def production_classic_futures_system(
data,
config_filename,
log=logtoscreen("futures_system"),
notional_trading_capital=None,
base_currency=None,
):
log_level = "on"
# ugly but once you've established a pattern...
sim_data = dataSimData(data).sim_data()
config = Config(config_filename)
# Overwrite capital
if notional_trading_capital is not None:
config.notional_trading_capital = notional_trading_capital
if base_currency is not None:
config.base_currency = base_currency
system = futures_system(data=sim_data, config=config)
system.log = log
system.set_logging_level(log_level)
return system
def production_futures_system(config_filename, log=logger("futures_system"),
notional_trading_capital=1000000, base_currency="USD"):
"""
:param data: data object (defaults to reading from csv files)
:type data: sysdata.data.simData, or anything that inherits from it
:param config: Configuration object (defaults to futuresconfig.yaml in this directory)
:type config: sysdata.configdata.Config
:param log_level: How much logging to do
:type log_level: str
"""
log_level = "on"
data = arcticFuturesSimData()
config = Config(
config_filename)
# Overwrite capital
config.notional_trading_capital = notional_trading_capital
config.base_currency = base_currency
system = futures_system(data=data, config=config)
system.log = log
system.set_logging_level(log_level)
return system
def production_classic_futures_system(config_filename, log=logtoscreen("futures_system"),
notional_trading_capital=1000000, base_currency="USD"):
log_level = "on"
data = arcticFuturesSimData()
config = Config(
config_filename)
# Overwrite capital
config.notional_trading_capital = notional_trading_capital
config.base_currency = base_currency
system = futures_system(data=data, config=config)
system.log = log
system.set_logging_level(log_level)
return system
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_system = System([fcs, my_rules, combiner, possizer], data, my_config)
print(my_system.positionSize.get_price_volatility("EDOLLAR").tail(5))
print(my_system.positionSize.get_block_value("EDOLLAR").tail(5))
print(my_system.positionSize.get_instrument_sizing_data("EDOLLAR"))
print(my_system.positionSize.get_instrument_value_vol("EDOLLAR").tail(5))
print(my_system.positionSize.get_volatility_scalar("EDOLLAR").tail(5))
print(my_system.positionSize.get_daily_cash_vol_target())
print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
# portfolio - estimated
from systems.portfolio import Portfolios
portfolio = Portfolios()
## 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"
my_system = System([fcs, my_rules, combiner, possizer], data, my_config)
print(my_system.positionSize.get_price_volatility("EDOLLAR").tail(5))
print(my_system.positionSize.get_block_value("EDOLLAR").tail(5))
print(my_system.positionSize.get_instrument_sizing_data("EDOLLAR"))
print(my_system.positionSize.get_instrument_value_vol("EDOLLAR").tail(5))
print(my_system.positionSize.get_volatility_scalar("EDOLLAR").tail(5))
print(my_system.positionSize.get_daily_cash_vol_target())
print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
# portfolio - estimated
from systems.portfolio import Portfolios
portfolio= Portfolios()
