Merge remote-tracking branch 'origin/dev' into dev

app/pypfopt/efficient_frontier.py

@@ -375,7 +375,7 @@ class EfficientFrontier(base_optimizer.BaseConvexOptimizer):
 
         return self._solve_cvxpy_opt_problem()
 
-    def efficient_return(self, target_return, market_neutral=False):
+    def efficient_return(self, target_return, target_drawdown, market_neutral=False):
         """
         Calculate the 'Markowitz portfolio', minimising volatility for a given target return.
 
@@ -405,12 +405,13 @@ class EfficientFrontier(base_optimizer.BaseConvexOptimizer):
 
         self.objective = cp.quad_form(self._w, self.cov_matrix)
         ret = self.expected_returns.T @ self._w
+        drawdown = self.expected_drawdown.T @ self._w
 
         for obj in self._additional_objectives:
             self._objective += obj
 
         self._constraints.append(ret >= target_return)
-
+        self._constraints.append(drawdown <= target_drawdown)
         # The equality constraint is either "weights sum to 1" (default), or
         # "weights sum to 0" (market neutral).
         if market_neutral:

app/utils/fund_rank.py

@@ -8,7 +8,7 @@
 import logging
 logging.basicConfig(level=logging.INFO)
 
-from app.api.engine import tamp_fund_engine, TAMP_SQL
+from app.api.engine import tamp_fund_engine, TAMP_SQL, tamp_product_engine
 from app.utils.week_evaluation import *