$\mathbb{MSF}$ Capstone

Description

Research and final application made for the MIE479 Capstone project. This repository contains all research done for the development of a Cryptocurrency and SPY portfolio optimizer.

Set Up and Run Instructions

This application requires Python 3.9+ and the Anaconda python package manager in order to install and manage the relevent dependencies.

Conda

If you already have conda installed, you can skip this section.

Anaconda can be installed from its website with different versions depending on your operating system:

• Anaconda for Windows
• Anaconda for macOS
• Anaconda for Linux

After following the directions, conda should be installed and functioning on your system.

Installing our Repo

After downloading all the code and placing the repository in a location of your choice, open up a terminal window and navigate to the directory where the repo is located.

Folders such as CVaR, Crypto Data and Factor Research should be visible.

Initialize a new virtual environment

Run these commands in terminal:

conda env create -f ./Set_Up/environment.yml
conda activate raf-sam-kelvin

To get the rest of the necessary packages, run:

python setup.py

Running the GUI

To run the GUI, run the command:

python GUI/Good_Layout.py

Common Errors

Make sure that your Matplotlib version is 3.5.3. If it is not, you can use the following commands to make it so: pip uninstall matplotlib pip install matplotlib=3.5.3

What it looks like

Created By

1. Sam Gaskin (GH: SGaskin7)
2. Kelvin Wallace (GH: kjwallace)
3. Rafay Kalim (GH: rafayk7)

With Help From

1. Professor Roy Kwon
2. David Islip

How to Navigate This Repo

1. So our main UI is in the GUI folder in the file Good_Layout.py.
2. The main backtester it calls is in FactorResearch\backtesting\backtesting.py.
3. Most optimization functions and predictors are saved in FactorResearch\backtesting\util.py.
4. All CVaR functions are saved in FactorResearch\backtesting\Series_CVaR.