Ejemplos de Config.forecast_weight_estimate en Python

Ejemplo n.º 1

Archivo: simplesystem.py Proyecto: caitouwh/kod

from systems.forecast_combine import ForecastCombine

## defaults
combiner = ForecastCombine()
my_system = System([fcs, my_rules, combiner], data, my_config)
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(my_system.combForecast.get_forecast_diversification_multiplier("EDOLLAR").tail(5))


## estimates:
from systems.account import Account
my_account = Account()
combiner = ForecastCombine()

my_config.forecast_weight_estimate=dict(method="one_period")
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)

Ejemplo n.º 2

Archivo: simplesystem.py Proyecto: pauljherrera/ib_pysystemtrade

from systems.forecast_combine import ForecastCombine

# defaults
combiner = ForecastCombine()
my_system = System([fcs, my_rules, combiner], data, my_config)
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(
    my_system.combForecast.get_forecast_diversification_multiplier(
        "EDOLLAR").tail(5))

# estimates:
from systems.account import Account
my_account = Account()
combiner = ForecastCombine()

my_config.forecast_weight_estimate = dict(method="one_period")
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)

Ejemplo n.º 3

from systems.account import Account
from systems.forecast_combine import ForecastCombine
from systems.forecast_scale_cap import ForecastScaleCap
from systems.basesystem import System
from sysdata.csvdata import csvFuturesData
from systems.forecasting import Rules
from systems.forecasting import TradingRule

data = csvFuturesData()
my_config = Config()

ewmac_8 = TradingRule((ewmac, [], dict(Lfast=8, Lslow=32)))
ewmac_32 = TradingRule(dict(function=ewmac, other_args=dict(Lfast=32, Lslow=128)))
my_rules = Rules(dict(ewmac8=ewmac_8, ewmac32=ewmac_32))
my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)

#my_config.instruments=[ "US20", "NASDAQ", "SP500"]
my_config.instruments=[ "SP500"]
my_config.forecast_weight_estimate=dict(method="bootstrap")
my_config.forecast_weight_estimate['monte_runs']=50
my_config.use_forecast_weight_estimates=True
my_system = System([Account(), ForecastScaleCap(), my_rules, ForecastCombine()], data, my_config)
logging.debug(my_system.combForecast.get_forecast_weights("SP500").tail(5))

# DEBUG:root:             ewmac32    ewmac8
# 2015-12-07  0.632792  0.367208
# 2015-12-08  0.632930  0.367070
# 2015-12-09  0.633066  0.366934
# 2015-12-10  0.633201  0.366799
# 2015-12-11  0.633335  0.366665