skfolio.optimization.EqualWeighted#

class skfolio.optimization.EqualWeighted(portfolio_params=None, fallback=None, previous_weights=None, raise_on_failure=True)[source]#

Equally Weighted estimator.

Each asset weight is equal to 1/n_assets.

Parameters:

portfolio_paramsdict, optional: Portfolio parameters forwarded to the resulting Portfolio in predict. If not provided and if available on the estimator, the following attributes are propagated to the portfolio by default: name, and previous_weights.
fallbackBaseOptimization | “previous_weights” | list[BaseOptimization | “previous_weights”], optional: Fallback estimator or a list of estimators to try, in order, when the primary optimization raises during fit. Alternatively, use "previous_weights" (alone or in a list) to fall back to the estimator’s previous_weights. When a fallback succeeds, its fitted weights_ are copied back to the primary estimator so that fit still returns the original instance. For traceability, fallback_ stores the successful estimator (or the string "previous_weights")

and fallback_chain_ stores each attempt with the associated outcome.
previous_weightsfloat | dict[str, float] | array-like of shape (n_assets,), optional: When fallback="previous_weights", failures will fall back to these weights if provided.
raise_on_failurebool, default=True: Controls error handling when fitting fails. If True, any failure during fit is raised immediately, no weights_ are set and subsequent calls to predict will raise a NotFittedError. If False, errors are not raised; instead, a warning is emitted, weights_ is set to None and subsequent calls to predict will return a FailedPortfolio. When fallbacks are specified, this behavior applies only after all fallbacks have been exhausted.

Attributes:

weights_ndarray of shape (n_assets,) or (n_optimizations, n_assets): Weights of the assets.
fallback_BaseOptimization | “previous_weights” | None: The fallback estimator instance, or the string "previous_weights", that produced the final result. None if no fallback was used.
fallback_chain_list[tuple[str, str]] | None: Sequence describing the optimization fallback attempts. Each element is a pair (estimator_repr, outcome) where estimator_repr is the string representation of the primary estimator or a fallback (e.g. "EqualWeighted()", "previous_weights"), and outcome is "success" if that step produced a valid solution, otherwise the stringified error message. For successful fits without any fallback, this is None.
error_str | list[str] | None: Captured error message(s) when fit fails. For multi-portfolio outputs (weights_ is 2D), this is a list aligned with portfolios.

Methods

`fit`(X[, y])	Fit the Equal Weighted estimator.
`fit_predict`(X)	Perform `fit` on `X` and returns the predicted `Portfolio` or `Population` of `Portfolio` on `X` based on the fitted `weights`.
`get_metadata_routing`()	Get metadata routing of this object.
`get_params`([deep])	Get parameters for this estimator.
`predict`(X)	Predict the `Portfolio` or a `Population` of portfolios on `X`.
`score`(X[, y])	Prediction score using the Sharpe Ratio.
`set_params`(**params)	Set the parameters of this estimator.

Notes

All estimators should specify all parameters as explicit keyword arguments in __init__ (no *args or **kwargs), following scikit-learn conventions.

fit(X, y=None)[source]#

Fit the Equal Weighted estimator.

Parameters:

Xarray-like of shape (n_observations, n_assets): Price returns of the assets.
yIgnored: Not used, present for API consistency by convention.

Returns:

selfEqualWeighted: Fitted estimator.

fit_predict(X)#

Perform fit on X and returns the predicted Portfolio or Population of Portfolio on X based on the fitted weights. For factor models, use fit(X, y) then predict(X) separately.

If fitting fails and raise_on_failure=False, this returns a FailedPortfolio.

Parameters:

Xarray-like of shape (n_observations, n_assets): Price returns of the assets.

Returns:

Portfolio | Population: The predicted Portfolio or Population based on the fitted weights.

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.

property needs_previous_weights#

Whether previous_weights must be propagated between folds/rebalances.

Used by cross_val_predict to decide whether to run sequentially and pass the weights from the previous rebalancing to the next. This is True when transaction costs, a maximum turnover, or a fallback depending on previous_weights are present.

predict(X)#

Predict the Portfolio or a Population of portfolios on X.

Optimization estimators can return a 1D or a 2D array of weights. For a 1D array, the prediction is a single Portfolio. For a 2D array, the prediction is a Population of Portfolio.

If name is not provided in the portfolio parameters, the estimator class name is used.

Parameters:

Xarray-like of shape (n_observations, n_assets) | ReturnDistribution: Asset returns or a ReturnDistribution carrying returns and optional sample weights.

Returns:

Portfolio | Population: The predicted Portfolio or Population based on the fitted weights.

score(X, y=None)#

Prediction score using the Sharpe Ratio. If the prediction is a single Portfolio, the score is its Sharpe Ratio. If the prediction is a Population, the score is the mean Sharpe Ratio across portfolios.

Parameters:

Xarray-like of shape (n_observations, n_assets): Price returns of the assets.
yIgnored: Not used, present here for API consistency by convention.

Returns:

scorefloat: The Sharpe Ratio of the portfolio if the prediction is a single Portfolio or the mean of all the portfolios Sharpe Ratios if the prediction is a Population of Portfolio.

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.