def test_simple_system_config_import(self, data):
my_config = Config("systems.provided.example.simplesystemconfig.yaml")
my_config.risk_overlay = arg_not_supplied
my_config.exclude_instrument_lists = dict(
ignore_instruments=["MILK"],
trading_restrictions=["BUTTER"],
bad_markets=["CHEESE"],
)
print(my_config)
my_system = System(
[
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
RawData(),
],
data,
my_config,
)
print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
print(
my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5)
)
print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
def simplesystem(data=None, config=None, log_level="on"):
"""
Example of how to 'wrap' a complete system
"""
if config is None:
config = Config("systems.provided.example.simplesystemconfig.yaml")
if data is None:
data = csvFuturesSimData()
my_system = System(
[
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
RawData(),
],
data,
config,
)
my_system.set_logging_level(log_level)
return my_system
def test_estimated_dm(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System(
[
self.rawdata,
self.rules,
self.possizing,
self.forecast_combine,
self.fcs,
Account(),
self.portfolios(),
],
self.data,
config,
)
ans = system2.portfolio.get_instrument_correlation_matrix(
).corr_list[-1]
self.assertAlmostEqual(ans[0][1], 0.3889, places=3)
self.assertAlmostEqual(ans[0][2], 0.5014, places=3)
self.assertAlmostEqual(ans[1][2], 0.8771, places=3)
ans = system2.portfolio.get_estimated_instrument_diversification_multiplier(
)
self.assertAlmostEqual(ans.values[-1], 1.1855, places=3)
def setUpWithEstimatedReturns(self):
config = copy.copy(self.config)
config.use_forecast_weight_estimates = True
config.use_forecast_div_mult_estimates = True
new_system = System(
[self.rawdata, self.rules, self.fcs, self.forecast_combine(), Account()],
self.data,
config,
)
return new_system
def get_test_object_futures_with_rules_and_capping_estimate():
"""
Returns some standard test data
"""
data = csvFuturesSimData()
rawdata = FuturesRawData()
rules = Rules()
config = Config("systems.provided.example.estimateexampleconfig.yaml")
capobject = ForecastScaleCap()
account = Account()
return (account, capobject, rules, rawdata, data, config)
def get_test_object_futures_with_pos_sizing_estimates():
"""
Returns some standard test data
"""
data = csvFuturesSimData()
rawdata = RawData()
rules = Rules()
config = Config("systems.provided.example.estimateexampleconfig.yaml")
capobject = ForecastScaleCap()
combobject = ForecastCombine()
posobject = PositionSizing()
account = Account()
return (account, posobject, combobject, capobject, rules, rawdata, data,
config)
def futures_system(data=None,
config=None,
trading_rules=arg_not_supplied,
log_level="on"):
"""
: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 trading_rules: Set of trading rules to use (defaults to set specified in config object)
:param trading_rules: list or dict of TradingRules, or something that can be parsed to that
:param log_level: Set of trading rules to use (defaults to set specified in config object)
:type log_level: str
"""
if data is None:
data = csvFuturesSimData()
if config is None:
config = Config(
"systems.provided.futures_chapter15.futuresestimateconfig.yaml")
rules = Rules(trading_rules)
system = System(
[
Account(),
Portfolios(),
PositionSizing(),
FuturesRawData(),
ForecastCombine(),
ForecastScaleCap(),
rules,
],
data,
config,
)
system.set_logging_level(log_level)
return system
def test_estimated_instrument_weights(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System(
[
self.rawdata,
self.rules,
self.possizing,
self.forecast_combine,
self.fcs,
Account(),
self.portfolios(),
],
self.data,
config,
)
ans = system2.portfolio.get_instrument_weights()
self.assertAlmostEqual(ans.BUND.values[-1], 0.541, places=2)
self.assertAlmostEqual(ans.EDOLLAR.values[-1], 0.346, places=2)
self.assertAlmostEqual(ans.US10.values[-1], 0.1121, places=2)
def test_simple_system_risk_overlay(self, data, ewmac_8, ewmac_32):
my_config = Config(
dict(
trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32),
instrument_weights=dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2),
instrument_div_multiplier=1.5,
forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65),
forecast_weights=dict(ewmac8=0.5, ewmac32=0.5),
forecast_div_multiplier=1.1,
percentage_vol_target=25.00,
notional_trading_capital=500000,
base_currency="GBP",
risk_overlay=dict(
max_risk_fraction_normal_risk=1.4,
max_risk_fraction_stdev_risk=3.6,
max_risk_limit_sum_abs_risk=3.4,
max_risk_leverage=13.0,
),
exclude_instrument_lists=dict(
ignore_instruments=["MILK"],
trading_restrictions=["BUTTER"],
bad_markets=["CHEESE"],
),
)
)
print(my_config)
my_system = System(
[
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
RawData(),
],
data,
my_config,
)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
def test_actual_positions(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System(
[
self.rawdata,
self.rules,
self.possizing,
self.forecast_combine,
self.fcs,
Account(),
self.portfolios(),
],
self.data,
config,
)
ans = system2.portfolio.get_actual_position("EDOLLAR")
self.assertAlmostEqual(ans.values[-1], 1.058623, places=4)
ans = system2.portfolio.get_actual_buffers_for_position("EDOLLAR")
self.assertAlmostEqual(ans.values[-1][0], 1.164485, places=4)
self.assertAlmostEqual(ans.values[-1][1], 0.952761, places=4)
"""
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.accounts.accounts_stage import Account
from systems.futures.rawdata import RawData
from systems.positionsizing import PositionSizing
my_account = Account()
combiner = ForecastCombine()
raw_data = RawData()
position_size = PositionSizing()
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, raw_data, position_size], 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))
def test_get_returns_for_optimisation(self):
# Note: More thorough tests will be run inside optimisation module
# (FIXME next refactoring) At this point we don't run proper tests but
# just check all the plumbing works with new caching code
# FIXME rewrite proper tests once refactored optimisation generally
system = self.setUpWithEstimatedReturns()
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"EDOLLAR", "ewmac8"))
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"BUND", "ewmac8"))
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"US10", "ewmac8"))
print(system.combForecast.has_same_cheap_rules_as_code("EDOLLAR"))
print(system.combForecast.has_same_cheap_rules_as_code("BUND"))
print(system.combForecast.has_same_cheap_rules_as_code("US10"))
print(system.combForecast.get_returns_for_optimisation("EDOLLAR").to_frame())
print(system.combForecast.get_returns_for_optimisation("BUND").to_frame())
print(system.combForecast.get_returns_for_optimisation("US10").to_frame())
print(system.combForecast.has_same_cheap_rules_as_code("EDOLLAR"))
print(system.combForecast.has_same_cheap_rules_as_code("BUND"))
print(system.combForecast.has_same_cheap_rules_as_code("US10"))
# default - don't pool costs, pool gross
print(system.combForecast.get_raw_monthly_forecast_weights("BUND"))
# pool neither gross or costs
config = copy.copy(system.config)
config.forecast_weight_estimate["pool_gross_returns"] = False
config.forecast_weight_estimate["forecast_cost_estimates"] = False
system2 = System(
[self.rawdata, self.rules, self.fcs, self.forecast_combine(), Account()],
self.data,
config,
)
print(system2.combForecast.get_raw_monthly_forecast_weights("BUND"))
# pool gross, not costs
config = copy.copy(system.config)
config.forecast_weight_estimate["pool_gross_returns"] = True
config.forecast_weight_estimate["forecast_cost_estimates"] = False
system2 = System(
[self.rawdata, self.rules, self.fcs, self.forecast_combine(), Account()],
self.data,
config,
)
print(system2.combForecast.get_raw_monthly_forecast_weights("BUND"))
# pool both (special function)
config = copy.copy(system.config)
config.forecast_weight_estimate["pool_gross_returns"] = True
config.forecast_weight_estimate["forecast_cost_estimates"] = True
system2 = System(
[self.rawdata, self.rules, self.fcs, self.forecast_combine(), Account()],
self.data,
config,
)
print(system2.combForecast.get_raw_monthly_forecast_weights("BUND"))
def test_simple_system(self):
"""
This is (mostly) the code from 'examples.introduction.simplesystem',
but without graph plotting
"""
data = csvFuturesSimData()
raw_data = RawData()
my_rules = Rules(ewmac)
print(my_rules.trading_rules())
my_rules = Rules(dict(ewmac=ewmac))
print(my_rules.trading_rules())
my_system = System([my_rules, raw_data], data)
print(my_system)
print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac").tail(5))
ewmac_rule = TradingRule(ewmac)
my_rules = Rules(dict(ewmac=ewmac_rule))
print(ewmac_rule)
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))
print(my_rules.trading_rules()["ewmac32"])
my_system = System([my_rules, raw_data], data)
my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
my_config = Config()
print(my_config)
empty_rules = Rules()
my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
my_system = System([empty_rules, raw_data], data, my_config)
my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
# we can estimate these ourselves
my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500"]
my_config.use_forecast_scale_estimates = True
fcs = ForecastScaleCap()
my_system = System([fcs, my_rules, raw_data], data, my_config)
my_config.forecast_scalar_estimate["pool_instruments"] = False
print(
my_system.forecastScaleCap.get_forecast_scalar(
"EDOLLAR",
"ewmac32").tail(5))
# or we can use the values from the book
my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
my_config.use_forecast_scale_estimates = False
fcs = ForecastScaleCap()
my_system = System([fcs, my_rules], data, my_config)
print(
my_system.forecastScaleCap.get_capped_forecast(
"EDOLLAR",
"ewmac32").tail(5))
# defaults
combiner = ForecastCombine()
my_system = System([fcs, my_rules, combiner, raw_data], 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:
my_account = Account()
combiner = ForecastCombine()
possizer = PositionSizing()
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, raw_data, possizer], 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, raw_data], data, my_config
) # no need for accounts if no estimation done
my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
# size positions
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, raw_data], 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_underlying_price("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_vol_target_dict())
print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
# portfolio - estimated
portfolio = Portfolios()
my_config.use_instrument_weight_estimates = True
my_config.use_instrument_div_mult_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, raw_data], 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=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2)
my_config.instrument_div_multiplier = 1.5
my_system = System([fcs, my_rules, combiner, possizer,
portfolio, raw_data], data, my_config)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
my_system = System(
[fcs, my_rules, combiner, possizer, portfolio, my_account, raw_data], data, my_config
)
profits = my_system.accounts.portfolio()
print(profits.percent.stats())
# have costs data now
print(profits.gross.percent.stats())
print(profits.net.percent.stats())
my_config = Config(
dict(
trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32),
instrument_weights=dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2),
instrument_div_multiplier=1.5,
forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65),
forecast_weights=dict(ewmac8=0.5, ewmac32=0.5),
forecast_div_multiplier=1.1,
percentage_vol_target=25.00,
notional_trading_capital=500000,
base_currency="GBP"
)
)
print(my_config)
my_system = System(
[
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
RawData()
],
data,
my_config,
)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
my_config = Config("systems.provided.example.simplesystemconfig.yaml")
print(my_config)
my_system = System(
[
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
RawData()
],
data,
my_config,
)
print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
print(
my_system.forecastScaleCap.get_capped_forecast(
"EDOLLAR",
"ewmac32").tail(5))
print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
def account():
return Account()
def futures_system(
data=arg_not_supplied,
config=arg_not_supplied,
trading_rules=arg_not_supplied,
log_level="on",
):
"""
: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 trading_rules: Set of trading rules to use (defaults to set specified in config object)
:type trading_rules: list or dict of TradingRules, or something that can be parsed to that
:param log_level: How much logging to do
:type log_level: str
>>> system=futures_system(log_level="off")
>>> system
System with stages: accounts, portfolio, positionSize, rawdata, combForecast, forecastScaleCap, rules
>>> system.rules.get_raw_forecast("EDOLLAR", "ewmac2_8").dropna().head(2)
ewmac2_8
1983-10-10 0.695929
1983-10-11 -0.604704
ewmac2_8
2015-04-21 0.172416
2015-04-22 -0.477559
>>> system.rules.get_raw_forecast("EDOLLAR", "carry").dropna().head(2)
carry
1983-10-10 0.952297
1983-10-11 0.854075
carry
2015-04-21 0.350892
2015-04-22 0.350892
"""
if data is arg_not_supplied:
data = csvFuturesSimData()
if config is arg_not_supplied:
config = Config(
"systems.provided.futures_chapter15.futuresconfig.yaml")
rules = Rules(trading_rules)
system = System(
[
Account(),
Portfolios(),
PositionSizing(),
RawData(),
ForecastCombine(),
ForecastScaleCap(),
rules,
],
data,
config,
)
system.set_logging_level(log_level)
return system