my_config.use_forecast_weight_estimates = True
my_config.use_forecast_div_mult_estimates = True
my_system = System([my_account, fcs, my_rules, combiner], data, my_config)
# this is a bit slow, better to know what's going on
my_system.set_logging_level("on")
print(my_system.combForecast.get_forecast_weights("US10").tail(5))
print(
my_system.combForecast.get_forecast_diversification_multiplier(
"US10").tail(5))
# fixed:
my_config.forecast_weights = dict(ewmac8=0.5, ewmac32=0.5)
my_config.forecast_div_multiplier = 1.1
my_config.use_forecast_weight_estimates = False
my_config.use_forecast_div_mult_estimates = False
combiner = ForecastCombine()
my_system = System([fcs, empty_rules, combiner], data,
my_config) # no need for accounts if no estimation done
my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
# size positions
from systems.positionsizing import PositionSizing
possizer = PositionSizing()
my_config.percentage_vol_target = 25
my_config.notional_trading_capital = 500000
my_config.base_currency = "GBP"
my_config.use_forecast_weight_estimates=True
my_system = System([my_account, fcs, my_rules, combiner], data, my_config)
## this is a bit slow, better to know what's going on
my_system.set_logging_level("on")
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(my_system.combForecast.get_forecast_diversification_multiplier("EDOLLAR").tail(5))
## fixed:
my_config.forecast_weights = dict(ewmac8=0.5, ewmac32=0.5)
my_config.forecast_div_multiplier = 1.1
my_config.use_forecast_weight_estimates=False
combiner = ForecastCombine()
my_system = System([fcs, empty_rules, combiner], data, my_config)
my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
# size positions
from systems.positionsizing import PositionSizing
possizer = PositionSizing()
my_config.percentage_vol_target = 25
my_config.notional_trading_capital = 500000
my_config.base_currency = "GBP"
