update example

5546d340 · Dr.李 · 574f2fd4 · 5546d340 · 5546d340
Commit 5546d340 authored Feb 27, 2018 by Dr.李
Showing with 304 additions and 1 deletion

Example 3 - Multi Weight Gap Comparison.ipynb notebooks/Example 3 - Multi Weight Gap Comparison.ipynb +1 -1

Example 4 - Single Factor Analysis.ipynb notebooks/Example 4 - Single Factor Analysis.ipynb +303 -0

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--- a/notebooks/Example 3 - Multi Weight Gap Comparison.ipynb
+++ b/notebooks/Example 3 - Multi Weight Gap Comparison.ipynb
@@ -294,7 +294,7 @@
    "    ret_df = ret_df.shift(1)\n",
    "    ret_df.iloc[0] = 0.\n",
    "    ret_df['tc_cost'] = ret_df.turn_over * 0.002\n",
-    "    ret_df['ret_after_tc'] = ret_df['returns'] - ret_df['index'] * ret_df['leverage']\n",
+    "    ret_df['ret_after_tc'] = ret_df['returns'] - ret_df['tc_cost'] - ret_df['index'] * ret_df['leverage']\n",
    "    return ret_df"
   ]
  },

--- a/notebooks/Example 4 - Single Factor Analysis.ipynb
+++ b/notebooks/Example 4 - Single Factor Analysis.ipynb