Bayesian refactor + new model #120
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| The original pymc2 implementation was written by Andrew Straw and | ||
| can be found here: https://github.com/strawlab/best | ||
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| Ported to PyMC3 by Thomas Wiecki (c) 2015. |
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Is this the same as your function in PyMC3? Either way we should change this line to pyfolio.
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Looks good from the parts I understood. What's different about this new one? |
| # Run alpha beta model | ||
| benchmark_rets = benchmark_rets.loc[df_train.index] | ||
| trace_alpha_beta = bayesian.run_model('alpha_beta', df_train, | ||
| bmark=benchmark_rets, samples=2000) |
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Should we allow other sample sizes to be passed when we create the tear sheet?
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OK @gusgordon, addressed the feedback. Merging in. |
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