diff --git a/gamestonk_terminal/portfolio_optimization/port_opt_api.py b/gamestonk_terminal/portfolio_optimization/port_opt_api.py index 7c7e8d9f3d4..97c62979e70 100644 --- a/gamestonk_terminal/portfolio_optimization/port_opt_api.py +++ b/gamestonk_terminal/portfolio_optimization/port_opt_api.py @@ -4,6 +4,9 @@ __docformat__ = "numpy" import argparse from typing import List import yfinance as yf +from pypfopt.efficient_frontier import EfficientFrontier +from pypfopt import risk_models +from pypfopt import expected_returns def equal_weight(list_of_stocks:List[str], other_args:List[str]): """ diff --git a/gamestonk_terminal/portfolio_optimization/port_optimization_controller.py b/gamestonk_terminal/portfolio_optimization/port_optimization_controller.py index 18523068090..ef7c2d1a128 100644 --- a/gamestonk_terminal/portfolio_optimization/port_optimization_controller.py +++ b/gamestonk_terminal/portfolio_optimization/port_optimization_controller.py @@ -60,9 +60,12 @@ class PortfolioOptimization: print(" select overwrite current tickers with new tickers") print("") print("Optimization:") - print(" equal_weight equally weighted portfolio") - print(" mkt_cap marketcap weighted portfolio") print("") + print(" Property weighted:") + print(" equal_weight equally weighted portfolio") + print(" mkt_cap marketcap weighted portfolio") + print(" Mean Variance Optimization") + print(" max_sharpe portfolio with maximum sharpe ratio") def switch(self, an_input: str): diff --git a/poetry.lock b/poetry.lock index b20746d369b..5cbefaf1f5d 100644 --- a/poetry.lock +++ b/poetry.lock @@ -379,6 +379,21 @@ category = "main" optional = false python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" +[[package]] +name = "cvxpy" +version = "1.1.12" +description = "A domain-specific language for modeling convex optimization problems in Python." +category = "main" +optional = false +python-versions = ">=3.5" + +[package.dependencies] +ecos = ">=2" +numpy = ">=1.15" +osqp = ">=0.4.1" +scipy = ">=1.1.0" +scs = ">=1.1.6" + [[package]] name = "cycler" version = "0.10.0" @@ -456,6 +471,18 @@ category = "main" optional = false python-versions = ">=3.6" +[[package]] +name = "ecos" +version = "2.0.7.post1" +description = "This is the Python package for ECOS: Embedded Cone Solver. 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"sha256:1c4bac1ca329da3f68cbc4d2fbc92256aa9bb8ff8583ee3e14f91f0a7baa69cb"}, ] +scs = [ + {file = "scs-2.1.2.tar.gz", hash = "sha256:667ed6019bb4e2f925bd9291161d2c61cc0077443094437b703ea905333fd585"}, +] seaborn = [ {file = "seaborn-0.11.1-py3-none-any.whl", hash = "sha256:4e1cce9489449a1c6ff3c567f2113cdb41122f727e27a984950d004a88ef3c5c"}, {file = "seaborn-0.11.1.tar.gz", hash = "sha256:44e78eaed937c5a87fc7a892c329a7cc091060b67ebd1d0d306b446a74ba01ad"}, diff --git a/pyproject.toml b/pyproject.toml index 5895d2c9dd0..1082086197e 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -54,6 +54,7 @@ detecta = "^0.0.5" tradingview-ta = "^3.2.3" finvizfinance = "^0.9.3" Pillow = "^8.2.0" +pyportfolioopt = "^1.4.1" [tool.poetry.dev-dependencies] pytest = "^6.2.2" diff --git a/requirements-full.txt b/requirements-full.txt index 2bdd5e071dc..1c51e43294a 100644 --- a/requirements-full.txt +++ b/requirements-full.txt @@ -133,6 +133,7 @@ pycparser==2.20; python_version >= "3.5" and python_full_version < "3.0.0" or py pygments==2.8.1; python_version >= "3.6" pymeeus==0.5.9; python_version >= "3.5" pyparsing==2.4.7; python_full_version >= "3.6.0" and python_version >= "3.6" and (python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.3.0" and python_version >= "3.6") +pyportfolioopt==1.4.1 pyrsistent==0.17.3; python_version >= "3.6" pysocks==1.7.1; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" pystan==2.19.1.1 diff --git a/requirements-old.txt b/requirements-old.txt index f06595a2ee6..3a4b6bb05c4 100644 --- a/requirements-old.txt +++ b/requirements-old.txt @@ -90,6 +90,7 @@ pyasn1==0.4.8; python_version >= "3.5" and python_full_version < "3.0.0" and pyt pycoingecko==1.4.0 pymeeus==0.4.3; python_version >= "3.5" pyparsing==2.4.7; python_full_version >= "3.6.0" and python_version >= "3.6" +pyportfolioopt==1.4.1 pysocks==1.7.1; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" pystan==2.18 python-dateutil==2.8.1; python_full_version >= "3.6.1" and python_version >= "3.5" 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 >= "2.7" and python_full_version < "3.0.0" and python_version < "4" or python_version >= "2.7" and python_version < "4" and python_full_version >= "3.3.0") diff --git a/requirements-win.txt b/requirements-win.txt index a5198652fef..560a2508261 100644 --- a/requirements-win.txt +++ b/requirements-win.txt @@ -92,6 +92,7 @@ pyasn1==0.4.8; python_version >= "3.5" and python_full_version < "3.0.0" and pyt pycoingecko==1.4.0 pymeeus==0.4.3; python_version >= "3.5" pyparsing==2.4.7; python_full_version >= "3.6.0" and python_version >= "3.6" +pyportfolioopt==1.4.1 pysocks==1.7.1; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" pystan==2.19.1.1 python-dateutil==2.8.1; python_full_version >= "3.6.1" and python_version >= "3.5" 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 >= "2.7" and python_full_version < "3.0.0" and python_version < "4" or python_version >= "2.7" and python_version < "4" and python_full_version >= "3.3.0") diff --git a/requirements.txt b/requirements.txt index b89711f769c..4f4ba01310a 100644 --- a/requirements.txt +++ b/requirements.txt @@ -92,6 +92,7 @@ pycparser==2.20; python_version >= "3.5" and python_full_version < "3.0.0" or py pygments==2.8.1; python_version >= "3.6" pymeeus==0.5.9; python_version >= "3.5" pyparsing==2.4.7; python_version >= "3.6" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" and python_version >= "3.6" +pyportfolioopt==1.4.1 pyrsistent==0.17.3; python_version >= "3.6" pysocks==1.7.1; python_version >= "2.7" and python_full_version < "3.0.0" or python_full_version >= "3.5.0" python-dateutil==2.8.1; python_full_version >= "3.6.1" and python_version >= "3.6" 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")