The Jupyter nodebook must be run under python 3.10. Type the below commands in the Terminal to to create and activate a conda environment.
conda create -n py310 python=3.10 anaconda
activate py310 #if on Windows
source activate py310 #if on Linux or MacOS
After that, run the main notebook SmartBeta_withMomentum.ipynb using the above local environment.
1. Load the provided synthetic data
2. Apply an initial selection filter to choose assets
3. Create a market-weighted index benchmark
4. Optimize the manager's ETF portfolio
5. Calculate a rebalancer for the portfolio
6. Evaluate performance using variety of metrics
Data table inclues 100 tokens for dates ranging from 31/12/2020 to 26/09/2023.
Columns include: date, ticker, adj_close, adj_volume, and adj_market_cap
The underlying data contains highly volatile data with some assets falling toward near zero.
See 'Fyde Algothon Intructions' for further information.