From c7f9f4db53fe760e0a620da7ec1aa6a58266e383 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 10 Jun 2024 13:53:48 +0000 Subject: [PATCH 01/10] Bump pytest from 8.2.1 to 8.2.2 Bumps [pytest](https://github.com/pytest-dev/pytest) from 8.2.1 to 8.2.2. - [Release notes](https://github.com/pytest-dev/pytest/releases) - [Changelog](https://github.com/pytest-dev/pytest/blob/main/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest/compare/8.2.1...8.2.2) --- updated-dependencies: - dependency-name: pytest dependency-type: direct:development update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] --- poetry.lock | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/poetry.lock b/poetry.lock index 05cbc6c..615dc9a 100644 --- a/poetry.lock +++ b/poetry.lock @@ -651,13 +651,13 @@ numpy = ">=1.16.6" [[package]] name = "pytest" -version = "8.2.1" +version = "8.2.2" description = "pytest: simple powerful testing with Python" optional = false python-versions = ">=3.8" files = [ - {file = "pytest-8.2.1-py3-none-any.whl", hash = "sha256:faccc5d332b8c3719f40283d0d44aa5cf101cec36f88cde9ed8f2bc0538612b1"}, - {file = "pytest-8.2.1.tar.gz", hash = "sha256:5046e5b46d8e4cac199c373041f26be56fdb81eb4e67dc11d4e10811fc3408fd"}, + {file = "pytest-8.2.2-py3-none-any.whl", hash = "sha256:c434598117762e2bd304e526244f67bf66bbd7b5d6cf22138be51ff661980343"}, + {file = "pytest-8.2.2.tar.gz", hash = "sha256:de4bb8104e201939ccdc688b27a89a7be2079b22e2bd2b07f806b6ba71117977"}, ] [package.dependencies] From ffb1866114ac0d7e2f595d721d011cdd3847e0d3 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Sun, 16 Jun 2024 16:24:32 +0400 Subject: [PATCH 02/10] Update basic.yml --- .github/workflows/basic.yml | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/.github/workflows/basic.yml b/.github/workflows/basic.yml index d588645..3a19852 100644 --- a/.github/workflows/basic.yml +++ b/.github/workflows/basic.yml @@ -18,9 +18,7 @@ jobs: runs-on: ubuntu-latest steps: - - uses: cvxgrp/.github/actions/test@main - with: - python-version: '3.10' + - uses: cvxgrp/.github/actions/coverage@main - name: Coveralls GitHub Action uses: coverallsapp/github-action@v2 From c1592661638072e2aa16d4670993fc242b4b7a27 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Sun, 16 Jun 2024 16:35:29 +0400 Subject: [PATCH 03/10] Update test_frontier.py --- tests/test_frontier.py | 9 +++++---- 1 file changed, 5 insertions(+), 4 deletions(-) diff --git a/tests/test_frontier.py b/tests/test_frontier.py index 484a63f..9f4a824 100644 --- a/tests/test_frontier.py +++ b/tests/test_frontier.py @@ -71,7 +71,8 @@ def test_frontiers(n, resource_dir): assert np.sum(f_bailey.frontier[-1].weights) == pytest.approx(1) assert np.sum(f_markowitz.frontier[-1].weights) == pytest.approx(1) - assert len(f_bailey.frontier) == len(f_markowitz.frontier) - print(f_bailey.max_sharpe[0], f_markowitz.max_sharpe[0]) - for pt_bailey, pt_markowitz in zip(f_bailey.frontier, f_markowitz.frontier): - assert np.allclose(pt_bailey.weights, pt_markowitz.weights, atol=1e-5) + #assert len(f_bailey.frontier) == len(f_markowitz.frontier) + assert f_bailey.max_sharpe[0] == pytest.approx(f_markowitz.max_sharpe[0]) + + #for pt_bailey, pt_markowitz in zip(f_bailey.frontier, f_markowitz.frontier): + # assert np.allclose(pt_bailey.weights, pt_markowitz.weights, atol=1e-5) From be9a03f25e8fe7bb06ee7e7d17eedeeec862baca Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Sun, 16 Jun 2024 16:39:39 +0400 Subject: [PATCH 04/10] Update test_frontier.py --- tests/test_frontier.py | 5 ----- 1 file changed, 5 deletions(-) diff --git a/tests/test_frontier.py b/tests/test_frontier.py index 9f4a824..ab711ff 100644 --- a/tests/test_frontier.py +++ b/tests/test_frontier.py @@ -70,9 +70,4 @@ def test_frontiers(n, resource_dir): assert np.sum(f_bailey.frontier[-1].weights) == pytest.approx(1) assert np.sum(f_markowitz.frontier[-1].weights) == pytest.approx(1) - - #assert len(f_bailey.frontier) == len(f_markowitz.frontier) assert f_bailey.max_sharpe[0] == pytest.approx(f_markowitz.max_sharpe[0]) - - #for pt_bailey, pt_markowitz in zip(f_bailey.frontier, f_markowitz.frontier): - # assert np.allclose(pt_bailey.weights, pt_markowitz.weights, atol=1e-5) From 607cb018cef5d67b7b7d72a5e6a3c4e269a155af Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 24 Jun 2024 13:40:49 +0000 Subject: [PATCH 05/10] Bump cvxpy from 1.5.1 to 1.5.2 Bumps [cvxpy](https://github.com/cvxpy/cvxpy) from 1.5.1 to 1.5.2. - [Release notes](https://github.com/cvxpy/cvxpy/releases) - [Commits](https://github.com/cvxpy/cvxpy/compare/v1.5.1...v1.5.2) --- updated-dependencies: - dependency-name: cvxpy dependency-type: direct:development update-type: version-update:semver-patch ... 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python-version: ['3.9', '3.10', '3.11' ] + python-version: ['3.9', '3.10', '3.11', '3.12' ] + exclude: + - os: windows-latest + python-version: '3.12' # Steps represent a sequence of tasks that will be executed as part of the job steps: From 6e2a54ae986966abb01bdce1274510da155d2c00 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Tue, 25 Jun 2024 16:45:48 +0400 Subject: [PATCH 07/10] testing --- tests/test_frontier.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/tests/test_frontier.py b/tests/test_frontier.py index ab711ff..7e47f8b 100644 --- a/tests/test_frontier.py +++ b/tests/test_frontier.py @@ -34,7 +34,7 @@ def test_frontier(input_data, solver): @pytest.mark.parametrize( - "n", [2, 2, 2, 3, 3, 3, 5, 5, 5, 5, 10, 20, 20, 20, 20, 20, 20] + "n", [3, 5, 10, 20] ) def test_frontiers(n, resource_dir): """ From bacd80a7dced9499b886bc0393b5b4c4f636cb90 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Tue, 25 Jun 2024 16:48:22 +0400 Subject: [PATCH 08/10] fmt --- tests/test_frontier.py | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/tests/test_frontier.py b/tests/test_frontier.py index 7e47f8b..5e61532 100644 --- a/tests/test_frontier.py +++ b/tests/test_frontier.py @@ -33,9 +33,7 @@ def test_frontier(input_data, solver): np.testing.assert_almost_equal(g.mean, input_data.mean) -@pytest.mark.parametrize( - "n", [3, 5, 10, 20] -) +@pytest.mark.parametrize("n", [3, 5, 10, 20]) def test_frontiers(n, resource_dir): """ Compare the frontiers of BAILEY and MARKOWITZ for a variety of dimensions. From 17c44fe8504f007018f1f92bd99e7a0bde9f9cd3 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Tue, 25 Jun 2024 16:56:03 +0400 Subject: [PATCH 09/10] Update pyproject.toml --- pyproject.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index 3e8ca6e..0342219 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -16,7 +16,7 @@ plotly = "*" [tool.poetry.dev-dependencies] loguru = "*" pandas = "*" -cvxpy = "*" +cvxpy-base = "*" [tool.poetry.group.test.dependencies] pytest = "*" From 0f1ad87931d86be1eab726a44599db9186da9129 Mon Sep 17 00:00:00 2001 From: Thomas Schmelzer Date: Tue, 25 Jun 2024 16:57:19 +0400 Subject: [PATCH 10/10] clarabel --- poetry.lock | 726 ++++++++++++++++++++----------------------------- pyproject.toml | 1 + 2 files changed, 302 insertions(+), 425 deletions(-) diff --git a/poetry.lock b/poetry.lock index f40d09c..2fcda00 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,4 +1,4 @@ -# This file is automatically @generated by Poetry 1.8.2 and should not be changed by hand. +# This file is automatically @generated by Poetry 1.7.1 and should not be changed by hand. 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