ss.train(force=True)
# Realized Data for Simulation
prices = ss.get('prices', 'realized',
ss.cfg['returns']['sampling_freq']).iloc[1:, :]
returns = ss.get('returns', 'realized', ss.cfg['returns']['sampling_freq'])
volumes = ss.get('volumes', 'realized', ss.cfg['returns']['sampling_freq'])
sigmas = ss.get('sigmas', 'realized', ss.cfg['returns']['sampling_freq'])
simulated_tcost = cp.TcostModel(half_spread=0.0005 / 2.,
nonlin_coeff=1.,
sigma=sigmas,
volume=volumes)
simulated_hcost = cp.HcostModel(borrow_costs=0.0001)
simulator = cp.MarketSimulator(returns,
costs=[simulated_tcost, simulated_hcost],
market_volumes=volumes,
cash_key=ss.risk_free_symbol)
# ## 2. Black Litterman HMM Risk Rewards Frontier
# Aggregate market stats for cal
market_stats = pd.DataFrame(
{
'MarketCap/GDP': [1.25, 1, 1.25, 0.45, 3.5, 0.8, 2, 1.25, 0.3, 0],
'GDP': [
2543500, 150000, 239000, 853000, 22500, 1037500, 10000, 422500,
164500, 0
]
},
index=ss.universe + ['USDOLLAR'])
market_stats.loc[:,
def _evaluate_with_unscaled_input(self, gamma_risk, gamma_tcost,
gamma_holding, bid_ask_spread,
borrow_cost):
# Set up requirements for portfolio simulation
self.experiment_id = str(int(torch.randint(1, 100000,
torch.Size([1]))))
sigmas = pd.read_csv(self.datadir + "sigmas.csv.gz",
index_col=0,
parse_dates=[0]).iloc[:, :-1]
returns = pd.read_csv(self.datadir + "returns.csv.gz",
index_col=0,
parse_dates=[0])
volumes = pd.read_csv(self.datadir + "volumes.csv.gz",
index_col=0,
parse_dates=[0]).iloc[:, :-1]
w_b = pd.Series(index=returns.columns, data=1)
w_b.USDOLLAR = 0.0
w_b /= sum(w_b)
start_t = "2012-01-01"
end_t = "2016-12-31"
simulated_tcost = cp.TcostModel(
half_spread=bid_ask_spread / 2.0,
nonlin_coeff=1.0,
sigma=sigmas,
volume=volumes,
)
simulated_hcost = cp.HcostModel(borrow_costs=borrow_cost)
simulator = cp.MarketSimulator(
returns,
costs=[simulated_tcost, simulated_hcost],
market_volumes=volumes,
cash_key="USDOLLAR",
)
return_estimate = pd.read_csv(self.datadir + "return_estimate.csv.gz",
index_col=0,
parse_dates=[0]).dropna()
volume_estimate = pd.read_csv(self.datadir + "volume_estimate.csv.gz",
index_col=0,
parse_dates=[0]).dropna()
sigma_estimate = pd.read_csv(self.datadir + "sigma_estimate.csv.gz",
index_col=0,
parse_dates=[0]).dropna()
optimization_tcost = cp.TcostModel(
half_spread=bid_ask_spread / 2.0,
nonlin_coeff=1.0,
sigma=sigma_estimate,
volume=volume_estimate,
)
optimization_hcost = cp.HcostModel(borrow_costs=borrow_cost)
copy_of_risk_model_name = "risk_model_" + self.experiment_id + ".h5"
subprocess.call([
"bash",
self.script_dir + "/make_copy_of_risk_model.sh",
self.datadir + "risk_model.h5",
self.datadir + copy_of_risk_model_name,
])
risk_data = pd.HDFStore(self.datadir + copy_of_risk_model_name)
risk_model = cp.FactorModelSigma(risk_data.exposures,
risk_data.factor_sigma,
risk_data.idyos)
results = {}
policies = {}
policies[(gamma_risk, gamma_tcost,
gamma_holding)] = cp.SinglePeriodOpt(
return_estimate,
[
gamma_risk * risk_model,
gamma_tcost * optimization_tcost,
gamma_holding * optimization_hcost,
],
[cp.LeverageLimit(3)],
)
warnings.filterwarnings("ignore")
results.update(
dict(
zip(
policies.keys(),
simulator.run_multiple_backtest(
1e8 * w_b,
start_time=start_t,
end_time=end_t,
policies=policies.values(),
parallel=True,
),
)))
results_df = pd.DataFrame()
results_df[r"$\gamma^\mathrm{risk}$"] = [
el[0] for el in results.keys()
]
results_df[r"$\gamma^\mathrm{trade}$"] = [
el[1] for el in results.keys()
]
results_df[r"$\gamma^\mathrm{hold}$"] = [
"%g" % el[2] for el in results.keys()
]
results_df["Return"] = [
results[k].excess_returns for k in results.keys()
]
for k in results.keys():
returns = results[k].excess_returns.to_numpy()
returns = returns[:-1]
subprocess.call([
"bash",
self.script_dir + "/delete_copy_of_risk_model.sh",
self.datadir + copy_of_risk_model_name,
])
return np.mean(returns) * 100 * 250
datadir= script_dir + '/portfolio_test_data/'
sigmas=pd.read_csv(datadir+'sigmas.csv.gz',index_col=0,parse_dates=[0]).iloc[:,:-1]
returns=pd.read_csv(datadir+'returns.csv.gz',index_col=0,parse_dates=[0])
volumes=pd.read_csv(datadir+'volumes.csv.gz',index_col=0,parse_dates=[0]).iloc[:,:-1]
w_b = pd.Series(index=returns.columns, data=1)
w_b.USDOLLAR = 0.
w_b/=sum(w_b)
start_t = "2012-01-01"
end_t = "2016-12-31"
simulated_tcost = cp.TcostModel(half_spread=0.0005/2., nonlin_coeff=1., sigma=sigmas, volume=volumes)
simulated_hcost = cp.HcostModel(borrow_costs=0.0001)
simulator = cp.MarketSimulator(returns, costs=[simulated_tcost, simulated_hcost],
market_volumes=volumes, cash_key='USDOLLAR')
return_estimate=pd.read_csv(datadir+'return_estimate.csv.gz',index_col=0,parse_dates=[0]).dropna()
volume_estimate=pd.read_csv(datadir+'volume_estimate.csv.gz',index_col=0,parse_dates=[0]).dropna()
sigma_estimate=pd.read_csv(datadir+'sigma_estimate.csv.gz',index_col=0,parse_dates=[0]).dropna()
optimization_tcost = cp.TcostModel(half_spread=0.0005/2., nonlin_coeff=1.,
sigma=sigma_estimate, volume=volume_estimate)
optimization_hcost=cp.HcostModel(borrow_costs=0.0001)
risk_data = pd.HDFStore(datadir + 'risk_model4.h5')
risk_model = cp.FactorModelSigma(risk_data.exposures, risk_data.factor_sigma, risk_data.idyos)
d = 3
m = 5
def f_unnormalized_inputs(gamma_risk, gamma_tcost, gamma_holding):
gamma_risk, gamma_trade, gamma_hold = 5., 1., 1.
leverage_limit = cp.LeverageLimit(3)
spo_policy = cp.SinglePeriodOpt(return_forecast=r_hat,
costs=[
gamma_risk * risk_model,
gamma_trade * tcost_model,
gamma_hold * hcost_model
],
constraints=[leverage_limit])
# %% [markdown]
# We run a backtest, which returns a result object. By calling its summary method we get some basic statistics.
# %%
market_sim = cp.MarketSimulator(returns, [tcost_model, hcost_model],
cash_key='USDOLLAR')
init_portfolio = pd.Series(index=returns.columns, data=250000.)
init_portfolio.USDOLLAR = 0
results = market_sim.run_multiple_backtest(init_portfolio,
start_time='2013-01-03',
end_time='2016-12-31',
policies=[spo_policy,
cp.Hold()])
results[0].summary()
# %% [markdown]
# The total value of the portfolio in time.
# %%
results[0].v.plot(figsize=(12, 5))
results[1].v.plot(figsize=(12, 5))
