def testCallingTradingRule(self): # config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults")))) data = csvFuturesData("sysdata.tests") rawdata = RawData() rules = Rules() system = System([rawdata, rules], data) # Call with default data and config rule = TradingRule(ewmac_forecast_with_defaults) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], 2.1384223788141838, 5) # Change the data source rule = TradingRule(( "systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol", ["rawdata.get_daily_prices", "rawdata.daily_returns_volatility"], dict())) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], 0.029376, 5) rule = TradingRule( dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol", data=[ "rawdata.get_daily_prices", "rawdata.daily_returns_volatility" ], other_args=dict(Lfast=50, Lslow=200))) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], 3.84426755)
def testRules(self): # config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults")))) data = csvFuturesData("sysdata.tests") rules = Rules( dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults")) system = System([rules], data) ans = system.rules.get_raw_forecast("EDOLLAR", "rule0") self.assertAlmostEqual(ans.tail(1).values[0], 2.1384223788141838, 5) config = Config( dict(trading_rules=dict(ewmac=dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults")) )) rules = Rules() system = System([rules], data, config) ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac") self.assertAlmostEqual(ans.tail(1).values[0], 2.1384223788141838, 5) config = Config("systems.provided.example.exampleconfig.yaml") rawdata = RawData() rules = Rules() system = System([rules, rawdata], data, config) ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac8") self.assertAlmostEqual(ans.tail(1).values[0], 0.16438313875, 5)
def testCallingTradingRule(self): # config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults")))) NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object() rawdata = RawData() rules = Rules() system = System([rawdata, rules], data) # Call with default data and config rule = TradingRule(ewmac_forecast_with_defaults) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5) # Change the data source rule = TradingRule(( "systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol", ["rawdata.get_daily_prices", "rawdata.daily_returns_volatility"], dict())) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], -1.24349, 5) rule = TradingRule( dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults_no_vol", data=[ "rawdata.get_daily_prices", "rawdata.daily_returns_volatility" ], other_args=dict(Lfast=50, Lslow=200))) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], -3.025001057146)
def testRules(self): # config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults")))) NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object() rules = Rules( dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults")) system = System([rules], data) ans = system.rules.get_raw_forecast("EDOLLAR", "rule0") self.assertAlmostEqual(ans.tail(1).values[0], -3.280028, 5) config = Config( dict(trading_rules=dict(ewmac=dict( function= "systems.provided.example.rules.ewmac_forecast_with_defaults")) )) rules = Rules() system = System([rules], data, config) ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac") self.assertAlmostEqual(ans.tail(1).values[0], -3.28002839, 5) config = Config("systems.provided.example.exampleconfig.yaml") rawdata = RawData() rules = Rules() system = System([rules, rawdata], data, config) ans = system.rules.get_raw_forecast("EDOLLAR", "ewmac8") self.assertAlmostEqual(ans.tail(1).values[0], -2.158634, 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_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 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 get_test_object(): """ Returns some standard test data """ data = csvFuturesData("sysdata.tests") rawdata = RawData() config = Config("systems.provided.example.exampleconfig.yaml") return (rawdata, data, config)
def get_test_object_futures_with_rules(): """ Returns some standard test data """ data = csvFuturesSimData() rawdata = RawData() rules = Rules() config = Config("systems.provided.example.exampleconfig.yaml") return (rules, rawdata, data, config)
def get_test_object_futures_with_rules_and_capping(): """ Returns some standard test data """ data = csvFuturesSimData() rawdata = RawData() rules = Rules() config = Config("systems.provided.example.exampleconfig.yaml") capobject = ForecastScaleCap() return (capobject, rules, rawdata, data, config)
def get_test_object_futures_with_pos_sizing(): """ Returns some standard test data """ data = csvFuturesSimData() rawdata = RawData() rules = Rules() config = Config("systems.provided.example.exampleconfig.yaml") capobject = ForecastScaleCap() combobject = ForecastCombine() posobject = PositionSizing() return (posobject, combobject, capobject, rules, rawdata, data, config)
def get_test_object(): """ Returns some standard test data """ data = csvFuturesSimData(datapath_dict=dict( config_data="sysdata.tests.configtestdata", adjusted_prices="sysdata.tests.adjtestdata", spot_fx_data="sysdata.tests.fxtestdata", multiple_price_data="sysdata.tests.multiplepricestestdata")) rawdata = RawData() config = Config("systems.provided.example.exampleconfig.yaml") return (rawdata, data, config)
def testCarryRule(self): NOTUSEDrawdata, data, NOTUSEDconfig = get_test_object() rawdata = RawData() rules = Rules() system = System([rawdata, rules], data) rule = TradingRule( carry, [ "rawdata.daily_annualised_roll", ], dict(smooth_days=90), ) ans = rule.call(system, "EDOLLAR") self.assertAlmostEqual(ans.tail(1).values[0], 0.138302, 5)
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(), RawData(), 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_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_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))
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.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 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
def raw_data(): return RawData()