def _get_combined_forecast(system, instrument_code, this_stage):
this_stage.log.msg("Calculating combined forecast for %s" % (instrument_code),
instrument_code=instrument_code)
forecast_weights = this_stage.get_forecast_weights(instrument_code)
rule_variation_list = list(forecast_weights.columns)
forecasts = this_stage.get_all_forecasts(instrument_code, rule_variation_list)
forecast_div_multiplier = this_stage.get_forecast_diversification_multiplier(
instrument_code)
forecast_cap = this_stage.get_forecast_cap()
# multiply weights by forecasts
combined_forecast = multiply_df(forecast_weights, forecasts)
# sum
combined_forecast = combined_forecast.sum(
axis=1).to_frame("comb_forecast")
# apply fdm
# (note in this simple version we aren't adjusting FDM if forecast_weights change)
forecast_div_multiplier = forecast_div_multiplier.reindex(
forecasts.index, method="ffill")
raw_combined_forecast = multiply_df(
combined_forecast, forecast_div_multiplier)
combined_forecast = apply_cap(raw_combined_forecast, forecast_cap)
return combined_forecast
def _get_combined_forecast(system, instrument_code, this_stage ):
forecast_weights=this_stage.get_forecast_weights(instrument_code)
rule_variation_list=list(forecast_weights.columns)
forecasts=[this_stage.get_capped_forecast(instrument_code, rule_variation_name) for rule_variation_name in rule_variation_list]
forecast_div_multiplier=this_stage.get_forecast_diversification_multiplier(instrument_code)
forecast_cap=this_stage.get_forecast_cap()
forecasts=pd.concat(forecasts, axis=1)
## multiply weights by forecasts
combined_forecast=multiply_df(forecast_weights, forecasts)
## sum
combined_forecast=combined_forecast.sum(axis=1).to_frame("comb_forecast")
## apply fdm
## (note in this simple version we aren't adjusting FDM if forecast_weights change)
forecast_div_multiplier=forecast_div_multiplier.reindex(forecasts.index, method="ffill")
raw_combined_forecast=multiply_df(combined_forecast,forecast_div_multiplier)
combined_forecast=apply_cap(raw_combined_forecast, forecast_cap)
return combined_forecast
