Python Config.use_forecast_div_mult_estimates Exemples

Exemple #1

Fichier : simplesystem.py Projet : pauljherrera/ib_pysystemtrade

# 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.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