from systems.provided.futures_chapter15.estimatedsystem import futures_system
from sysdata.configdata import Config
my_config=Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
system=futures_system(config=my_config)
system.config.notional_trading_capital=100000
system.set_logging_level("on")
system.accounts.portfolio().stats()
system.portfolio.get_instrument_weights().plot()
from matplotlib.pyplot import show
show()
import inspect
import sys; sys.path.append('../..')
import inspect
from copy import copy
from systems.provided.futures_chapter15.estimatedsystem import futures_system
system=futures_system()
#system.config.forecast_scalar_estimate['min_periods']=50
#system.config.forecast_scalar_estimate['pool_instruments']=False
res = system.forecastScaleCap.get_forecast_scalar("US10", "carry")
print (res.tail())
import inspect
import logging
import pandas as pd
import sys; sys.path.append('../..')
from matplotlib.pyplot import show, title
from systems.provided.futures_chapter15.estimatedsystem import futures_system
system=futures_system()
#system.forecastScaleCap.get_scaled_forecast("EDOLLAR", "ewmac64_256").plot()
res=system.rules.get_raw_forecast("CRUDE_W", "carry")
res.to_csv("out.csv")
print (res.head(5))
f = '../../sysdata/legacycsv/CRUDE_W_price.csv'
df = pd.read_csv(f,index_col=0,parse_dates=True)
from syscore.accounting import accountCurve
account = accountCurve(df.PRICE, forecast=res)
tmp = account.percent()
print(tmp.stats())
both_plot=pd.concat([ewmac_all, break_all], axis=1)
print(both_plot.corr())
both_plot.plot()
show()
"""
# full backtest compare
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
# will do all instruments we have data for
del (my_config.instruments)
# temporarily remove breakout rules
my_config.rule_variations = evariations
my_config.forecast_weight_estimate["method"] = "equal_weights"
system_old = futures_system(config=my_config, log_level="on")
# new system has all trading rules
new_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
new_config.rule_variations = bvariations
new_config.forecast_weight_estimate["method"] = "equal_weights"
del (new_config.instruments)
system_new = futures_system(config=new_config, log_level="on")
curve1 = system_old.accounts.portfolio()
curve2 = system_new.accounts.portfolio()
print(curve1.stats())
print(curve2.stats())
both_plot=pd.concat([ewmac_all, break_all], axis=1)
print(both_plot.corr())
both_plot.plot()
show()
"""
# full backtest compare
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
# will do all instruments we have data for
del (my_config.instruments)
# temporarily remove breakout rules
my_config.rule_variations = evariations
my_config.forecast_weight_estimate["method"] = "equal_weights"
system_old = futures_system(config=my_config, log_level="on")
# new system has all trading rules
new_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
new_config.rule_variations = bvariations
new_config.forecast_weight_estimate["method"] = "equal_weights"
del (new_config.instruments)
system_new = futures_system(config=new_config, log_level="on")
curve1 = system_old.accounts.portfolio()
curve2 = system_new.accounts.portfolio()
print(curve1.stats())
print(curve2.stats())
from matplotlib.pyplot import show, title
from systems.provided.futures_chapter15.estimatedsystem import futures_system
system=futures_system()
system.config.forecast_weight_estimate["pool_instruments"]=True
system.config.forecast_weight_estimate["method"]="bootstrap"
system.config.forecast_weight_estimate["equalise_means"]=False
system.config.forecast_weight_estimate["monte_runs"]=200
system.config.forecast_weight_estimate["bootstrap_length"]=104
system=futures_system(config=system.config)
system.combForecast.get_raw_forecast_weights("CORN").plot()
title("CORN")
show()
import inspect
from systems.provided.futures_chapter15.estimatedsystem import futures_system
from sysdata.configdata import Config
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
system = futures_system(config=my_config)
system.config.notional_trading_capital = 100000
system.set_logging_level("on")
system.accounts.portfolio().stats()
system.portfolio.get_instrument_weights().plot()
from matplotlib.pyplot import show
show()
## limit the rules to just breakout for now
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
my_config.trading_rules = dict([(rule_name, my_config.trading_rules[rule_name]) for rule_name in variations])
system = futures_system(config=my_config, log_level="on")
print(system.combForecast.get_forecast_weights("EUROSTX").irow(-1))
print(system.combForecast.get_forecast_weights("V2X").irow(-1))
## now include other rules
"""
my_config = Config("examples.breakout.breakoutfuturesestimateconfig.yaml")
#my_config.forecast_weight_estimate["method"]="bootstrap"
system = futures_system(config=my_config, log_level="on")
bvariations=["breakout"+str(ws) for ws in [10, 20, 40, 80, 160, 320]]
#cProfile.run("system.accounts.pandl_for_all_trading_rules_unweighted().to_frame()","restats")
system.accounts.pandl_for_all_trading_rules_unweighted().to_frame().loc[:, bvariations].cumsum().plot()
show()
"""
variations=["breakout"+str(ws) for ws in [10, 20, 40, 80, 160, 320]]+[
"ewmac%d_%d" % (fast, fast*4) for fast in [2,4,8,16,32, 64]]+["carry"]
corr_result=system.combForecast.get_forecast_correlation_matrices("US10")
matrix=corr_result.corr_list[-1]
matrix=pd.DataFrame(matrix, columns=corr_result.columns)
matrix=matrix.round(2)
