rkohli3 / tsmom Goto Github PK

Hello,

Thank you for amazing work.. I am relativley new to quant python and trying to learn following along your work.
You are missing some data files that are used in this program like spy 1985 csv.

Would you be so kind including all data files or instructions how to generate them?
Thabks

Hello,
Thank you so much for this amazing code.
I was trying to apply it and I came up with an issue I am having a hard time to solve. When I try to run

unlevered = get_tsmom_port(mnth_vol, mnth_cum)

I get this error:
TypeError Traceback (most recent call last)
/tmp/ipykernel_1372/2551585938.py in
----> 1 unlevered = get_tsmom_port(mnth_vol, mnth_cum)

~/code/mdayoub493/grimper/notebooks/trading_strategies/TSMOM/tsmom.py in get_tsmom_port(mnth_vol, mnth_cum, flag, scale, lookback)
666
667 def get_tsmom_port(mnth_vol, mnth_cum, flag = False, scale = 0.2, lookback = 12):
--> 668 port_long, port_short, leverage = get_tsmom(mnth_vol,
669 mnth_cum,
670 flag = flag,

~/code/mdayoub493/grimper/notebooks/trading_strategies/TSMOM/tsmom.py in get_tsmom(mnth_vol, mnth_cum, flag, scale, lookback)
645 def get_tsmom(mnth_vol, mnth_cum, flag = False, scale = 0.20, lookback = 12):
646 total = mnth_cum.apply(lambda x: tsmom(x, mnth_vol, mnth_cum, scale = scale, vol_flag= flag, lookback= lookback))
--> 647 pnl_long = pd.concat([i[0] for i in total], axis = 1, ignore_index=True)
648 pnl_short = pd.concat([i[1] for i in total], axis = 1, ignore_index=True)
649 lev = pd.concat([i[2] for i in total], axis = 1, ignore_index=True)

~/.pyenv/versions/3.8.12/envs/lewagon/lib/python3.8/site-packages/pandas/util/_decorators.py in wrapper(*args, **kwargs)
309 stacklevel=stacklevel,
310 )
--> 311 return func(*args, **kwargs)
312
313 return wrapper

~/.pyenv/versions/3.8.12/envs/lewagon/lib/python3.8/site-packages/pandas/core/reshape/concat.py in concat(objs, axis, join, ignore_index, keys, levels, names, verify_integrity, sort, copy)
292 ValueError: Indexes have overlapping values: ['a']
293 """
--> 294 op = _Concatenator(
295 objs,
296 axis=axis,

~/.pyenv/versions/3.8.12/envs/lewagon/lib/python3.8/site-packages/pandas/core/reshape/concat.py in init(self, objs, axis, join, keys, levels, names, ignore_index, verify_integrity, copy, sort)
382 "only Series and DataFrame objs are valid"
383 )
--> 384 raise TypeError(msg)
385
386 ndims.add(obj.ndim)

TypeError: cannot concatenate object of type '<class 'str'>'; only Series and DataFrame objs are valid

Apparently, it is not being able to concatenate pnl_long (I believe there will be the same issue for pnl_short and lev.

Have you ever seen this problem before? Could you help me, please?

Thank you so much!

Best