An application using basic portfolio algorithms
Pick an IDE such as visual studio, or Jetbrains rider or run with the dotnet command line
Install netcore 2.1
Test projects follow the convention Project.Tests
You can run using the dotnet command below or simply run testsin your ide of choice
dotnet test project.csproj
Input data taken from .... is stored on Redis
Project is deployed on Heroku
Instead of rebalancing using typical methods such as calendar basis or tolerance band triggers balance based on the cost of rebalancing in terms of risk-adjusted returns net of transaction costs.
The algorithms are built on ideas from this MIT whitepaper http://ssg.mit.edu/group/fan/papers/SSRN_opt_rebal.pdf