def test_get_raw_fixed_forecast_weights(self):
# fixed weights:
# nested dict (in config)
ans1a = self.system.combForecast.get_forecast_weights("EDOLLAR")
self.assertAlmostEqual(ans1a.ewmac16.values[-1], 0.5)
ans1b = self.system.combForecast.get_raw_forecast_weights("BUND")
self.assertEqual(ans1b.ewmac8.values[-1], 1.0)
# missing; equal weights
config = copy.copy(self.config)
del (config.forecast_weights)
system2 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans2 = system2.combForecast.get_forecast_weights("BUND")
self.assertAlmostEqual(ans2.ewmac8.values[-1], 0.49917057) # smoothing
# non nested dict
config.forecast_weights = dict(ewmac8=0.1, ewmac16=0.9)
system3 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans3 = system3.combForecast.get_forecast_weights("BUND")
self.assertEqual(ans3.ewmac8.values[-1], 0.099834114877206212)
def test_get_capped_forecast(self):
# fixed, normal cap
self.assertAlmostEqual(
self.system.forecastScaleCap.get_capped_forecast(
"EDOLLAR", "ewmac8").tail(1).values[0], 0.871230635)
# estimated, normal cap
config = copy.copy(self.config)
config.use_forecast_scale_estimates = True
system2 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
self.assertAlmostEqual(system2.forecastScaleCap.get_forecast_scalar(
"EDOLLAR", "ewmac8").tail(1).values[0],
5.8,
places=1)
# binding cap
config.use_forecast_scale_estimates = False
config.forecast_cap = 0.2
system3 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
self.assertAlmostEqual(
system3.forecastScaleCap.get_capped_forecast(
"EDOLLAR", "ewmac8").tail(1).values[0], 0.2)
def testRules(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="pysystemtrade.systems.provided.example.rules.ewmac_forecast_with_defaults"))))
data = csvFuturesData("sysdata.tests")
rules = Rules(
dict(
function=
"pysystemtrade.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=
"pysystemtrade.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(
"pysystemtrade.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 test_get_trading_rule_list(self):
# fixed weights
ans = self.system.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans, ['ewmac16', 'ewmac8'])
ans2 = self.system.combForecast.get_trading_rule_list("BUND")
self.assertEqual(ans2, ['ewmac8'])
# fixed weights - non nested dict
config = copy.copy(self.config)
config.forecast_weights = dict(ewmac8=.5, ewmac16=.5)
system2 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans3 = system2.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans3, ['ewmac16', 'ewmac8'])
ans4 = system2.combForecast.get_trading_rule_list("BUND")
self.assertEqual(ans4, ans3)
# fixed weights - missing
del (config.forecast_weights)
system3 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans5 = system3.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans5, ['ewmac16', 'ewmac8'])
# estimated weights - missing
config.use_forecast_weight_estimates = True
system4 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans6 = system4.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans6, ['ewmac16', 'ewmac8'])
# estimated weights - non nested
setattr(config, "rule_variations", ["ewmac8"])
system5 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans6 = system5.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans6, ['ewmac8'])
#estimated weights - nested dict
setattr(
config, "rule_variations",
dict(EDOLLAR=["ewmac8"],
BUND=["ewmac16"],
US10=["ewmac8", "ewmac16"]))
system6 = System(
[self.rawdata, self.rules, self.fcs,
self.forecast_combine()], self.data, config)
ans7 = system6.combForecast.get_trading_rule_list("EDOLLAR")
self.assertEqual(ans7, ['ewmac8'])
ans8 = system6.combForecast.get_trading_rule_list("BUND")
self.assertEqual(ans8, ['ewmac16'])
ans8 = system6.combForecast.get_trading_rule_list("US10")
self.assertEqual(ans8, ['ewmac16', 'ewmac8']) # missing
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(
"pysystemtrade.systems.provided.futures_chapter15.futuresconfig.yaml")
rules = Rules(trading_rules)
system = System([
Account(), Portfolios(), PositionSizing(), FuturesRawData(),
ForecastCombine(), ForecastScaleCap(), rules
], data, config)
system.set_logging_level(log_level)
return system
def testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="pysystemtrade.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((
"pysystemtrade.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=
"pysystemtrade.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 setUp(self):
stage = SystemStage()
stage.name = "test"
data = Data()
config = Config(dict(instruments=["another_code", "code"]))
system = System([stage], data=data, config=config)
self.system = system
def setUp(self):
(accounts, fcs, rules, rawdata, data,
config) = get_test_object_futures_with_rules_and_capping_estimate()
system = System(
[accounts, rawdata, rules, fcs,
ForecastCombineEstimated()], data, config)
setattr(self, "system", system)
def setUp(self):
(rules, rawdata, data, config) = get_test_object_futures_with_rules()
system = System([rawdata, rules, ForecastScaleCap()], data, config)
self.system = system
self.config = config
self.rules = rules
self.rawdata = rawdata
self.forecast_scale_cap = ForecastScaleCap
self.data = data
def test_get_forecast_scalar(self):
# fixed
## From config
self.assertEqual(
self.system.forecastScaleCap.get_forecast_scalar(
"EDOLLAR", "ewmac8"), 5.3)
## default
config = copy.copy(self.config)
unused = config.trading_rules['ewmac8'].pop('forecast_scalar')
system2 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
self.assertEqual(
system2.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac8"),
1.0)
## other config location
setattr(config, 'forecast_scalars', dict(ewmac8=11.0))
system3 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
self.assertEqual(
system3.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac8"),
11.0)
# estimated
config = copy.copy(self.config)
config.use_forecast_scale_estimates = True
system2 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
## From default
self.assertAlmostEqual(system2.forecastScaleCap.get_forecast_scalar(
"EDOLLAR", "ewmac8").tail(1).values[0],
5.8,
places=1)
## From config
scale_config = dict(pool_instruments=False)
config.forecast_scalar_estimate = scale_config
system2 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
self.assertAlmostEqual(
system2.forecastScaleCap.get_forecast_scalar(
"EDOLLAR", "ewmac8").tail(1).values[0], 5.653444301)
def setUpWithEstimatedReturns(self):
config = copy.copy(self.config)
config.use_forecast_weight_estimates = True
config.use_forecast_div_mult_estimates = True
new_system = System([
self.rawdata, self.rules, self.fcs,
self.forecast_combine(),
Account()
], self.data, config)
return new_system
def testCarryRule(self):
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(carry, [
"rawdata.daily_annualised_roll", "rawdata.daily_returns_volatility"
], dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.411686026, 5)
def futures_system(data=None,
config=None,
trading_rules=None,
log_level="terse"):
"""
: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)
: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 = csvFuturesData()
if config is None:
config = Config(
"systems.provided.futures_chapter15.futuresestimateconfig.yaml")
rules = Rules(trading_rules)
system = System([
Account(),
Portfolios(),
PositionSizing(),
FuturesRawData(),
ForecastCombine(),
ForecastScaleCap(), rules
], data, config)
system.set_logging_level(log_level)
return system
def test_get_forecast_cap(self):
ans = self.system.forecastScaleCap.get_forecast_cap()
self.assertEqual(ans, 21.0)
## test defaults
config = self.config
del (config.forecast_cap)
system3 = System([self.rawdata, self.rules,
self.forecast_scale_cap()], self.data, config)
ans = system3.forecastScaleCap.get_forecast_cap()
self.assertEqual(ans, 20.0)
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(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(),
Rules()
], data, config)
my_system.set_logging_level(log_level)
return my_system
def test_get_price_volatility(self):
self.assertAlmostEqual(
self.system.positionSize.get_price_volatility("EDOLLAR").values[
-1], 0.059789159138)
## now without rawdata, should default to calculate on adj price
system2 = System([
self.rules, self.fcs, self.forecast_combine,
self.position_sizing()
], self.data, self.config)
self.assertAlmostEqual(
system2.positionSize.get_price_volatility("EDOLLAR").values[-1],
0.059723565)
def setUp(self):
(fcs, rules, rawdata, data,
config) = get_test_object_futures_with_rules_and_capping()
system = System([rawdata, rules, fcs, ForecastCombine()], data, config)
self.system = system
self.config = config
self.rules = rules
self.rawdata = rawdata
self.fcs = fcs
self.forecast_combine = ForecastCombine
self.data = data
def test_estimated_instrument_weights(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System([
self.rawdata, self.rules, self.possizing, self.forecast_combine,
self.fcs,
Account(),
self.portfolios()
], self.data, config)
ans = system2.portfolio.get_instrument_weights()
self.assertAlmostEqual(ans.BUND.values[-1], 0.541, places=2)
self.assertAlmostEqual(ans.EDOLLAR.values[-1], 0.346, places=2)
self.assertAlmostEqual(ans.US10.values[-1], 0.1121, places=2)
def setUp(self):
(comb, fcs, rules, rawdata, data,
config) = get_test_object_futures_with_comb_forecasts()
system = System([rawdata, rules, fcs, comb, PositionSizing()], data,
config)
self.system = system
self.config = config
self.rules = rules
self.rawdata = rawdata
self.fcs = fcs
self.forecast_combine = comb
self.data = data
self.position_sizing = PositionSizing
def test_actual_positions(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System([
self.rawdata, self.rules, self.possizing, self.forecast_combine,
self.fcs,
Account(),
self.portfolios()
], self.data, config)
ans = system2.portfolio.get_actual_position("EDOLLAR")
self.assertAlmostEqual(ans.values[-1], 1.058623, places=4)
ans = system2.portfolio.get_actual_buffers_for_position("EDOLLAR")
self.assertAlmostEqual(ans.values[-1][0], 1.164485, places=4)
self.assertAlmostEqual(ans.values[-1][1], 0.952761, places=4)
def setUp(self):
(posobject, combobject, capobject, rules, rawdata, data,
config) = get_test_object_futures_with_pos_sizing()
system = System(
[rawdata, rules, posobject, combobject, capobject,
Portfolios()], data, config)
self.system = system
self.config = config
self.rules = rules
self.rawdata = rawdata
self.fcs = capobject
self.forecast_combine = combobject
self.data = data
self.possizing = posobject
self.portfolios = Portfolios
def test_estimated_dm(self):
config = copy.copy(self.config)
config.use_instrument_weight_estimates = True
system2 = System([
self.rawdata, self.rules, self.possizing, self.forecast_combine,
self.fcs,
Account(),
self.portfolios()
], self.data, config)
ans = system2.portfolio.get_instrument_correlation_matrix(
).corr_list[-1]
self.assertAlmostEqual(ans[0][1], 0.3889, places=3)
self.assertAlmostEqual(ans[0][2], 0.5014, places=3)
self.assertAlmostEqual(ans[1][2], 0.8771, places=3)
ans = system2.portfolio.get_estimated_instrument_diversification_multiplier(
)
self.assertAlmostEqual(ans.values[-1], 1.1855, places=3)
def test_get_daily_cash_vol_target(self):
ans_dict = self.system.positionSize.get_daily_cash_vol_target()
self.assertEqual(ans_dict['base_currency'], "GBP")
self.assertEqual(ans_dict['annual_cash_vol_target'], 16000.0)
self.assertEqual(ans_dict['daily_cash_vol_target'], 1000.0)
self.assertEqual(ans_dict['notional_trading_capital'], 100000.0)
self.assertEqual(ans_dict['percentage_vol_target'], 16.0)
# test for missing config defaults
system2 = System([
self.rawdata, self.rules, self.fcs, self.forecast_combine,
self.position_sizing()
], self.data)
ans_dict2 = system2.positionSize.get_daily_cash_vol_target()
self.assertEqual(ans_dict2['base_currency'], "USD")
self.assertEqual(ans_dict2['annual_cash_vol_target'], 160000.0)
self.assertEqual(ans_dict2['daily_cash_vol_target'], 10000.0)
self.assertEqual(ans_dict2['notional_trading_capital'], 1000000.0)
self.assertEqual(ans_dict2['percentage_vol_target'], 16.0)
def update(self, message):
"""
Subscriber pattern main method. Will be called each time a registered
event occurs.
:param message: dict with instrument names as keys and pd.Dataframe
as values.
"""
data = self.get_data(message)
# Ib data Object. This is the Object that manage the data from ibAPI.
my_data = ib_Data(data)
# create a list with the instruments for the config object
my_config = Config("private.config.yaml") # create a config object.
my_config.instruments = my_data.get_instruments_list()
# Setting the rules.
my_rules = Rules(dict(ewmac=ewmac))
my_rules.trading_rules()
# Initializing the system with all the stages.
my_stages = [
Account(),
Portfolios(),
PositionSizing(),
ForecastCombine(),
ForecastScaleCap(), my_rules
]
my_system = System(stage_list=my_stages,
data=my_data,
config=my_config)
# Forecast for each instrument.
for i in message.keys():
print("\n{} forecast:\n".format(i))
position = my_system.portfolio.get_notional_position(i)
# Publishing forecast.
message = dict(ticker=i, forecast=int(position.iloc[-1]))
print(position.tail(5))
self.pub.dispatch(i, message)
def setUp(self):
system = System([testStage1(), testStage2()], Data(),
Config(dict(instruments=["code", "another_code"])))
self.system = system
def test_get_returns_for_optimisation(self):
# Note: More thorough tests will be run inside optimisation module (FIXME next refactoring)
# At this point we don't run proper tests but just check all the plumbing works with new caching code
# FIXME rewrite proper tests once refactored optimisation generally
system = self.setUpWithEstimatedReturns()
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"EDOLLAR", "ewmac8"))
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"BUND", "ewmac8"))
print(
system.combForecast.get_SR_cost_for_instrument_forecast(
"US10", "ewmac8"))
print(system.combForecast.has_same_cheap_rules_as_code("EDOLLAR"))
print(system.combForecast.has_same_cheap_rules_as_code("BUND"))
print(system.combForecast.has_same_cheap_rules_as_code("US10"))
print(
system.combForecast.get_returns_for_optimisation(
"EDOLLAR").to_frame())
print(
system.combForecast.get_returns_for_optimisation(
"BUND").to_frame())
print(
system.combForecast.get_returns_for_optimisation(
"US10").to_frame())
print(system.combForecast.has_same_cheap_rules_as_code("EDOLLAR"))
print(system.combForecast.has_same_cheap_rules_as_code("BUND"))
print(system.combForecast.has_same_cheap_rules_as_code("US10"))
# default - don't pool costs, pool gross
print(system.combForecast.get_raw_forecast_weights("BUND"))
# pool neithier gross or costs
config = copy.copy(system.config)
config.forecast_weight_estimate['pool_gross_returns'] = False
config.forecast_weight_estimate['forecast_cost_estimates'] = False
system2 = System([
self.rawdata, self.rules, self.fcs,
self.forecast_combine(),
Account()
], self.data, config)
print(system2.combForecast.get_raw_forecast_weights("BUND"))
# pool gross, not costs
config = copy.copy(system.config)
config.forecast_weight_estimate['pool_gross_returns'] = True
config.forecast_weight_estimate['forecast_cost_estimates'] = False
system2 = System([
self.rawdata, self.rules, self.fcs,
self.forecast_combine(),
Account()
], self.data, config)
print(system2.combForecast.get_raw_forecast_weights("BUND"))
# pool both (special function)
config = copy.copy(system.config)
config.forecast_weight_estimate['pool_gross_returns'] = True
config.forecast_weight_estimate['forecast_cost_estimates'] = True
system2 = System([
self.rawdata, self.rules, self.fcs,
self.forecast_combine(),
Account()
], self.data, config)
print(system2.combForecast.get_raw_forecast_weights("BUND"))
def setUp(self):
(rawdata, data, config) = get_test_object()
system = System([rawdata], data)
self.system = system