def get_SR_bars_for_rule(rulename, trading_rule_dict, pos_sizing_class):
config = Config(dict(trading_rules=trading_rule_dict, Xfactor=get_x_for_rulename(rulename),
percentage_vol_target=16.0))
data = csvFuturesSimData()
config.forecast_weights = dict([(rulename, 1.0) for notUsed in [1]])
system = System([
Account(), Portfolios(), pos_sizing_class(), FuturesRawData(),
ForecastCombine(), ForecastScaleCap(), Rules()
], data, config)
system.set_logging_level("on")
curve = get_curvestack_for_rule(system)
return SR_error_bars_from_stacked(curve)
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)
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.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)
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"
