James McCool commited on
Commit
161be26
·
1 Parent(s): cc0edce

Fix condition in volatility_preset function to correctly identify rows to drop based on median values. This change ensures accurate lineup adjustments by comparing current ownership type maximums with median values.

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Files changed (1) hide show
  1. global_func/volatility_preset.py +1 -1
global_func/volatility_preset.py CHANGED
@@ -16,7 +16,7 @@ def volatility_preset(portfolio: pd.DataFrame, lineup_target: int, exclude_cols:
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  curr_own_type_max = working_portfolio.loc[0, 'median'] + (slack_var / 20 * working_portfolio.loc[0, 'median'])
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  for i in range(1, len(working_portfolio)):
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- if working_portfolio.loc[i, 'median'] < curr_own_type_max:
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  rows_to_drop.append(i)
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  else:
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  curr_own_type_max = working_portfolio.loc[i, 'median'] + (slack_var / 20 * working_portfolio.loc[i, 'median'])
 
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  curr_own_type_max = working_portfolio.loc[0, 'median'] + (slack_var / 20 * working_portfolio.loc[0, 'median'])
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  for i in range(1, len(working_portfolio)):
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+ if working_portfolio.loc[i, 'median'] > curr_own_type_max:
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  rows_to_drop.append(i)
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  else:
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  curr_own_type_max = working_portfolio.loc[i, 'median'] + (slack_var / 20 * working_portfolio.loc[i, 'median'])