reIndexer is a research tool for backtest-driven evaluation of different sectorization universes, using a system of synthetic ETFs, and efficient portfolios of those ETFs.
- Install the Technical Analysis Library (TA-Lib) for your operating system. For macOS, this can be done with brew (see TA-Lib page for other install options).
$ brew install ta-lib- Load the appropriate conda environment from the
conda/folder for your operating system.
$ conda env create -f conda/{environment/environment-windows}.yml- Decrypt the configuration file
$ make decrypt_conf- Load the configuration file
$ source config/main.confTODO: Add notes on how to download data bundles here
- That's it!
The Universe submodule requires that sector universe files are in the following format (as a CSV file):
| sector | ticker |
|---|---|
| sector_1 | asset_11 |
| sector_1 | asset_1n |
| sector_2 | asset_21 |
| sector_2 | asset_2n |
| sector_n | asset_n1 |
| sector_n | asset_nn |
Note that the column names are important; the Universe submodule will fail if this format is not followed exactly.