my_config.instrument_weight_estimate = dict(method="shrinkage",
date_method="in_sample")
my_system = System([my_account, fcs, my_rules, combiner, possizer, portfolio],
data, my_config)
my_system.set_logging_level("on")
print(my_system.portfolio.get_instrument_weights().tail(5))
print(my_system.portfolio.get_instrument_diversification_multiplier().tail(5))
# or fixed
portfolio = Portfolios()
my_config.use_instrument_weight_estimates = False
my_config.use_instrument_div_mult_estimates = False
my_config.instrument_weights = dict(US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2)
my_config.instrument_div_multiplier = 1.5
my_system = System([fcs, my_rules, combiner, possizer, portfolio], data,
my_config)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
"""
Have we made some dosh?
"""
my_system = System([fcs, my_rules, combiner, possizer, portfolio, my_account],
data, my_config)
profits = my_system.accounts.portfolio()
print(profits.percent().stats())
my_config.use_instrument_weight_estimates=True
my_config.instrument_weight_estimate=dict(method="shrinkage", date_method="in_sample")
my_system = System([my_account, fcs, my_rules, combiner, possizer,
portfolio], data, my_config)
my_system.set_logging_level("on")
print(my_system.portfolio.get_instrument_weights().tail(5))
print(my_system.portfolio.get_instrument_diversification_multiplier().tail(5))
## or fixed
portfolio = Portfolios()
my_config.use_instrument_weight_estimates=False
my_config.instrument_weights = dict(US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2)
my_config.instrument_div_multiplier = 1.5
my_system = System([fcs, my_rules, combiner, possizer,
portfolio], data, my_config)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
"""
Have we made some dosh?
"""
my_system = System([fcs, my_rules, combiner, possizer,
portfolio, my_account], data, my_config)
profits = my_system.accounts.portfolio()
print(profits.percent().stats())
