def initialize(self, parameters):
# R stuff: R functions file and rpy interface
self.r = robjects.r
portfolio_opt_file = '/'.join(
[os.path.expanduser('~/.intuition'), 'R', 'opt_utils.R'])
assert os.path.exists(portfolio_opt_file)
self.r('source("{}")'.format(portfolio_opt_file))
self.price_transform = transforms.get_past_returns(
refresh_period=parameters.get('refresh', 1),
window_length=parameters.get('window', 50),
compute_only_full=parameters.get('only_full', True))
def initialize(self, parameters):
# R stuff: R functions file and rpy interface
self.r = robjects.r
portfolio_opt_file = '/'.join(
[os.path.expanduser('~/.intuition'), 'R', 'opt_utils.R'])
assert os.path.exists(portfolio_opt_file)
self.r('source("{}")'.format(portfolio_opt_file))
self.price_transform = transforms.get_past_returns(
refresh_period=parameters.get('refresh', 1),
window_length=parameters.get('window', 50),
compute_only_full=parameters.get('only_full', True))
def initialize(self, properties):
for middleware in common_middlewares(properties, self.identity):
self.use(middleware)
# Set Max and Min positions in security
self.max_notional = 1000000.1
self.min_notional = -1000000.0
# This is the lookback window that the entire algorithm depends on
self.refresh_period = properties.get('rate', 10)
self.returns_transform = transforms.get_past_returns(
refresh_period=self.refresh_period,
window_length=properties.get('window', 40),
compute_only_full=True)
def initialize(self, properties):
for middleware in common_middlewares(properties, self.identity):
self.use(middleware)
# Set Max and Min positions in security
self.max_notional = 1000000.1
self.min_notional = -1000000.0
# This is the lookback window that the entire algorithm depends on
self.refresh_period = properties.get('rate', 10)
self.returns_transform = transforms.get_past_returns(
refresh_period=self.refresh_period,
window_length=properties.get('window', 40),
compute_only_full=True)
