matplotlib.lines import Line2D
 import numpy as np
 import pandas as pd
@@ -342,13 +342,20 @@ def display_ef(
    ef, rets, stds = optimizer_model.generate_random_portfolios(
        stocks, period, n_portfolios
    )
+    # The ef needs to be deep-copied to avoid error in plotting sharpe
+    ef2 = copy.deepcopy(ef)
+
    sharpes = rets / stds
    ax.scatter(stds, rets, marker=".", c=sharpes, cmap="viridis_r")
+    for ticker, ret, std in zip(
+        ef.tickers, ef.expected_returns, np.sqrt(np.diag(ef.cov_matrix))
+    ):
+        ax.annotate(ticker, (std * 1.01, ret))
    plotting.plot_efficient_frontier(ef, ax=ax, show_assets=True)
    # Find the tangency portfolio
    rfrate = get_rf()
-    ef.max_sharpe(risk_free_rate=rfrate)
-    ret_sharpe, std_sharpe, _ = ef.portfolio_performance(
+    ef2.max_sharpe(risk_free_rate=rfrate)
+    ret_sharpe, std_sharpe, _ = ef2.portfolio_performance(
        verbose=True, risk_free_rate=rfrate
    )
    ax.scatter(std_sharpe, ret_sharpe, marker="*", s=100, c="r", label="Max Sharpe")
--- a/gamestonk_terminal/portfolio/portfolio_optimization/po_controller.py
+++ b/gamestonk_terminal/portfolio/portfolio_optimization/po_controller.py
@@ -374,7 +374,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
@@ -430,7 +430,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
@@ -476,7 +476,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
@@ -547,7 +547,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
@@ -621,7 +621,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
@@ -695,7 +695,7 @@ class PortfolioOptimization(BaseController):
        parser.add_argument(
            "-p",
            "--period",
-            default="3mo",
+            default="1y",
            dest="period",
            help="period to get yfinance data from",
            choices=self.period_choices,
--- a/requirements.txt
+++ b/requirements.txt
@@ -2,13 +2,13 @@ aiohttp==3.7.4.post0; python_version >= "3.6"
 alabaster==0.7.12; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.6"
 alpha-vantage==2.3.1
 ansiwrap==0.8.4; python_version >= "3.6"
-anyio==3.4.0; python_full_version >= "3.6.2" and python_version >= "3.6"
+anyio==3.5.0; python_full_version >= "3.6.2" and python_version >= "3.7"
 appdirs==1.4.4; python_full_version >= "3.6.2" and python_version >= "3.6"
 appnope==0.1.2; platform_system == "Darwin" and python_version >= "3.7" and sys_platform == "darwin"
-argon2-cffi-bindings==21.2.0; python_version >= "3.6"
-argon2-cffi==21.3.0; python_version >= "3.6"
+argon2-cffi-bindings==21.2.0; python_version >= "3.7"
+argon2-cffi==21.3.0; python_version >= "3.7"
 async-timeout==3.0.1; python_full_version >= "3.5.3" and python_version >= "3.6"
-attrs==21.4.0; python_full_version >= "3.6.1" and python_version >= "3.6"
+attrs==21.4.0; python_full_version >= "3.7.0" and python_version >= "3.6"
 babel==2.9.1; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.6" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.6")
 backcall==0.2.0; python_version >= "3.7"
 backports.zoneinfo==0.2.1; python_version < "3.9" and python_version >= "3.6" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.6")
@@ -19,7 +19,7 @@ bleach==4.1.0; python_version >= "3.7"
 bs4==0.0.1
 bt==0.2.9; (python_version >= "2.7" and python_full_version < "3.0.0") or (python_full_version >= "3.6.0")
 certifi==2021.10.8; python_full_version >= "3.7.1" and python_version >= "3.6" and python_full_version < "4.0.0" and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0") and (python_version >= "3.8" and python_full_version < "3.0.0" and python_version < "4.0" or python_version >= "3.8" and python_version < "4.0" and python_full_version >= "3.6.0") and (python_version >= "3" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3")
-cffi==1.15.0; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.6.1"
+cffi==1.15.0; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.7.0"
 chardet==4.0.0; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" and python_version >= "3.6"
 charset-normalizer==2.0.10; python_full_version >= "3.7.1" and python_version >= "3.6" and python_full_version < "4.0.0" and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0") and (python_version >= "3.8" and python_full_version < "3.0.0" and python_version < "4.0" or python_version >= "3.8" and python_version < "4.0" and python_full_version >= "3.6.0") and (python_version >= "3" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3")
 click==8.0.3; python_full_version >= "3.6.2" and python_version >= "3.6"
@@ -42,7 +42,7 @@ detecta==0.0.5; python_version >= "3.6"
 dnspython==2.1.0; python_version >= "3.6"
 docutils==0.16; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.6"
 ecos==2.0.10; python_full_version >= "3.6.1" and python_full_version < "4.0.0" and python_version >= "3.6"
-entrypoints==0.3; python_full_version >= "3.6.1" and python_version >= "3.7"
+entrypoints==0.3; python_full_version >= "3.7.0" and python_version >= "3.7"
 et-xmlfile==1.1.0; python_version >= "3.6"
 fear-greed-index==0.1.3; python_full_version >= "3.6.8" and python_full_version < "4.0.0"
 ffn==0.3.6; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0"
@@ -56,17 +56,17 @@ frozendict==2.1.3; python_version >= "3.6"
 fundamentalanalysis==0.2.12
 future==0.18.2; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0"
 gitdb==4.0.9; python_version >= "3.7"
-gitpython==3.1.25; python_version >= "3.7"
+gitpython==3.1.26; python_version >= "3.7"
 grpcio==1.43.0; python_full_version >= "3.7.1" and python_full_version < "4.0.0" and python_version >= "3.6"
 hijri-converter==2.2.2; python_version >= "3.6"
 holidays==0.11.3.1; python_version >= "3.6"
-idna==3.3; python_full_version >= "3.7.1" and python_version >= "3.6" and python_full_version < "4.0.0" and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0") and (python_version >= "3.8" and python_full_version < "3.0.0" and python_version < "4.0" or python_version >= "3.8" and python_version < "4.0" and python_full_version >= "3.6.0") and (python_version >= "3" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3")
+idna==3.3; python_full_version >= "3.7.1" and python_version >= "3.7" and python_full_version < "4.0.0" and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0") and (python_version >= "3.8" and python_full_version < "3.0.0" and python_version < "4.0" or python_version >= "3.8" and python_version < "4.0" and python_full_version >= "3.6.0") and (python_version >= "3" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3")
 imagesize==1.3.0; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.6"
 inflection==0.5.1; python_version >= "3.6"
 investpy==1.0.7; python_version >= "3"
-ipykernel==6.6.1; python_version >= "3.7"
+ipykernel==6.7.0; python_version >= "3.7"
 ipympl==0.8.5
-ipython-genutils==0.2.0; python_full_version >= "3.6.1" and python_version >= "3.6"
+ipython-genutils==0.2.0; python_full_version >= "3.7.0" and python_version >= "3.7"
 ipython==7.31.0; python_version >= "3.7"
 ipywidgets==7.6.5
 iso8601==0.1.16
@@ -75,15 +75,15 @@ jinja2==3.0.3; python_full_version >= "3.6.8" and python_full_version < "4.0.0"
 joblib==1.1.0; python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.7"
 json5==0.9.6; python_version >= "3.6"
 jsonschema==3.2.0
-jupyter-client==7.1.0; python_full_version >= "3.6.1" and python_version >= "3.7"
+jupyter-client==7.1.1; python_full_version >= "3.7.0" and python_version >= "3.7"
 jupyter-console==6.4.0; python_version >= "3.6"
-jupyter-core==4.9.1; python_full_version >= "3.6.1" and python_version >= "3.7"
-jupyter-server==1.13.1; python_version >= "3.6"
+jupyter-core==4.9.1; python_full_version >= "3.7.0" and python_version >= "3.7"
+jupyter-server==1.13.3; python_version >= "3.7"
 jupyter==1.0.0
 jupyterlab-pygments==0.1.2; python_version >= "3.7"
 jupyterlab-server==2.10.3; python_version >= "3.6"
 jupyterlab-widgets==1.0.2; python_version >= "3.6"
-jupyterlab==3.2.6; python_version >= "3.6"
+jupyterlab==3.2.8; python_version >= "3.6"
 kiwisolver==1.3.2; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.7"
 korean-lunar-calendar==0.2.1; python_version >= "3.6"
 lxml==4.7.1; python_full_version >= "3.6.8" and python_version >= "3.5" and python_full_version < "4.0.0" and (python_version >= "3" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" and python_version >= "3") and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.6")
@@ -98,12 +98,12 @@ multidict==5.2.0; python_version >= "3.6"
 multitasking==0.0.10
 mypy-extensions==0.4.3; python_full_version >= "3.6.2" and python_version >= "3.6"
 mypy==0.930; python_version >= "3.6"
-nbclassic==0.3.4; python_version >= "3.6"
-nbclient==0.5.9; python_full_version >= "3.6.1" and python_version >= "3.7"
+nbclassic==0.3.5; python_version >= "3.6"
+nbclient==0.5.10; python_full_version >= "3.7.0" and python_version >= "3.7"
 nbconvert==6.4.0; python_version >= "3.7"
-nbformat==5.1.3; python_full_version >= "3.6.1" and python_version >= "3.7"
-nest-asyncio==1.5.4; python_full_version >= "3.6.1" and python_version >= "3.7"
-notebook==6.4.6; python_version >= "3.6"
+nbformat==5.1.3; python_full_version >= "3.7.0" and python_version >= "3.7"
+nest-asyncio==1.5.4; python_full_version >= "3.7.0" and python_version >= "3.7"
+notebook==6.4.7; python_version >= "3.6"
 numpy==1.21.2; python_version >= "3.7" and python_version < "3.11"
 oandapyv20==0.6.3
 oauthlib==3.1.1; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.6"
@@ -126,15 +126,15 @@ plotly==5.5.0; python_version >= "3.6"
 pmdarima==1.8.4; python_version >= "3.6"
 praw==7.5.0; python_version >= "3.6" and python_version < "4.0"
 prawcore==2.3.0; python_version >= "3.6" and python_version < "4.0"
-prometheus-client==0.12.0; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.6"
+prometheus-client==0.12.0; python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.7"
 prompt-toolkit==3.0.24; python_full_version >= "3.6.2"
-protobuf==3.19.1; python_full_version >= "3.7.1" and python_full_version < "4.0.0" and python_version >= "3.5"
+protobuf==3.19.3; python_full_version >= "3.7.1" and python_full_version < "4.0.0" and python_version >= "3.5"
 psaw==0.0.12; python_version >= "3"
 ptyprocess==0.7.0; os_name != "nt" and python_version >= "3.7" and sys_platform != "win32"
-py==1.11.0; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.6.1"
+py==1.11.0; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.7.0"
 pyally==1.1.2
 pycoingecko==2.2.0
-pycparser==2.21; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.6.1"
+pycparser==2.21; implementation_name == "pypy" and python_version >= "3.7" and python_full_version >= "3.7.0"
 pyex==0.5.0
 pygments==2.11.2; python_version >= "3.5"
 pymeeus==0.5.11; python_version >= "3.6"
@@ -145,7 +145,7 @@ pyotp==2.6.0; python_version >= "3"
 pyparsing==3.0.6; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.7"
 pyportfolioopt==1.5.1; python_full_version >= "3.6.1" and python_full_version < "4.0.0"
 pyprind==2.11.3; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0"
-pyrsistent==0.18.0; python_version >= "3.6"
+pyrsistent==0.18.1; python_version >= "3.7"
 python-binance==1.0.15
 python-coinmarketcap==0.2
 python-dateutil==2.8.2; python_full_version >= "3.7.1" and python_version >= "3.7" and python_full_version < "4.0.0" and (python_version >= "3.5" and python_full_version < "3.0.0" or python_full_version >= "3.3.0" and python_version >= "3.5")
@@ -153,10 +153,10 @@ python-dotenv==0.19.2; python_version >= "3.5"
 pytrends==4.7.3
 pytz-deprecation-shim==0.1.0.post0; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.6"
 pytz==2021.3; python_full_version >= "3.7.1" and python_version >= "3.6" and python_full_version < "4.0.0" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.6")
-pywin32==303; sys_platform == "win32" and platform_python_implementation != "PyPy" and python_version >= "3.7" and python_full_version >= "3.6.1"
-pywinpty==1.1.6; os_name == "nt" and python_version >= "3.6"
+pywin32==303; sys_platform == "win32" and platform_python_implementation != "PyPy" and python_version >= "3.7" and python_full_version >= "3.7.0"
+pywinpty==1.1.6; os_name == "nt" and python_version >= "3.7"
 pyyaml==6.0; python_version >= "3.6"
-pyzmq==22.3.0; python_full_version >= "3.6.1" and python_version >= "3.7"
+pyzmq==22.3.0; python_full_version >= "3.7.0" and python_version >= "3.7"
 qdldl==0.1.5.post0; python_full_version >= "3.6.1" and python_full_version < "4.0.0" and python_version >= "3.6"
 qtconsole==5.2.2; python_version >= "3.6"
 qtpy==2.0.0; python_version >= "3.6"
@@ -171,15 +171,15 @@ robin-stocks==2.1.0; python_version >= "3"
 scikit-learn==1.0.2; python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.7"
 scipy==1.7.3; python_version >= "3.7" and python_version < "3.11" and python_full_version >= "3.6.1" and python_full_version < "4.0.0" and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0") and (python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.7")
 screeninfo==0.6.7
-scs==3.0.1; python_full_version >= "3.6.1" and python_full_version < "4.0.0" and python_version >= "3.6"
+scs==3.1.0; python_full_version >= "3.6.1" and python_full_version < "4.0.0" and python_version >= "3.6"
 seaborn==0.11.2; python_version >= "3.6"
 selenium==3.141.0
-send2trash==1.8.0; python_version >= "3.6"
+send2trash==1.8.0; python_version >= "3.7"
 sentiment-investor==2.1.0; python_version >= "3.8" and python_version < "4.0"
 setuptools-scm==6.3.2; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.7"
 six==1.16.0; python_full_version >= "3.7.1" and python_version >= "3.7" and python_full_version < "4.0.0" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.3.0" and python_version >= "3.6") and (python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.3.0") and (python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.3.0" and python_version >= "3.7")
 smmap==5.0.0; python_version >= "3.7"
-sniffio==1.2.0; python_full_version >= "3.6.2" and python_version >= "3.6"
+sniffio==1.2.0; python_full_version >= "3.6.2" and python_version >= "3.7"
 snowballstemmer==2.2.0; python_full_version >= "3.6.8" and python_full_version < "4.0.0" and python_version >= "3.6"
 socketio-client-nexus==0.7.6
 soupsieve==2.3.1; python_version >= "3.6" and python_full_version > "3.0.0"
@@ -196,16 +196,16 @@ statsmodels==0.12.2; python_version >= "3.6"
 tabulate==0.8.9
 temporal-cache==0.1.4
 tenacity==8.0.1; python_version >= "3.6"
-terminado==0.12.1; python_version >= "3.6"
+terminado==0.12.1; python_version >= "3.7"
 testpath==0.5.0; python_version >= "3.7"
 textwrap3==0.9.2; python_version >= "3.6"
 thepassiveinvestor==1.0.10
 threadpoolctl==3.0.0; python_version >= "3.7" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.7"
 tomli==1.2.3; python_full_version >= "3.6.2" and python_version >= "3.7"
-tornado==6.1; python_full_version >= "3.6.1" and python_version >= "3.7"
+tornado==6.1; python_full_version >= "3.7.0" and python_version >= "3.7"
 tqdm==4.62.3; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.4.0" and python_version >= "3.6"
 tradingview-ta==3.2.10; python_version >= "3.6"
-traitlets==5.1.1; python_full_version >= "3.6.1" and python_version >= "3.7"
+traitlets==5.1.1; python_full_version >= "3.7.0" and python_version >= "3.7"
 typing-extensions==4.0.1; python_version >= "3.6"
 tzdata==2021.5; platform_system == "Windows" and python_version >= "3.6" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.6.0" and python_version >= "3.6")
 tzlocal==4.1; python_version >= "3.6"
@@ -224,5 +224,5 @@ websockets==9.1; python_full_version >= "3.6.1" and python_version >= "3.6"
 widgetsnbextension==3.5.2
 wrapt==1.13.3; python_full_version >= "3.7.1" and python_full_version < "4.0.0"
 yarl==1.7.2; python_version >= "3.6"
-yfinance==0.1.68
+yfinance==0.1.69
 zope.interface==5.4.0; python_version >= "3.5" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" and python_version >= "3.5"