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juniorep
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Apr 1, 2026
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Bug Fixes:
create_drawdownsnow correctly handles emptypd.Seriesby returning defaults instead of raising anIndexError.markowitz_weightsnow falls back to an equal-weighted portfolio if all numerical solvers (SCS, ECOS, OSQP) fail to find an optimal solution.Updates:
markowitz_weightsand theoptimized_weightsdispatcher now support amin_voloption for minimum volatility optimization.New Features:
black_litterman_weights) for more sophisticated portfolio optimization incorporating investor views.create_omega_ratio,create_calmar_ratio, andcreate_tail_ratioto the performance metrics suite.calculate_risk_metricsto provide Alpha, Beta, and Volatility relative to a benchmark.Testing:
tests/models/test_optimization.pyandtests/btengine/test_performance.pycover all new logic and verified the bug fixes.