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

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

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:

robcarver17

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)

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

"""
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

### 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

"""

The starter system has the following features:

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

"""