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(),
],
data,
config,
)
my_system.set_logging_level(log_level)
return my_system
def futures_system(data=None, config=None, trading_rules=None, log_level="terse"):
"""
:param data: data object (defaults to reading from csv files)
:type data: sysdata.data.Data, 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 = csvFuturesData()
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 futures_system(sim_data=arg_not_supplied,
config_filename="systems.provided.rob_system.config.yaml"):
if sim_data is arg_not_supplied:
sim_data = dbFuturesSimData()
config = Config(config_filename)
system = System(
[
Risk(),
accountForOptimisedStage(),
optimisedPositions(),
Portfolios(),
PositionSizing(),
myFuturesRawData(),
ForecastCombine(),
volAttenForecastScaleCap(),
Rules(),
],
sim_data,
config,
)
system.set_logging_level("on")
return system
def random_system_for_regression(config, rules, log_level="on"):
my_system = System([Account(), PortfoliosFixed(), PositionSizing(), ForecastCombineEstimated(), ForecastScaleCapEstimated(), rules,
RawData()], csvFuturesData(), config)
my_system.set_logging_level(log_level)
return my_system
def futures_system(data=None, config=None, trading_rules=None, log_level="on"):
"""
:param data: data object (defaults to reading from csv files)
:type data: sysdata.data.Data, 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 None:
data = csvFuturesData()
if config is None:
config = Config(
"systems.provided.futures_chapter15.futuresconfig.yaml")
rules = Rules(trading_rules)
system = System([
Account(),
PortfoliosFixed(),
PositionSizing(),
FuturesRawData(),
ForecastCombine(),
ForecastScaleCap(), rules
], data, config)
system.set_logging_level(log_level)
return system
def futures_system(data=None, config=None, trading_rules=None, log_level="on"):
"""
:param data: data object (defaults to reading from csv files)
:type data: sysdata.data.Data, 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 None:
data = csvFuturesData()
if config is None:
config = Config(
"systems.provided.futures_chapter15.futuresconfig.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 random_system_for_regression(data, config, rules, log_level="on"):
my_system = System([
Account(), PortfoliosFixed(), PositionSizing(),
ForecastCombineEstimated(), ForecastScaleCapEstimated(), rules,
RawData()
], data, config)
my_system.set_logging_level(log_level)
return my_system
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 = csvFuturesData()
my_system = System([Account(), PortfoliosFixed(), PositionSizing(), ForecastCombineFixed(), ForecastScaleCapFixed(), Rules()
], data, config)
my_system.set_logging_level(log_level)
return my_system
def futures_system(
data=None,
config=None,
trading_rules=None,
log_level="terse"):
"""
: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 futures_system(data, config):
system = System(
[
Risk(),
accountForOptimisedStage(),
optimisedPositions(),
Portfolios(),
PositionSizing(),
RawData(),
ForecastCombine(),
ForecastScaleCap(),
Rules(),
],
data,
config,
)
system.set_logging_level("on")
return system
def test_simple_system_combining_and_estimating(
self, data, raw_data, my_rules, my_config, fcs, combiner, possizer, account
):
# estimates:
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(
[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
)
)
def test_simple_system_portfolio_estimated(
self, data, raw_data, my_rules, my_config, fcs, combiner, possizer, account
):
# 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(
[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))
my_system.combForecast.get_forecast_diversification_multiplier(
"EDOLLAR").tail(5))
# estimates:
from systems.account import Account
my_account = Account()
combiner = ForecastCombine()
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
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(my_system.combForecast.get_forecast_diversification_multiplier("EDOLLAR").tail(5))
## estimates:
from systems.account import Account
my_account = Account()
combiner = ForecastCombine()
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)
def test_simple_system(self):
"""
This is (mostly) the code from 'examples.introduction.simplesystem',
but without graph plotting
"""
data = csvFuturesSimData()
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], 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], 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], 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], 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], 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()
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
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_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], 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],
data, my_config)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
my_system = System(
[fcs, my_rules, combiner, possizer, portfolio, my_account], 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()
],
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()
],
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))
