break_all=allrulespandl.to_frame().loc[:,bvariations].sum(axis=1)
both_plot=pd.concat([ewmac_all, break_all], axis=1)
print(both_plot.corr())
both_plot.plot()
show()
"""
# full backtest compare
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
# will do all instruments we have data for
del (my_config.instruments)
# temporarily remove breakout rules
my_config.rule_variations = evariations
my_config.forecast_weight_estimate["method"] = "equal_weights"
system_old = futures_system(config=my_config, log_level="on")
# new system has all trading rules
new_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
new_config.rule_variations = bvariations
new_config.forecast_weight_estimate["method"] = "equal_weights"
del (new_config.instruments)
system_new = futures_system(config=new_config, log_level="on")
curve1 = system_old.accounts.portfolio()
curve2 = system_new.accounts.portfolio()
print(curve1.stats())
break_all=allrulespandl.to_frame().loc[:,bvariations].sum(axis=1)
both_plot=pd.concat([ewmac_all, break_all], axis=1)
print(both_plot.corr())
both_plot.plot()
show()
"""
# full backtest compare
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
# will do all instruments we have data for
del (my_config.instruments)
# temporarily remove breakout rules
my_config.rule_variations = evariations
my_config.forecast_weight_estimate["method"] = "equal_weights"
system_old = futures_system(config=my_config, log_level="on")
# new system has all trading rules
new_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
new_config.rule_variations = bvariations
new_config.forecast_weight_estimate["method"] = "equal_weights"
del (new_config.instruments)
system_new = futures_system(config=new_config, log_level="on")
curve1 = system_old.accounts.portfolio()
curve2 = system_new.accounts.portfolio()
print(curve1.stats())