def _subsystem_turnover(
system, instrument_code, this_stage, roundpositions):
positions = this_stage.get_subsystem_position(instrument_code)
average_position_for_turnover=this_stage.get_volatility_scalar(instrument_code)
return turnover(positions, average_position_for_turnover)
def instrument_turnover(
self, instrument_code: str, roundpositions: bool = True
) -> float:
"""
Get the annualised turnover for an instrument
:param instrument_code: instrument to get values for
:type instrument_code: str
:param rule_variation_name: rule to get values for
:type rule_variation_name: str
:returns: float
"""
average_position_for_turnover = (
self.get_average_position_for_instrument_at_portfolio_level(instrument_code)
)
positions = self.get_buffered_position(
instrument_code, roundpositions=roundpositions
)
return turnover(positions, average_position_for_turnover)
def subsystem_turnover(self, instrument_code: str) -> float:
positions = self.get_subsystem_position(instrument_code)
average_position_for_turnover = self.get_volatility_scalar(instrument_code)
subsystem_turnover = turnover(positions, average_position_for_turnover)
return subsystem_turnover
def _subsystem_turnover(system, instrument_code, this_stage,
roundpositions):
positions = this_stage.get_subsystem_position(instrument_code)
average_position_for_turnover = this_stage.get_volatility_scalar(
instrument_code)
return turnover(positions, average_position_for_turnover)
def _instrument_turnover(
system, instrument_code, this_stage, roundpositions):
average_position_for_turnover=multiply_df_single_column( this_stage.get_volatility_scalar(instrument_code),
this_stage.get_instrument_scaling_factor(instrument_code),
ffill=(True, True))
positions = this_stage.get_buffered_position(instrument_code, roundpositions = roundpositions)
return turnover(positions, average_position_for_turnover)
def _forecast_turnover(
system, instrument_code, rule_variation_name, this_stage):
forecast = this_stage.get_capped_forecast(
instrument_code, rule_variation_name)
average_forecast_for_turnover=system_defaults['average_absolute_forecast']
turnover_for_SR=turnover(forecast, average_forecast_for_turnover)
return turnover_for_SR
def _forecast_turnover(system, instrument_code, rule_variation_name,
this_stage):
forecast = this_stage.get_capped_forecast(instrument_code,
rule_variation_name)
average_forecast_for_turnover = system_defaults[
'average_absolute_forecast']
turnover_for_SR = turnover(forecast, average_forecast_for_turnover)
return turnover_for_SR
def _forecast_turnover_for_individual_instrument(
self, instrument_code: str, rule_variation_name: str) -> float:
forecast = self.get_capped_forecast(instrument_code,
rule_variation_name)
average_forecast_for_turnover = self.average_forecast()
annual_turnover_for_forecast = turnover(forecast,
average_forecast_for_turnover)
return annual_turnover_for_forecast
def _instrument_turnover(system, instrument_code, this_stage,
roundpositions):
average_position_for_turnover = multiply_df_single_column(
this_stage.get_volatility_scalar(instrument_code),
this_stage.get_instrument_scaling_factor(instrument_code),
ffill=(True, True))
positions = this_stage.get_buffered_position(
instrument_code, roundpositions=roundpositions)
return turnover(positions, average_position_for_turnover)
def optimised_turnover_at_portfolio_level(
self,
instrument_code: str,
) -> float:
## assumes we use all capital
average_position_for_turnover = self.get_volatility_scalar(
instrument_code)
## Using actual capital
positions = self.get_optimised_position(instrument_code)
## Turnover will be at portfolio level, so a small number, but meaningful when added up
return turnover(positions, average_position_for_turnover)
def subsystem_turnover(self, instrument_code):
"""
Get the annualised turnover for an instrument subsystem
:param instrument_code: instrument to get values for
:type instrument_code: str
:returns: float
"""
positions = self.get_aligned_subsystem_position(instrument_code)
average_position_for_turnover = self.get_aligned_volatility_scalar(
instrument_code)
return turnover(positions, average_position_for_turnover)
def subsystem_turnover(self, instrument_code, roundpositions=True):
"""
Get the annualised turnover for an instrument subsystem
:param instrument_code: instrument to get values for
:type instrument_code: str
:returns: float
"""
positions = self.get_aligned_subsystem_position(instrument_code)
average_position_for_turnover = self.get_aligned_volatility_scalar(
instrument_code)
return turnover(positions, average_position_for_turnover)
def forecast_turnover_for_list_by_instrument(self, instrument_code_list,
rule_variation_name):
forecast_list = [
self.get_capped_forecast(instrument_code, rule_variation_name)
for instrument_code in instrument_code_list
]
config = self.parent.config ## FIX ME CHANGE
average_forecast_for_turnover = config.average_absolute_forecast
turnovers = [
turnover(forecast, average_forecast_for_turnover)
for forecast in forecast_list
]
return turnovers
def forecast_turnover_for_list(
self,
instrument_code_list,
rule_variation_name):
"""
Get the average turnover for a rule, over instrument_code_list
:param instrument_code_list: instruments to get values for
:type instrument_code_list: list of str
:param rule_variation_name: rule to get values for
:type rule_variation_name: str
:returns: float
"""
average_forecast_for_turnover = get_default_config_key_value(
"average_absolute_forecast"
)
forecast_list = [
self.get_capped_forecast(instrument_code, rule_variation_name)
for instrument_code in instrument_code_list
]
turnovers = [
turnover(forecast, average_forecast_for_turnover)
for forecast in forecast_list
]
if len(instrument_code_list) == 1:
return turnovers[0]
# weight by length
forecast_lengths = [len(forecast.index) for forecast in forecast_list]
total_length = sum(forecast_lengths)
weighted_turnovers = [
tover * fc_length / total_length
for (tover, fc_length) in zip(turnovers, forecast_lengths)
]
avg_turnover = sum(weighted_turnovers)
return avg_turnover
def forecast_turnover_for_list(self, instrument_code_list,
rule_variation_name):
"""
Get the average turnover for a rule, over instrument_code_list
:param instrument_code_list: instruments to get values for
:type instrument_code_list: list of str
:param rule_variation_name: rule to get values for
:type rule_variation_name: str
:returns: float
"""
average_forecast_for_turnover = system_defaults[
'average_absolute_forecast']
forecast_list = [
self.get_capped_forecast(instrument_code, rule_variation_name)
for instrument_code in instrument_code_list
]
turnovers = [
turnover(forecast, average_forecast_for_turnover)
for forecast in forecast_list
]
if len(instrument_code_list) == 1:
return turnovers[0]
# weight by length
forecast_lengths = [len(forecast.index) for forecast in forecast_list]
total_length = sum(forecast_lengths)
weighted_turnovers = [
tover * fc_length / total_length
for (tover, fc_length) in zip(turnovers, forecast_lengths)
]
avg_turnover = sum(weighted_turnovers)
return avg_turnover
def instrument_turnover(self, instrument_code, roundpositions=True):
"""
Get the annualised turnover for an instrument
:param instrument_code: instrument to get values for
:type instrument_code: str
:param rule_variation_name: rule to get values for
:type rule_variation_name: str
:returns: float
"""
average_position_for_turnover = self.get_aligned_volatility_scalar(
instrument_code) * self.get_instrument_scaling_factor(
instrument_code)
positions = self.get_buffered_position(instrument_code,
roundpositions=roundpositions)
return turnover(positions, average_position_for_turnover)
def instrument_turnover(self, instrument_code, roundpositions=True):
"""
Get the annualised turnover for an instrument
:param instrument_code: instrument to get values for
:type instrument_code: str
:param rule_variation_name: rule to get values for
:type rule_variation_name: str
:returns: float
"""
average_position_for_turnover = self.get_aligned_volatility_scalar(
instrument_code) * self.get_instrument_scaling_factor(
instrument_code)
positions = self.get_buffered_position(
instrument_code, roundpositions=roundpositions)
return turnover(positions, average_position_for_turnover)