robcarver17

import random
from copy import copy

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

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

from syslogdiag.ourlogging import logger
from math import copysign

def contracts_trade(total_trades,  pos_priced, pos_forward,  rolling=False):
    """
    Given actual contracts decide what to trade
    
    Note at this stage contracts are identified in as PRICE, FORWARD
    
    Any rogue contracts not in that space would have been signalled / weeded out by now

robcarver17

#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):

robcarver17

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

robcarver17

"""

The starter system has the following features:

- single market
- binary forecast from simple MAV
- exit from trailing stop loss
- fixed positions once in trade

"""

robcarver17

### 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):

robcarver17

"""
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

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: