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 get_test_object_futures_with_portfolios():
"""
Returns some standard test data
"""
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
config = Config("systems.provided.example.exampleconfig.yaml")
capobject = ForecastScaleCapFixed()
combobject = ForecastCombineFixed()
posobject = PositionSizing()
portfolio = PortfoliosFixed()
return (portfolio, posobject, combobject, capobject, rules, rawdata, data,
config)
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
my_config.instrument_weight_estimate = dict(method="shrinkage",
date_method="in_sample")
my_system = System(
[my_account, fcs, my_rules, fixed_combiner, possizer, portfolio_estimate],
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
from systems.portfolio import PortfoliosFixed
portfolio = PortfoliosFixed()
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, fixed_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, fixed_combiner, possizer, portfolio, my_account], data,
my_config)
profits = my_system.accounts.portfolio()
system1.positionSize.get_volatility_scalar(instrument_code).mean() *
2.0)
original_capital = system1.config.notional_trading_capital
accounts_this_instr = []
for target_max in [1.0, 2.0, 3.0, 4.0]:
# reset trading capital
config = system1.config
config.use_SR_costs = False
config.notional_trading_capital = original_capital * target_max / max_position
system1 = System([
Account(),
PortfoliosFixed(),
PositionSizing(),
FuturesRawData(),
ForecastCombineFixed(),
ForecastScaleCapFixed(),
Rules()
], csvFuturesData(), config)
system1.set_logging_level("on")
system1_rounded = system1.accounts.portfolio(roundpositions=True)
system1_unrounded = system1.accounts.portfolio(roundpositions=False)
system2 = System([
Account(),
PortfoliosFixed(),
system1.set_logging_level("on")
max_position=float(system1.positionSize.get_volatility_scalar(instrument_code).mean()*2.0)
original_capital = system1.config.notional_trading_capital
accounts_this_instr=[]
for target_max in [1.0, 2.0, 3.0, 4.0]:
## reset trading capital
config=system1.config
config.use_SR_costs=False
config.notional_trading_capital=original_capital *target_max / max_position
system1 = System([Account(), PortfoliosFixed(), PositionSizing(), FuturesRawData(), ForecastCombineFixed(),
ForecastScaleCapFixed(), Rules()], csvFuturesData(), config)
system1.set_logging_level("on")
system1_rounded=system1.accounts.portfolio(roundpositions=True)
system1_unrounded=system1.accounts.portfolio(roundpositions=False)
system2 = System([Account(), PortfoliosFixed(), PositionSizing(), FuturesRawData(), ForecastWithBinary(),
ForecastScaleCapFixed(), Rules()], csvFuturesData(), config)
system2.set_logging_level("on")
system2_rounded=system2.accounts.portfolio(roundpositions=True)
system2_unrounded=system2.accounts.portfolio(roundpositions=False)