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(),
ForecastCombineFixed(),
ForecastScaleCapFixed(), rules
], data, config)
system.set_logging_level(log_level)
return system
def get_test_object_futures_with_rules_and_capping():
"""
Returns some standard test data
"""
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
config = Config("systems.provided.example.exampleconfig.yaml")
capobject = ForecastScaleCapFixed()
return (capobject, rules, rawdata, data, config)
def get_test_object_futures_with_pos_sizing():
"""
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()
return (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_system = System([empty_rules], data, my_config)
my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
from systems.forecast_scale_cap import ForecastScaleCapFixed, ForecastScaleCapEstimated
## we can estimate these ourselves
my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500"]
fcs_estimate = ForecastScaleCapEstimated()
my_system = System([fcs_estimate, my_rules], data, my_config)
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)
fcs = ForecastScaleCapFixed()
my_system = System([fcs, my_rules], data, my_config)
print(
my_system.forecastScaleCap.get_capped_forecast("EDOLLAR",
"ewmac32").tail(5))
"""
combine some rules
"""
from systems.forecast_combine import ForecastCombineFixed, ForecastCombineEstimated
## defaults
fixed_combiner = ForecastCombineFixed()
my_system = System([fcs, my_rules, fixed_combiner], data, my_config)
print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
print(