portfolios.breakpoint_options()

Create breakpoint options for portfolio sorting.

Usage

Source

portfolios.breakpoint_options(
    n_portfolios=None,
    percentiles=None,
    breakpoints_exchanges=None,
    smooth_bunching=False,
    breakpoints_min_size_threshold=None,
    **kwargs
)

Generates a structured dict of options for defining breakpoints in portfolio sorting. It includes parameters for the number of portfolios, percentile thresholds, exchange-specific breakpoints, and smooth bunching, along with additional optional parameters.

Parameters

n_portfolios: int = None

Number of portfolios to create. Must be a positive integer. If not provided, defaults to None.

percentiles: list of float = None

Percentile thresholds for defining breakpoints. Each value must be between 0 and 1. If not provided, defaults to None.

breakpoints_exchanges: str or list of str = None

Non-empty exchange (or list of exchanges) from which to compute the breakpoints. If not provided, defaults to None.

smooth_bunching: bool = False

Indicates whether smooth bunching should be applied.

breakpoints_min_size_threshold: float = None

When set to a value between 0 and 1, stocks with market capitalization below this quantile are excluded from breakpoint computation. The quantile is computed among ‘breakpoints_exchanges’ stocks if specified, otherwise among all stocks. Requires a market capitalization column in the data (see ‘data_options’). Defaults to None (no size filtering).

**kwargs

Additional optional arguments. These will be captured in the resulting structure as part of the dict.

Returns

dict

Dictionary containing the provided breakpoint options, including any additional arguments passed via ’**kwargs’.

Examples

from tidyfinance import breakpoint_options
# Quintile portfolios with NYSE breakpoints
breakpoint_options(
    n_portfolios=5,
    breakpoints_exchanges='NYSE',
)
# Custom percentile thresholds (mutually exclusive with n_portfolios)
breakpoint_options(
    percentiles=[0.3, 0.7],
    breakpoints_exchanges='NYSE',
)
# Exclude the smallest 20% of NYSE stocks from breakpoint computation
breakpoint_options(
    n_portfolios=10,
    breakpoints_exchanges='NYSE',
    breakpoints_min_size_threshold=0.2,
)