v2.12.0

OnlinePortfolioSelection v2.12.0

Diff since v2.11.0

🔥 Two new algorithms implemented:

• Short-term portfolio optimization with loss control (SPOLC)
• Transaction Cost Optimization (TCO)

🔍 Two new evaluation metrics added
📄 Minor documentation improvements

Bumped to v2.12.0

Merged pull requests:

• Add TCO 🆕 (#84) (@shayandavoodii)
• Add icon to documentation (#85) (@shayandavoodii)
• Add SPOLC 🆕 (#86) (@shayandavoodii)
• upgrade codecov-action to v4 (#87) (@shayandavoodii)
• Provide tools to test the effectiveness of algs (#88) (@shayandavoodii)
• Improve docs (#90) (@shayandavoodii)

v2.11.0

OnlinePortfolioSelection v2.11.0

Diff since v2.10.1

Warning

It is necessary to review the docstrings before using functions.

🔥 Two new algorithms implemented:

• Weak Aggregating Exponential Gradient (WAEG)
• Moving-window-based Adaptive Exponential Gradient (MAEG)
• ❕ CRP replaced by BCRP

🔧 Lots of code refactoring.
ℹ Informative errors.
📄 Documentation improvements.
🐍 Added further instructions for using the package in Python

Bumped to v2.11.0

Merged pull requests:

• Provide juliacall instructions (#65) (@shayandavoodii)
• Upgrade actions/cache to v4 (#66) (@shayandavoodii)
• [ci.yml] Update to checkout@v4 🆙 (#67) (@shayandavoodii)
• [ci.yml] codecov-action got updated to v4 (#68) (@shayandavoodii)
• Improve-mdd (#69) (@shayandavoodii)
• Ci-modification (#70) (@shayandavoodii)
• Generalize the term "Cumulative wealth" (#71) (@shayandavoodii)
• Refactor CWMR algorithm (#72) (@shayandavoodii)
• AICTR-adjustment (#73) (@shayandavoodii)
• RPRT-refac (#74) (@shayandavoodii)
• downgrade codecov-action to v3 (#75) (@shayandavoodii)
• Replace CRP by BCRP (#76) (@shayandavoodii)
• Bk refactoring (#77) (@shayandavoodii)
• UP refactoring (#78) (@shayandavoodii)
• Add WAEG 🆕 (#79) (@shayandavoodii)
• add MAEG 🆕 (#80) (@shayandavoodii)
• Modify DRICRON (#82) (@shayandavoodii)
• Modify CORN (#83) (@shayandavoodii)

Closed issues:

• attempt to access 29-element Vector{Float64} at index [0] (#81)

v2.10.1

OnlinePortfolioSelection v2.10.1

Diff since v2.10.0

• Cluslog adapted to the latest API of the Clustering.jl
• Compatibility limit of the Clustering.jl got removed
• Bumped to v2.10.1

Merged pull requests:

• Adapt to the latest clustering.jl API (#64) (@shayandavoodii)

v2.10.0

OnlinePortfolioSelection v2.10.0

Diff since v2.9.0

🔥 TWO new algorithms added

• RMR
• SSPO

A new performance measure added:

• Average Turnover (AT)

• Bumped to v2.10.0

Merged pull requests:

• Add RMR 🆕 (#60) (@shayandavoodii)
• Add SSPO 🆕 (#61) (@shayandavoodii)
• Add new performance measure AT 🆕 (#62) (@shayandavoodii)
• Fix the dmr docstring (#63) (@shayandavoodii)

Closed issues:

• eta should be reordered in the DMR's example (#59)

v2.9.0

OnlinePortfolioSelection v2.9.0

Diff since v2.8.0

🔥 TWO new algorithms added

• ONS
• DMR

• Bumped to v2.9.0

Merged pull requests:

• Add ONS 🆕 (#57) (@shayandavoodii)
• Add DMR 🆕 (#58) (@shayandavoodii)

v2.8.0

OnlinePortfolioSelection v2.8.0

Diff since v2.7.0

🎉 New algorithm added: GWR
✨ Minor documentation improvements

• Bumped to v2.8.0

Merged pull requests:

• Add GWR 🆕 (#56) (@shayandavoodii)

v2.7.0

OnlinePortfolioSelection v2.7.0

Diff since v2.6.1

🎉 New algorithm added: TPPT
🔧 OPSMetrics function was renamed to opsmetrics
✨ Minor documentation improvements

• Bumped to v2.7.0

Merged pull requests:

• Add TPPT 🆕 (#55) (@shayandavoodii)

v2.6.1

OnlinePortfolioSelection v2.6.1

Diff since v2.6.0

🔧 irs bug fixed
✨ Minor documentation tweaks

• Bumped to v2.6.1

v2.6.0

OnlinePortfolioSelection v2.6.0

Diff since v2.5.0

🎉 New algorithm added: EGM
🔬 New metric added: Information Ration(IR)
✨ Minor documentation tweaks

• Bumped to v2.6.0

Merged pull requests:

• Add EGM 🆕 (#53) (@shayandavoodii)
• Add IR performance metric 🆕 (#54) (@shayandavoodii)

v2.5.0

OnlinePortfolioSelection v2.5.0

Diff since v2.4.0

OnlinePortfolioSelection.jl now contains over 20 OPS algorithms. 💣

🔥 THREE new algorithms added

• BAH(OLMAR)
• OLDEM
• AICTR

• Bumped to v2.5.0

Merged pull requests:

• add positify 🆕 (#46) (@shayandavoodii)
• Adjust-OLMAR (#47) (@shayandavoodii)
• Add BAH(OLMAR) 🆕 (#48) (@shayandavoodii)
• Fixes sn have been used wrongly in CAEG.jl #49 (#50) (@shayandavoodii)
• Add OLDEM 🆕 (#51) (@shayandavoodii)
• Add AICTR 🆕 (#52) (@shayandavoodii)

Closed issues:

• sn have been used wrongly in CAEG.jl (#49)