def pandl_for_instrument_forecast(
forecast: pd.Series,
price: pd.Series,
daily_returns_volatility: pd.Series = arg_not_supplied,
target_abs_forecast: float = 10.0,
SR_cost=0.0,
delayfill=True) -> accountCurve:
if daily_returns_volatility is arg_not_supplied:
daily_returns_volatility = robust_daily_vol_given_price(price)
normalised_forecast = _get_normalised_forecast(
forecast, target_abs_forecast=target_abs_forecast)
average_notional_position = -_get_average_notional_position(
daily_returns_volatility)
notional_position = _get_notional_position_for_forecast(
normalised_forecast,
average_notional_position=average_notional_position)
pandl_calculator = pandlCalculationWithSRCosts(
price,
SR_cost=SR_cost,
positions=notional_position,
daily_returns_volatility=daily_returns_volatility,
average_position=average_notional_position,
capital=ARBITRARY_FORECAST_CAPITAL,
value_per_point=ARBITRARY_VALUE_OF_PRICE_POINT,
delayfill=delayfill)
account_curve = accountCurve(pandl_calculator)
return account_curve
def _pandl_for_instrument_with_SR_costs(
self,
instrument_code: str,
delayfill: bool = True,
roundpositions: bool = True) -> accountCurve:
price = self.get_daily_price(instrument_code)
positions = self.get_buffered_position(instrument_code,
roundpositions=roundpositions)
fx = self.get_fx_rate(instrument_code)
value_of_price_point = self.get_value_of_block_price_move(
instrument_code)
daily_returns_volatility = self.get_daily_returns_volatility(
instrument_code)
capital = self.get_notional_capital()
SR_cost_per_trade = self.get_SR_cost_per_trade_for_instrument(
instrument_code)
instrument_turnover = self.instrument_turnover(
instrument_code, roundpositions=roundpositions)
annualised_SR_cost = SR_cost_per_trade * instrument_turnover
average_position = self.get_average_position_for_instrument_at_portfolio_level(
instrument_code)
pandl_calculator = pandlCalculationWithSRCosts(
price,
SR_cost=annualised_SR_cost,
positions=positions,
average_position=average_position,
daily_returns_volatility=daily_returns_volatility,
capital=capital,
value_per_point=value_of_price_point,
delayfill=delayfill,
fx=fx,
roundpositions=roundpositions)
account_curve = accountCurve(pandl_calculator, weighted=True)
return account_curve
def _pandl_for_subsystem_with_SR_costs(
self,
instrument_code,
delayfill=True,
roundpositions=False) -> accountCurve:
price = self.get_daily_price(instrument_code)
positions = self.get_subsystem_position(instrument_code)
fx = self.get_fx_rate(instrument_code)
value_of_price_point = self.get_value_of_block_price_move(
instrument_code)
daily_returns_volatility = self.get_daily_returns_volatility(
instrument_code)
average_position = self.get_volatility_scalar(instrument_code)
SR_cost_per_trade = self.get_SR_cost_per_trade_for_instrument(
instrument_code)
subsystem_turnover = self.subsystem_turnover(instrument_code)
annualised_SR_cost = SR_cost_per_trade * subsystem_turnover
capital = self.get_notional_capital()
pandl_calculator = pandlCalculationWithSRCosts(
price,
SR_cost=annualised_SR_cost,
positions=positions,
average_position=average_position,
daily_returns_volatility=daily_returns_volatility,
capital=capital,
value_per_point=value_of_price_point,
delayfill=delayfill,
fx=fx,
roundpositions=roundpositions)
account_curve = accountCurve(pandl_calculator)
return account_curve