deepdow (read as "wow") is a Python package connecting portfolio optimization and deep learning. Its goal is to facilitate research of networks that perform weight allocation in one forward pass.
Description deepdow attempts to merge two very common steps in portfolio optimization
Forecasting of future evolution of the market (LSTM, GARCH,...)
Optimization problem design and solution (convex optimization, ...)
It does so by constructing a pipeline of layers. The last layer performs the allocation and all the previous ones serve as feature extractors. The overall network is fully differentiable and one can optimize its parameters by gradient descent algorithms. deepdow is not ...
focused on active trading strategies, it only finds allocations to be held over some horizon (buy and hold)
one implication of this is that there is no need to handle transaction costs
a reinforcement learning framework, however one might easily reuse deepdow layers in other deep learning applications
a single algorithm, instead, it is a framework that allows for easy experimentation with powerful building blocks
Some features
all layers built on torch and fully differentiable
integrates differentiable convex optimization (cvxpylayers)
implements clustering based portfolio allocation algorithms
multiple dataloading strategies (RigidDataLoader, FlexibleDataLoader)
integration with mlflow and tensorboard via callbacks
provides variety of losses like sharpe ratio, maximum drawdown, ...
simple to extend and customize
github地址：https://github.com/jankrepl/deepdow