my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
from systems.forecast_scale_cap import ForecastScaleCap
# we can estimate these ourselves
my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500"]
my_config.use_forecast_scale_estimates = True
fcs = ForecastScaleCap()
my_system = System([fcs, my_rules], data, my_config)
print(
my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR",
"ewmac32").tail(5))
# or we can use the values from the book
my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
my_config.use_forecast_scale_estimates = False
fcs = ForecastScaleCap()
my_system = System([fcs, my_rules], data, my_config)
print(
my_system.forecastScaleCap.get_capped_forecast("EDOLLAR",
"ewmac32").tail(5))
"""
combine some rules
"""
from systems.forecast_combine import ForecastCombine
# defaults
combiner = ForecastCombine()
my_system = System([fcs, my_rules, combiner], data, my_config)
my_system = System([empty_rules], data, my_config)
my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
from systems.forecast_scale_cap import ForecastScaleCap
## we can estimate these ourselves
my_config.instruments=[ "US10", "EDOLLAR", "CORN", "SP500"]
my_config.use_forecast_scale_estimates=True
fcs=ForecastScaleCap()
my_system = System([fcs, my_rules], data, my_config)
print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32").tail(5))
## or we can use the values from the book
my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
my_config.use_forecast_scale_estimates=False
fcs=ForecastScaleCap()
my_system = System([fcs, my_rules], data, my_config)
print(my_system.forecastScaleCap.get_capped_forecast(
"EDOLLAR", "ewmac32").tail(5))
"""
combine some rules
"""
from systems.forecast_combine import ForecastCombine
## defaults
combiner = ForecastCombine()
my_system = System([fcs, my_rules, combiner], data, my_config)
