Code used to sneak into the top 10 overall in the M6 Financial Forecasting competition.
See the post to discuss it, or the article.
A diversified long-only portfolio informed by option market volatilities.
- Update volatilitydata.py manually.
- Update earnings.py manually.
- Run step_1_probs.py
- Run step_2_portfolio.py
I got lazy and didn't update after June.