Decklists - Praetor of Modern (Event #4 - 2024)

Clustered Praetor of Modern (Event #4 - Sad Robot - 2024)

portfolio <- add.constraint(portfolio, type = "full_investment") portfolio <- add.constraint(portfolio, type = "box", min = 0, max = 1) # Add objective to maximize the Sharpe Ratio portfolio <- add.objective(portfolio, type = "risk", name = "StdDev") portfolio <- add.objective(portfolio, type = "return", name = "mean", target = 0.35/109) portfolio <- add.objective(portfolio, type = "risk_adjusted_return", name = "SharpeRatio", risk_free_rate = risk_free_rate) opt_portfolio_deoptim <- optimize.portfolio(R = returns_xts, portfolio = portfolio, optimize_method = "DEoptim", trace = TRUE)