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updates and new features#186

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juniorep merged 4 commits into
mainfrom
bbs-dev
Apr 1, 2026
Merged

updates and new features#186
juniorep merged 4 commits into
mainfrom
bbs-dev

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@bbalouki

@bbalouki bbalouki commented Apr 1, 2026

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Bug Fixes:

  • create_drawdowns now correctly handles empty pd.Series by returning defaults instead of raising an IndexError.
  • markowitz_weights now falls back to an equal-weighted portfolio if all numerical solvers (SCS, ECOS, OSQP) fail to find an optimal solution.

Updates:

  • markowitz_weights and the optimized_weights dispatcher now support a min_vol option for minimum volatility optimization.

New Features:

  • Added the Black-Litterman model (black_litterman_weights) for more sophisticated portfolio optimization incorporating investor views.
  • Added create_omega_ratio, create_calmar_ratio, and create_tail_ratio to the performance metrics suite.
  • Added calculate_risk_metrics to provide Alpha, Beta, and Volatility relative to a benchmark.

Testing:

  • New tests in tests/models/test_optimization.py and tests/btengine/test_performance.py cover all new logic and verified the bug fixes.
  • Existing tests for events and data were verified to pass.

@bbalouki bbalouki requested a review from juniorep April 1, 2026 01:44
@juniorep juniorep merged commit 3178e2d into main Apr 1, 2026
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@juniorep juniorep deleted the bbs-dev branch April 1, 2026 01:48
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2 participants