def get_all_forecasts_for_a_list_of_instruments(self,
codes_to_use: list) -> listOfDataFrames:
forecast_data = listOfDataFrames([
self.get_all_forecasts(instr_code, self.get_trading_rule_list(instr_code))
for instr_code in codes_to_use
])
return forecast_data
def _get_portfolio_risk_given_positions(
self, positions: pd.DataFrame) -> pd.Series:
weight_per_position = (
self.portfolio_weights_stage.
get_per_contract_value_as_proportion_of_capital_df())
portfolio_weights = listOfDataFrames([weight_per_position,
positions]).fill_and_multipy()
return self._get_portfolio_risk_given_weights(portfolio_weights)
def single_resampled_set_of_returns(self, frequency: str) -> returnsForOptimisation:
returns_as_list = listOfDataFrames(self.values())
pooled_length = len(returns_as_list)
returns_as_list_downsampled = returns_as_list.resample_sum(frequency)
returns_as_list_common_ts = returns_as_list_downsampled.reindex_to_common_index()
returns_for_optimisation = returns_as_list_common_ts.stacked_df_with_added_time_from_list()
returns_for_optimisation = returnsForOptimisation(returns_for_optimisation,
frequency = frequency,
pooled_length=pooled_length)
return returns_for_optimisation