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demo.html #150

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Nov 29, 2024
Merged

demo.html #150

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demo.html
tschm Nov 28, 2024
6093db0
export to html
tschm Nov 29, 2024
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82 changes: 82 additions & 0 deletions marimo/demo.html
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28 changes: 17 additions & 11 deletions marimo/demo.py
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Original file line number Diff line number Diff line change
Expand Up @@ -5,25 +5,37 @@


@app.cell
def __():
def __(__file__):
from pathlib import Path

import cvxpy as cp
import numpy as np
import pandas as pd

import marimo as mo
from cvx.portfolio.min_risk import minrisk_problem
from cvx.risk.sample import SampleCovariance
from cvx.simulator import Builder

pd.options.plotting.backend = "plotly"
return Builder, SampleCovariance, cp, minrisk_problem, mo, np, pd

path = Path(__file__).parent
return (
Builder,
Path,
SampleCovariance,
cp,
minrisk_problem,
np,
path,
pd,
)


@app.cell
def __(pd):
def __(path, pd):
# Load some historic stock prices
prices = pd.read_csv(
"marimo/data/stock_prices.csv", index_col=0, parse_dates=True, header=0
path / "data" / "stock_prices.csv", index_col=0, parse_dates=True, header=0
)

# Estimate a series of historic covariance matrices
Expand Down Expand Up @@ -99,14 +111,8 @@ def __(Builder, cp, minrisk_problem, np, prices, returns, start):

_portfolio = _builder.build()
_portfolio.nav.plot()

return (CVar,)


@app.cell
def __():
return


if __name__ == "__main__":
app.run()
82 changes: 82 additions & 0 deletions marimo/factormodel.html
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@@ -0,0 +1,82 @@
<!DOCTYPE html>
<html lang="en">
<head>
<meta charset="utf-8" />
<link rel="icon" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/favicon.ico" />
<!-- Preload is necessary because we show these images when we disconnect from the server,
but at that point we cannot load these images from the server -->
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/gradient-yHQUC_QB.png" as="image" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/noise-60BoTA8O.png" as="image" />
<!-- Preload the fonts -->
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/Lora-VariableFont_wght-B2ootaw-.ttf" as="font" crossorigin="anonymous" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/PTSans-Regular-CxL0S8W7.ttf" as="font" crossorigin="anonymous" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/PTSans-Bold-D9fedIX3.ttf" as="font" crossorigin="anonymous" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/FiraMono-Regular-BTCkDNvf.ttf" as="font" crossorigin="anonymous" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/FiraMono-Medium-DU3aDxX5.ttf" as="font" crossorigin="anonymous" />
<link rel="preload" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/FiraMono-Bold-CLVRCuM9.ttf" as="font" crossorigin="anonymous" />

<meta name="viewport" content="width=device-width, initial-scale=1" />
<meta name="theme-color" content="#000000" />
<meta name="description" content="a marimo app" />
<link rel="apple-touch-icon" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/apple-touch-icon.png" />
<link rel="manifest" crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/manifest.json" />

<script data-marimo="true">
function __resizeIframe(obj) {
var scrollbarHeight = 20; // Max between windows, mac, and linux

function setHeight() {
var element = obj.contentWindow.document.documentElement;
// If there is no vertical scrollbar, we don't need to resize the iframe
if (element.scrollHeight === element.clientHeight) {
return;
}

// Create a new height that includes the scrollbar height if it's visible
var hasHorizontalScrollbar = element.scrollWidth > element.clientWidth;
var newHeight = element.scrollHeight + (hasHorizontalScrollbar ? scrollbarHeight : 0);

// Only update the height if it's different from the current height
if (obj.style.height !== `${newHeight}px`) {
obj.style.height = `${newHeight}px`;
}
}

// Resize the iframe to the height of the content and bottom scrollbar height
setHeight();

// Resize the iframe when the content changes
const resizeObserver = new ResizeObserver((entries) => {
setHeight();
});
resizeObserver.observe(obj.contentWindow.document.body);
}
</script>
<marimo-filename hidden>factormodel.py</marimo-filename>
<marimo-mode data-mode='read' hidden></marimo-mode>
<marimo-version data-version='0.9.27' hidden></marimo-version>
<marimo-user-config data-config='{"completion": {"activate_on_typing": true, "copilot": false}, "display": {"cell_output": "above", "code_editor_font_size": 14, "dataframes": "rich", "default_width": "medium", "theme": "light"}, "formatting": {"line_length": 79}, "keymap": {"overrides": {}, "preset": "default"}, "package_management": {"manager": "pip"}, "runtime": {"auto_instantiate": true, "auto_reload": "off", "on_cell_change": "autorun"}, "save": {"autosave": "after_delay", "autosave_delay": 1000, "format_on_save": false}, "server": {"browser": "default", "follow_symlink": false}}' hidden></marimo-user-config>
<marimo-app-config data-config='{"width": "medium"}' hidden></marimo-app-config>
<marimo-server-token data-token='static' hidden></marimo-server-token>
<title>factormodel</title>
<script type="module" crossorigin crossorigin="anonymous" src="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/index-DCjU2WIn.js"></script>
<link rel="stylesheet" crossorigin crossorigin="anonymous" href="https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist/assets/index-CwO3Nrt7.css">

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window.__MARIMO_STATIC__.assetUrl = "https://cdn.jsdelivr.net/npm/@marimo-team/frontend@0.9.27/dist";
window.__MARIMO_STATIC__.files = {};
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</head>
<body>
<div id="root"></div>

<marimo-code hidden="">
import%20marimo%0A%0A__generated_with%20%3D%20%220.9.27%22%0Aapp%20%3D%20marimo.App(width%3D%22medium%22)%0A%0A%0A%40app.cell%0Adef%20__(__file__)%3A%0A%20%20%20%20from%20pathlib%20import%20Path%0A%0A%20%20%20%20import%20cvxpy%20as%20cvx%0A%20%20%20%20import%20numpy%20as%20np%0A%20%20%20%20import%20pandas%20as%20pd%0A%0A%20%20%20%20from%20cvx.portfolio.min_risk%20import%20minrisk_problem%0A%20%20%20%20from%20cvx.risk.factor%20import%20FactorModel%0A%20%20%20%20from%20cvx.risk.linalg%20import%20pca%0A%0A%20%20%20%20path%20%3D%20Path(__file__).parent%0A%20%20%20%20return%20FactorModel%2C%20Path%2C%20cvx%2C%20minrisk_problem%2C%20np%2C%20path%2C%20pca%2C%20pd%0A%0A%0A%40app.cell%0Adef%20__(path%2C%20pd)%3A%0A%20%20%20%20%23%20Load%20some%20historic%20stock%20prices%0A%20%20%20%20prices%20%3D%20pd.read_csv(path%20%2F%20%22data%22%20%2F%20%22stock_prices.csv%22%2C%20index_col%3D0%2C%20parse_dates%3DTrue%2C%20header%3D0%0A%20%20%20%20)%0A%0A%20%20%20%20%23%20Estimate%20a%20series%20of%20historic%20covariance%20matrices%0A%20%20%20%20returns%20%3D%20prices.pct_change().dropna(axis%3D0%2C%20how%3D%22all%22)%0A%20%20%20%20return%20prices%2C%20returns%0A%0A%0A%40app.cell%0Adef%20__(pca%2C%20returns)%3A%0A%20%20%20%20factors%20%3D%20pca(returns%3Dreturns%2C%20n_components%3D10)%0A%20%20%20%20return%20(factors%2C)%0A%0A%0A%40app.cell%0Adef%20__(FactorModel%2C%20factors%2C%20np%2C%20returns)%3A%0A%20%20%20%20model%20%3D%20FactorModel(assets%3Dlen(returns.columns)%2C%20k%3D10)%0A%0A%20%20%20%20%23%20update%20the%20model%20parameters%0A%20%20%20%20model.update(%0A%20%20%20%20%20%20%20%20cov%3Dfactors.cov%2C%0A%20%20%20%20%20%20%20%20exposure%3Dfactors.exposure.values%2C%0A%20%20%20%20%20%20%20%20idiosyncratic_risk%3Dfactors.idiosyncratic.std().values%2C%0A%20%20%20%20%20%20%20%20lower_assets%3Dnp.zeros(20)%2C%0A%20%20%20%20%20%20%20%20upper_assets%3Dnp.ones(20)%2C%0A%20%20%20%20%20%20%20%20lower_factors%3D-0.1%20*%20np.ones(10)%2C%0A%20%20%20%20%20%20%20%20upper_factors%3D0.1%20*%20np.ones(10)%2C%0A%20%20%20%20)%0A%0A%20%20%20%20%23%20test%20the%20risk%20model%20with%20uniform%20weights%0A%20%20%20%20weights%20%3D%200.05%20*%20np.ones(20)%0A%20%20%20%20model.estimate(weights).value%0A%20%20%20%20return%20model%2C%20weights%0A%0A%0A%40app.cell%0Adef%20__(cvx%2C%20minrisk_problem%2C%20model%2C%20np%2C%20pd%2C%20prices)%3A%0A%20%20%20%20w%20%3D%20cvx.Variable(20)%0A%20%20%20%20y%20%3D%20cvx.Variable(10)%0A%0A%20%20%20%20problem%20%3D%20minrisk_problem(model%2C%20w%2C%20y%3Dy)%0A%20%20%20%20problem.solve()%0A%0A%20%20%20%20print(pd.Series(data%3Dw.value%2C%20index%3Dprices.columns))%0A%20%20%20%20print(model.estimate(w%2C%20y%3Dy).value)%0A%0A%20%20%20%20%23%20check%20the%20solution%0A%20%20%20%20assert%20np.isclose(w.value.sum()%2C%201.0)%0A%20%20%20%20assert%20np.all(w.value%20%3E%20-0.01)%0A%20%20%20%20print(y.value)%0A%20%20%20%20return%20problem%2C%20w%2C%20y%0A%0A%0Aif%20__name__%20%3D%3D%20%22__main__%22%3A%0A%20%20%20%20app.run()%0A
</marimo-code>

<marimo-code-hash hidden="">14d9984800eb0dd419c1abafe006ff6c87355e372ef9409c8206c6bc35ee9f06</marimo-code-hash>
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19 changes: 10 additions & 9 deletions marimo/factormodel.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,8 @@

@app.cell
def __():
from pathlib import Path

import cvxpy as cvx
import numpy as np
import pandas as pd
Expand All @@ -14,15 +16,19 @@ def __():
from cvx.risk.factor import FactorModel
from cvx.risk.linalg import pca

return FactorModel, cvx, minrisk_problem, np, pca, pd
path = Path(__file__).parent
return FactorModel, cvx, minrisk_problem, np, pca, path, pd


@app.cell
def __(pd):
def __(path, pd):
# Load some historic stock prices
prices = pd.read_csv(
"marimo/data/stock_prices.csv", index_col=0, header=0, parse_dates=True
path / "data" / "stock_prices.csv", index_col=0, parse_dates=True, header=0
)
returns = prices.pct_change().fillna(0.0)

# Estimate a series of historic covariance matrices
returns = prices.pct_change().dropna(axis=0, how="all")
return prices, returns


Expand Down Expand Up @@ -71,10 +77,5 @@ def __(cvx, minrisk_problem, model, np, pd, prices):
return problem, w, y


@app.cell
def __():
return


if __name__ == "__main__":
app.run()
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