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.
Browse files
global_func/volatility_preset.py
CHANGED
@@ -16,7 +16,7 @@ def volatility_preset(portfolio: pd.DataFrame, lineup_target: int, exclude_cols:
|
|
16 |
curr_own_type_max = working_portfolio.loc[0, 'median'] + (slack_var / 20 * working_portfolio.loc[0, 'median'])
|
17 |
|
18 |
for i in range(1, len(working_portfolio)):
|
19 |
-
if working_portfolio.loc[i, 'median']
|
20 |
rows_to_drop.append(i)
|
21 |
else:
|
22 |
curr_own_type_max = working_portfolio.loc[i, 'median'] + (slack_var / 20 * working_portfolio.loc[i, 'median'])
|
|
|
16 |
curr_own_type_max = working_portfolio.loc[0, 'median'] + (slack_var / 20 * working_portfolio.loc[0, 'median'])
|
17 |
|
18 |
for i in range(1, len(working_portfolio)):
|
19 |
+
if working_portfolio.loc[i, 'median'] > curr_own_type_max:
|
20 |
rows_to_drop.append(i)
|
21 |
else:
|
22 |
curr_own_type_max = working_portfolio.loc[i, 'median'] + (slack_var / 20 * working_portfolio.loc[i, 'median'])
|