Newbie here looking for some guidance.
I want to be able to take a subset of the results of a pipeline object like this:
results = run_pipeline(pipe, start_date='2015-11-01', end_date='2015-11-25') ranks = results.rank().mean(axis=1).order() seclist = ranks.tail(15).index
..and pass the sid data to a method that assigns optimized weights (e.g. OLMAR, Markowitz optimization, etc.), following which it would pass the sid and weights data to target_percent or target_percent_value.
Could anyone possibly post a simple algo or some kind of example of this? I've been trying different things but nothing seems to work.
I would really appreciate it.