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# Robert Carver robcarver17

Created Feb 22, 2021
View kings_college.py
 import matplotlib matplotlib.use("TkAgg") import matplotlib.pyplot as plt from scipy.optimize import minimize import numpy as np import scipy.stats as stats from scipy.stats import norm
Created Jan 5, 2021
View random.py
 import matplotlib matplotlib.use("TkAgg") matplotlib.rcParams.update({'font.size': 22}) from matplotlib.pyplot import hist, plot import pandas as pd import numpy as np from syscore.dateutils import BUSINESS_DAYS_IN_YEAR, ROOT_BDAYS_INYEAR from syscore.accounting import accountCurveSingleElementOneFreq as accountCurve def arbitrary_timeindex(Nperiods, index_start=pd.datetime(2000, 1, 1)):
Created Dec 4, 2020
View dynamic.py
 """ The starter system has the following features: - single market - binary forecast from simple MAV - exit from trailing stop loss - fixed positions once in trade """
Created Nov 3, 2020
View heuristic correlations.py
 ### Following code is boilerplate for optimising import matplotlib matplotlib.use("TkAgg") import pandas as pd from scipy.optimize import minimize import numpy as np from scipy.stats import norm from collections import namedtuple def optimise_for_corr_matrix(corr_matrix):
Last active Nov 3, 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 Nov 3, 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 Nov 3, 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)
Last active Mar 31, 2021
View portfolio_construction.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]