def setUp(self):
longonly_params = {
keys.lo_ticker: ['SGX_NK', 'LIFFE_FTI'],
}
lo_vol_scale_params = {
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
keys.vs_method_params: {
keys.vs_method: keys.vs_rolling,
keys.vs_window: 63,
}
}
signal_params = {
keys.signal_method_params: {
keys.signal_method: keys.signal_trend_ma_xover,
keys.signal_windows: [[8, 24], [16, 48], [32, 96]],
},
keys.signal_chg_rule: '+Wed-1bd+1bd',
keys.signal_to_position: keys.linear,
keys.position_cap: 1.0,
keys.position_floor: -1.0
}
portfolio_params = {
keys.weighting: keys.equal_weight,
keys.port_weight_chg_rule: '+Wed-1bd+1bd',
}
portfolio_vol_scale_params = {
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
keys.vs_method_params: {
keys.vs_method: keys.vs_rolling,
keys.vs_window: 63,
}
}
# Nested Engine example
engine1 = adagio.Engine()
engine1.add(adagio.LongOnly(**longonly_params))
engine1.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine1.add(adagio.Signal(**signal_params))
engine2 = adagio.Engine()
engine2.add(adagio.LongOnly(**longonly_params))
engine2.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine2.add(adagio.Signal(**signal_params))
engine3 = adagio.Engine()
engine3.add([engine1, engine2])
engine3.add(adagio.Portfolio(**portfolio_params))
engine3.add(adagio.PortVolatilityScaling(**portfolio_vol_scale_params))
engine3.backtest()
self.engine = engine3
def test_vs_rolling(self):
lo_vol_scale_params = {
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
keys.vs_method_params: {
keys.vs_method: keys.vs_rolling,
keys.vs_window: 63,
}
}
engine = adagio.Engine()
engine.add(adagio.LongOnly(lo_ticker='CME_ES'))
engine.add(
adagio.VolatilityScaling(name='vs_pre_signal',
**lo_vol_scale_params))
engine.backtest()
self.assertTrue(isinstance(engine.get_final_net_returns(), pd.Series))
def setUp(self):
longonly_params = {
keys.lo_ticker: ['SGX_NK', 'LIFFE_FTI']
}
lo_vol_scale_params = {
keys.vs_window: 63,
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
}
signal_params = {
keys.signal_type: keys.momentum,
keys.signal_windows: [[8, 24], [16, 48], [32, 96]],
keys.signal_chg_rule: '+Wed-1bd+1bd',
keys.signal_to_position: keys.linear,
keys.position_cap: 1.0,
keys.position_floor: -1.0
}
portfolio_params = {
keys.weighting: keys.equal_weight
}
portfolio_vol_scale_params = {
keys.vs_window: 63,
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
}
# Simple Engine example
engine = adagio.Engine()
engine.add(adagio.LongOnly(**longonly_params))
engine.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine.add(adagio.Signal(**signal_params))
engine.add(adagio.Portfolio(**portfolio_params))
engine.add(adagio.PortVolatilityScaling(**portfolio_vol_scale_params))
engine.backtest()
self.engine = engine
keys.signal_to_position: keys.linear,
keys.position_cap: 1.0,
keys.position_floor: -1.0
}
portfolio_params = {keys.weighting: keys.equal_weight}
portfolio_vol_scale_params = {
keys.vs_window: 63,
keys.vs_chg_rule: '+Wed-1bd+1bd',
keys.vs_target_vol: 0.1,
}
engine_params = {keys.name: 'engine', keys.backtest_ccy: 'USD'}
# Simple Engine example
engine = adagio.Engine(**engine_params)
engine.add(adagio.LongOnly(**longonly_params))
engine.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine.add(adagio.Signal(**signal_params))
engine.add(adagio.Portfolio(**portfolio_params))
engine.add(adagio.PortVolatilityScaling(**portfolio_vol_scale_params))
engine.backtest()
# Nested Engine example
engine1 = adagio.Engine(name='engine1')
engine1.add(adagio.LongOnly(**longonly_params))
engine1.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine1.add(adagio.Signal(**signal_params))
engine2 = adagio.Engine(name='engine2')
engine2.add(adagio.LongOnly(**longonly_params))
engine2.add(adagio.VolatilityScaling(**lo_vol_scale_params))
engine2.add(adagio.Signal(**signal_params))
comdty_agri_lo_params = {
keys.lo_ticker:
['CME_LC', 'CME_FC', 'CME_LN', 'CME_DA', 'CME_BO', 'CME_SM'],
keys.slippage:
2.0,
}
comdty_metal_lo_params = {
keys.lo_ticker: ['CME_GC', 'CME_SI', 'CME_PL', 'CME_PA', 'CME_HG'],
keys.slippage: 2.0,
}
# Equity Developed markets
engine_equity_dm = adagio.Engine(name='Equity DM Trend-following')
engine_equity_dm.add(adagio.LongOnly(**equity_dm_lo_params))
engine_equity_dm.add(
adagio.VolatilityScaling(name='vs_pre_signal', **lo_vol_scale_params))
engine_equity_dm.add(adagio.Signal(**momentum_params))
engine_equity_dm.add(
adagio.Portfolio(name='equity_port', **portfolio_params))
engine_equity_dm.add(
adagio.PortVolatilityScaling(name='equity_port_vs',
**port_vol_scale_params))
# Equity Emerging markets
engine_equity_em = adagio.Engine(name='Equity EM Trend-following')
engine_equity_em.add(adagio.LongOnly(**equity_em_lo_params))
engine_equity_em.add(
adagio.VolatilityScaling(name='vs_pre_signal', **lo_vol_scale_params))
engine_equity_em.add(adagio.Signal(**momentum_params))
engine_equity_em.add(
adagio.Portfolio(name='equity_port', **portfolio_params))