INNER CODE UNIT · Python

cmd_portfolio

initial-d/ml-quant-trading · src/mlquant/cli/main.py:295

def cmd_portfolio(config_path: str) -> None:
    cfg = load_config(config_path)
    seed_everything(cfg.get("seed", 42))
    art = _artifacts_dir(cfg)
    panel = _load_panel(art)
    pred_blob  = torch.load(art / "predictions.pt", weights_only=False)

    mask = panel.mask.numpy()
    pred = pred_blob["pred"].numpy()
    # Halt-aware returns: loaders zero-fill halted prices.
    rets = panel.returns.numpy()

    look_back = cfg.get("cov_lookback", 60)
    mk_cfg = MarkowitzConfig(**(cfg.portfolio.to_dict() if "portfolio" in cfg else {}))
    opt = MarkowitzOptimizer(mk_cfg)

    T, N = pred.shape
    oos = int(pred_blob.get("oos_start", 0))

View source record →