def testRules(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="systems.provided.example.rules.ewmac_forecast_with_defaults"))))
data = csvFuturesData("sysdata.tests")
rules = Rules(
dict(
function=
"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=
"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("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 testCallingTradingRule(self):
# config=Config(dict(trading_rules=dict(ewmac=dict(function="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((
"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=
"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 get_test_object_futures():
"""
Returns some standard test data
"""
data = csvFuturesData("sysdata.tests")
config = Config("systems.provided.example.exampleconfig.yaml")
rawdata = FuturesRawData()
return (rawdata, data, config)
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(),
Portfolios(),
PositionSizing(),
FuturesRawData(),
ForecastCombine(),
ForecastScaleCap(), 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 = ForecastScaleCap()
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 = ForecastScaleCap()
combobject = ForecastCombine()
posobject = PositionSizing()
return (posobject, combobject, capobject, rules, rawdata, data, config)
def testCarryRule(self):
data = csvFuturesData("sysdata.tests")
rawdata = FuturesRawData()
rules = Rules()
system = System([rawdata, rules], data)
rule = TradingRule(
carry2, [
"rawdata.daily_annualised_roll",
],
dict(smooth_days=90))
ans = rule.call(system, "EDOLLAR")
self.assertAlmostEqual(ans.tail(1).values[0], 0.37666175, 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 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
from systems.provided.example.simplesystem import simplesystem
my_system = simplesystem(log_level="on")
print(my_system)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
from sysdata.csv.csvfuturesdata import csvFuturesData
from sysdata.configdata import Config
"""
Now loading config and data
"""
my_config = Config("systems.provided.example.simplesystemconfig.yaml")
my_data = csvFuturesData()
my_system = simplesystem(config=my_config, data=my_data)
print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
"""
Let's get the chapter 15 system
"""
from systems.provided.futures_chapter15.basesystem import futures_system
from matplotlib.pyplot import show
system = futures_system(log_level="on")
print(system.accounts.portfolio().sharpe())
system.accounts.portfolio().curve().plot()
show()
"""
Same for estimated system
"""
