robcarver17

from copy import copy

seq_length = 20
def decimalToBinary(n):
    # return padded binary number as list
    binary_number_as_str=bin(n)
    binary_number_as_str = binary_number_as_str[2:]
    binary_number_as_str = binary_number_as_str.zfill(seq_length)
    binary_number_as_list = [int(x) for x in binary_number_as_str]

robcarver17

import random
from copy import copy

def ishead():
    result=random.uniform(0,1)
    if result>=0.5:
        return 1
    else:
        return 0

robcarver17

import matplotlib.pyplot as plt
import pandas as pd
import scipy.stats as stats
import numpy as np

from systems.provided.futures_chapter15.estimatedsystem import *
system = futures_system()

del(system.config.instruments) # so we can get results for everything

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"""
Implement the handcrafting method

This is 'self contained code' which requires wrapping before using in pysystemtrade
"""

## CAVEATS:
## Uses weekly returns (resample needed first)
## Doesn't deal with missing assets

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"""
Get some data to test the handcrafting method
"""

from sysdata.csv.csv_sim_futures_data import csvFuturesSimData
from syscore.handcrafting import Portfolio
import pandas as pd

data=csvFuturesSimData()
code_list = ['BOBL', 'BUND', 'US10', 'US20', 'KR3','KR10','EDOLLAR', 'CORN', 'CRUDE_W', 'GAS_US']

robcarver17

from sysdata.quandl.quandl_futures import quandlFuturesConfiguration, quandlFuturesContractPriceData
from sysdata.futures.contracts import listOfFuturesContracts
from sysdata.futures.instruments import futuresInstrument
from sysdata.mongodb.mongo_roll_data import mongoRollParametersData

import numpy as np
import pandas as pd

def get_roll_parameters_from_mongo(instrument_code):

robcarver17

from systems.provided.futures_chapter15.basesystem import *
sys = futures_system()
config = sys.config
del(config.instrument_weights) # ensures all instruments are used equally weighted
config.forecast_weights=dict(ewmac16_64=0.333, ewmac32_128=0.333, ewmac64_256=0.3333)
config.use_forecast_div_mult_estimates=True
config.use_instrument_div_mult_estimates=True
config.use_forecast_scale_estimates=False
system = futures_system(config=config)
acc = system.accounts.portfolio()

robcarver17

# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
#    but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:

robcarver17

# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
#    but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:

robcarver17

# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
#    but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway: