skfolio.moments.EWMu#

class skfolio.moments.EWMu(window_size=None, alpha=0.2)[source]#

Exponentially Weighted Expected Returns (Mu) estimator.

Estimates the expected returns with the exponentially weighted mean (EWM).

Parameters:
window_sizeint, optional

Window size. The model is fitted on the last window_size observations. The default (None) is to use all the data.

alphafloat, default=0.2

Exponential smoothing factor. The default value is 0.2.

\(0 < \alpha \leq 1\).

Attributes:
mu_ndarray of shape (n_assets,)

Estimated expected returns of the assets.

n_features_in_int

Number of assets seen during fit.

feature_names_in_ndarray of shape (n_features_in_,)

Names of assets seen during fit. Defined only when X has assets names that are all strings.

Methods

fit(X[, y])

Fit the EWMu estimator model.

get_metadata_routing()

Get metadata routing of this object.

get_params([deep])

Get parameters for this estimator.

set_params(**params)

Set the parameters of this estimator.
fit(X, y=None)[source]#

Fit the EWMu estimator model.

Parameters:
Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

yIgnored

Not used, present for API consistency by convention.

Returns:
selfEWMu

Fitted estimator.

get_metadata_routing()#

Get metadata routing of this object.

Please check User Guide on how the routing mechanism works.

Returns:
routingMetadataRequest

A MetadataRequest encapsulating routing information.

get_params(deep=True)#

Get parameters for this estimator.

Parameters:
deepbool, default=True

If True, will return the parameters for this estimator and contained subobjects that are estimators.

Returns:
paramsdict

Parameter names mapped to their values.

set_params(**params)#

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as Pipeline). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters:
**paramsdict

Estimator parameters.

Returns:
selfestimator instance

Estimator instance.