Error when rebalancing with only one stock about empyrial HOT 5 CLOSED

Hey,

Sorry, for the late reply?
There is no purpose in rebalancing only one stock. The weight will stay the same.
Hope it helps!

from empyrial.

Hi, of course, but the point I was trying to make is that there is a math error. The end value is NOT the same here. This means that when using more than one stock), the rebalancing will create large errors.
The test for this is simply rebalancing with two stocks, where the second weight is zero. The result should be exactly the same, since a perfentage of zero is zero. So since this result is different than the single stock, the math is not correct.

from empyrial.

Sorry!! My fault, I misinterpreted the issue. If you find the bug, pin me! I'll also look at the code to see where is the problem coming from 😟
Thanks for reporting this issue!

from empyrial.

I haven't looked at the code for a while, but it could be the precision of the calculations in pypfopt, resulting in rounding erros outside after several balancers. Errors grow fast as I remember. May need higher precision. Could be a summation error etc. I'll have a look if I get time. Regards

from empyrial.

This #72 pull request solved it
You can install Empyrial 2.0.1 and it should work!

from empyrial.