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# Robert Carverrobcarver17

Last active Oct 8, 2020
get system risk
View scratch_16.py
 import pandas as pd import numpy as np def get_positions_as_proportion_of_capital(system): list_of_instruments = system.get_instrument_list() positions = [system.portfolio.get_actual_position(instrument_code) for instrument_code in list_of_instruments] positions = pd.concat(positions, axis=1) positions.columns = list_of_instruments positions[positions.isna()] = 0.0
Last active Oct 6, 2020
Bin plotting
View scratch_16.py
 import matplotlib matplotlib.use("TkAgg") import matplotlib.pyplot as plt import scipy.stats as stats import numpy as np def plot_results_for_bin_size(size, pd_result, centre_on_mean = False): bins = get_bins_for_size(size, pd_result, centre_on_mean = centre_on_mean)
Last active Sep 7, 2020
View get_expected_risk.py
 import pandas as pd import numpy as np def get_expected_risk_for_system(system): value_of_positions_proportion_capital = get_positions_as_proportion_of_capital(system) instrument_returns = get_instrument_returns(system) instrument_returns = instrument_returns.ffill().reindex(value_of_positions_proportion_capital.index)
Created Jan 15, 2020
View kings_college.py
 #import matplotlib #matplotlib.use("TkAgg") import matplotlib.pyplot as plt from scipy.optimize import minimize import numpy as np ### Following is the optimisation code: ### First the main function. def optimise_with_sigma(sigma, mean_list):
Last active Jan 13, 2020
View Create a bunch of trading rules for skew and kurtosis
 import numpy as np from systems.provided.futures_chapter15.basesystem import * import numpy as np from syscore.algos import robust_vol_calc ## test kurtosis AND skew with trading rules
Created Oct 25, 2019
View temp.py
 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]
Last active Oct 25, 2019
View coinflips.py
 import random from copy import copy def ishead(): result=random.uniform(0,1) if result>=0.5: return 1 else: return 0
Created Feb 28, 2019
View temp.py
 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
Last active Jan 6, 2019
View handcrafting.py
 """ 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
Created Dec 14, 2018
View handcrafting_test_implementation.py
 """ 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']
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