dschlueter/operations_research
Watch
1
0
Fork
You've already forked operations_research
 0
Code Issues Pull requests Projects Releases Packages Wiki Activity

Version 04 als eigenes Repository

Browse source 
Erster Commit des Strangs "Optimierte Entscheidungsfindung mit Python"
(Version 04). Die Historie der 71 Commits bis zur Trennung bleibt im
uebergeordneten Repository OR_mit_Python liegen, das ab jetzt nur noch
Version_03 (eingefroren) verwaltet und Version_04/ ignoriert.

Bewusst kein "git subtree split": Der Pfad Version_04/ existiert erst seit
der Verzeichnistrennung, ein Split braechte daher nur 7 der 41 einschlaegigen
Commits - eine Teilhistorie, die vollstaendig aussieht und es nicht ist.

Stand: 5 Teile, 23 Kapitel, 5 Anhaenge, 292 Abschnitte, 703 Querverweise,
325 Indexmarken, 73 Beispielprogramme, 32 SVGs, 4 Plotly-Figuren,
25 Notebooks, PDF mit 715 Seiten.

Zusaetzlich in diesem Commit:

* pyproject.toml mit Abhaengigkeitsgruppen finance, large-scale, api,
  figures, dev, empfehlungen. Die abgedruckte requirements.txt bleibt
  unveraendert daneben bestehen. ortools steht in der Grundausstattung,
  highspy erst in [large-scale] - so kann der HiGHS-Symbolkonflikt bei der
  schlanken Installation gar nicht erst auftreten.

* Dabei zwei Funde: graphviz wird von erzeuge_architektur_diagramme.py
  importiert, fehlt aber in requirements.txt (jetzt in [figures]); pymoo
  steht in requirements.txt, wird aber von keinem Programm importiert,
  sondern nur im Kapitel Metaheuristiken empfohlen (jetzt in
  [empfehlungen]).

* NEUER_TITEL.md nach Kritik_und_Verbesserungsvorschlaege/ verschoben - es
  ist die Vorlage des Titelblatts, kein Bestandteil des Werks. Die beiden
  Fundstellen in PROGRESS.md und erzeuge_titelseite.py nachgezogen.

* PROGRESS.md nannte noch den Untertitel der ersten Fassung; auf den
  tatsaechlichen aus erzeuge_titelseite.py korrigiert.

Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
This commit is contained in:
dschlueter 2026-09-08 01:20:09 +02:00
commit b7af2f1d9a
468 changed files with 262141 additions and 0 deletions
Download patch file Download diff file Expand all files Collapse all files

96
bilder_04/kap14_engine_overview.svg Normal file
View file

@ -0,0 +1,96 @@
<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<!DOCTYPE svg PUBLIC "-//W3C//DTD SVG 1.1//EN"
"http://www.w3.org/Graphics/SVG/1.1/DTD/svg11.dtd">
<!-- Generated by graphviz version 14.1.2 (20260126.1125)
-->
<!-- Title: d19 Pages: 1 -->
<svg width="503pt" height="516pt"
viewBox="7.00 7.00 495.00 509.00" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g id="graph0" class="graph" transform="scale(1 1) rotate(0) translate(11.2 504.6)">
<title>d19</title>
<!-- s1 -->
<g id="node1" class="node">
<title>s1</title>
<path fill="#fffbeb" stroke="#d97706" stroke-width="2" d="M370.67,-493.4C370.67,-493.4 128,-493.4 128,-493.4 122,-493.4 116,-487.4 116,-481.4 116,-481.4 116,-441.12 116,-441.12 116,-435.12 122,-429.12 128,-429.12 128,-429.12 370.67,-429.12 370.67,-429.12 376.67,-429.12 382.67,-435.12 382.67,-441.12 382.67,-441.12 382.67,-481.4 382.67,-481.4 382.67,-487.4 376.67,-493.4 370.67,-493.4"/>
<text xml:space="preserve" text-anchor="start" x="128.96" y="-473.41" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#d97706">1 · HISTORISCHE DATENPIPELINE</text>
<text xml:space="preserve" text-anchor="start" x="128.96" y="-449.26" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Automatischer Download bereinigter</text>
<text xml:space="preserve" text-anchor="start" x="128.96" y="-439.26" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Kursdaten über 5 Jahre</text>
</g>
<!-- s2 -->
<g id="node2" class="node">
<title>s2</title>
<path fill="#eef2ff" stroke="#4338ca" stroke-width="2" d="M230.67,-386.12C230.67,-386.12 12,-386.12 12,-386.12 6,-386.12 0,-380.12 0,-374.12 0,-374.12 0,-333.84 0,-333.84 0,-327.84 6,-321.84 12,-321.84 12,-321.84 230.67,-321.84 230.67,-321.84 236.67,-321.84 242.67,-327.84 242.67,-333.84 242.67,-333.84 242.67,-374.12 242.67,-374.12 242.67,-380.12 236.67,-386.12 230.67,-386.12"/>
<text xml:space="preserve" text-anchor="start" x="12.96" y="-366.13" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#4338ca">2 · FAKTOR&#45;SCORING&#45;MODELL</text>
<text xml:space="preserve" text-anchor="start" x="12.96" y="-341.98" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">12−1M Momentum</text>
<text xml:space="preserve" text-anchor="start" x="12.96" y="-331.98" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">als Rendite&#45;Signal μₜ</text>
</g>
<!-- s1&#45;&gt;s2 -->
<g id="edge1" class="edge">
<title>s1&#45;&gt;s2</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M210.58,-428.39C197.67,-417.77 183.12,-405.8 169.58,-394.66"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="171.69,-392.32 162.73,-389.03 167.68,-397.18 171.69,-392.32"/>
</g>
<!-- s3 -->
<g id="node3" class="node">
<title>s3</title>
<path fill="#ecfeff" stroke="#0891b2" stroke-width="2" d="M468.29,-386.12C468.29,-386.12 286.38,-386.12 286.38,-386.12 280.38,-386.12 274.38,-380.12 274.38,-374.12 274.38,-374.12 274.38,-333.84 274.38,-333.84 274.38,-327.84 280.38,-321.84 286.38,-321.84 286.38,-321.84 468.29,-321.84 468.29,-321.84 474.29,-321.84 480.29,-327.84 480.29,-333.84 480.29,-333.84 480.29,-374.12 480.29,-374.12 480.29,-380.12 474.29,-386.12 468.29,-386.12"/>
<text xml:space="preserve" text-anchor="start" x="287.33" y="-366.13" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#0891b2">3 · ROBUSTE KOVARIANZ</text>
<text xml:space="preserve" text-anchor="start" x="287.33" y="-341.98" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Ledoit&#45;Wolf&#45;Shrinkage auf</text>
<text xml:space="preserve" text-anchor="start" x="287.33" y="-331.98" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">rollierendem 252&#45;Tage&#45;Fenster</text>
</g>
<!-- s1&#45;&gt;s3 -->
<g id="edge2" class="edge">
<title>s1&#45;&gt;s3</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M288.09,-428.39C301,-417.77 315.55,-405.8 329.09,-394.66"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="330.99,-397.18 335.94,-389.03 326.98,-392.32 330.99,-397.18"/>
</g>
<!-- s4 -->
<g id="node4" class="node">
<title>s4</title>
<path fill="#f5f3ff" stroke="#7c3aed" stroke-width="2" d="M383.42,-278.84C383.42,-278.84 115.25,-278.84 115.25,-278.84 109.25,-278.84 103.25,-272.84 103.25,-266.84 103.25,-266.84 103.25,-226.56 103.25,-226.56 103.25,-220.56 109.25,-214.56 115.25,-214.56 115.25,-214.56 383.42,-214.56 383.42,-214.56 389.42,-214.56 395.42,-220.56 395.42,-226.56 395.42,-226.56 395.42,-266.84 395.42,-266.84 395.42,-272.84 389.42,-278.84 383.42,-278.84"/>
<text xml:space="preserve" text-anchor="start" x="116.21" y="-258.85" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#7c3aed">4 · OR&#45;OPTIMIERUNGSKERN (CVXPY)</text>
<text xml:space="preserve" text-anchor="start" x="116.21" y="-234.7" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Max. Momentum − CVaR − Reibung</text>
<text xml:space="preserve" text-anchor="start" x="116.21" y="-224.7" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Hard Constraints: Sektor&#45;Caps, No&#45;Short</text>
</g>
<!-- s2&#45;&gt;s4 -->
<g id="edge3" class="edge">
<title>s2&#45;&gt;s4</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M160.09,-321.11C173,-310.49 187.55,-298.52 201.09,-287.38"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="202.99,-289.9 207.94,-281.75 198.98,-285.04 202.99,-289.9"/>
</g>
<!-- s3&#45;&gt;s4 -->
<g id="edge4" class="edge">
<title>s3&#45;&gt;s4</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M338.58,-321.11C325.67,-310.49 311.12,-298.52 297.58,-287.38"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="299.69,-285.04 290.73,-281.75 295.68,-289.9 299.69,-285.04"/>
</g>
<!-- s5 -->
<g id="node5" class="node">
<title>s5</title>
<path fill="#ecfeff" stroke="#0891b2" stroke-width="2" d="M393.54,-171.56C393.54,-171.56 105.12,-171.56 105.12,-171.56 99.12,-171.56 93.12,-165.56 93.12,-159.56 93.12,-159.56 93.12,-119.28 93.12,-119.28 93.12,-113.28 99.12,-107.28 105.12,-107.28 105.12,-107.28 393.54,-107.28 393.54,-107.28 399.54,-107.28 405.54,-113.28 405.54,-119.28 405.54,-119.28 405.54,-159.56 405.54,-159.56 405.54,-165.56 399.54,-171.56 393.54,-171.56"/>
<text xml:space="preserve" text-anchor="start" x="106.08" y="-151.57" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#0891b2">5 · REBALANCING &amp; ORDER&#45;EXECUTION</text>
<text xml:space="preserve" text-anchor="start" x="106.08" y="-127.42" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">Monatliche Neugewichtung mit</text>
<text xml:space="preserve" text-anchor="start" x="106.08" y="-117.42" font-family="DejaVu Sans" font-size="10.00" fill="#1a1a2e">realer Transaktionskosten&#45;Verbuchung</text>
</g>
<!-- s4&#45;&gt;s5 -->
<g id="edge5" class="edge">
<title>s4&#45;&gt;s5</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M249.33,-213.83C249.33,-204.53 249.33,-194.21 249.33,-184.31"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="252.49,-184.58 249.34,-175.58 246.19,-184.58 252.49,-184.58"/>
</g>
<!-- s6 -->
<g id="node6" class="node">
<title>s6</title>
<path fill="#059669" stroke="#059669" stroke-width="2" d="M388.29,-64.28C388.29,-64.28 110.38,-64.28 110.38,-64.28 104.38,-64.28 98.37,-58.28 98.37,-52.28 98.37,-52.28 98.37,-12 98.37,-12 98.37,-6 104.37,0 110.37,0 110.37,0 388.29,0 388.29,0 394.29,0 400.29,-6 400.29,-12 400.29,-12 400.29,-52.28 400.29,-52.28 400.29,-58.28 394.29,-64.28 388.29,-64.28"/>
<text xml:space="preserve" text-anchor="start" x="111.33" y="-44.29" font-family="DejaVu Sans" font-weight="bold" font-size="13.00" fill="#ffffff">6 · LEISTUNGSREPORT &amp; BENCHMARK</text>
<text xml:space="preserve" text-anchor="start" x="111.33" y="-20.14" font-family="DejaVu Sans" font-size="10.00" fill="#ffffff">Sharpe, Max Drawdown, CAGR</text>
<text xml:space="preserve" text-anchor="start" x="111.33" y="-10.14" font-family="DejaVu Sans" font-size="10.00" fill="#ffffff">vs. S&amp;P 500 (SPY)</text>
</g>
<!-- s5&#45;&gt;s6 -->
<g id="edge6" class="edge">
<title>s5&#45;&gt;s6</title>
<path fill="none" stroke="#334155" stroke-width="2" d="M249.33,-106.55C249.33,-97.25 249.33,-86.93 249.33,-77.03"/>
<polygon fill="#334155" stroke="#334155" stroke-width="2" points="252.49,-77.3 249.34,-68.3 246.19,-77.3 252.49,-77.3"/>
</g>
</g>
</svg>
Side by side

After

Width:  |  Height:  |  Size: 8.2 KiB