From 73e917836edb35e38f44882711f21a15ac0b440d Mon Sep 17 00:00:00 2001
From: Thomas Schmelzer <thomas.schmelzer@gmail.com>
Date: Sun, 18 Feb 2024 23:33:29 +0400
Subject: [PATCH] shift portfolio in sep module to avoid cyclic dependency
 (#349)

---
 cvx/simulator/builder.py                | 10 ++++++++++
 cvx/simulator/shifter.py                | 11 +++++++++++
 tests/test_applications/test_shifter.py | 26 +++++++++++++++++++++++++
 3 files changed, 47 insertions(+)
 create mode 100644 cvx/simulator/shifter.py
 create mode 100644 tests/test_applications/test_shifter.py

diff --git a/cvx/simulator/builder.py b/cvx/simulator/builder.py
index 0f14b24f..b8bc037a 100644
--- a/cvx/simulator/builder.py
+++ b/cvx/simulator/builder.py
@@ -232,3 +232,13 @@ def from_returns(cls, returns):
 
         prices = returns2prices(returns)
         return cls(prices=prices)
+
+    @classmethod
+    def from_weights(cls, weights, prices, initial_aum=1e6):
+        """Build Futures Portfolio from weights"""
+        builder = cls(prices=prices, initial_aum=initial_aum)
+        for t, state in builder:
+            builder.weights = weights.loc[t[-1]]
+            builder.aum = state.aum
+
+        return builder
diff --git a/cvx/simulator/shifter.py b/cvx/simulator/shifter.py
new file mode 100644
index 00000000..d9ec2c9c
--- /dev/null
+++ b/cvx/simulator/shifter.py
@@ -0,0 +1,11 @@
+from cvx.simulator import Builder, Portfolio
+
+
+def shift(portfolio: Portfolio, periods: int = 0):
+    """Shift the portfolio by a number of periods"""
+    # shift the weights
+    weights = portfolio.weights.shift(periods)
+    builder = Builder.from_weights(
+        weights=weights, prices=portfolio.prices, initial_aum=portfolio.aum.iloc[0]
+    )
+    return builder.build()
diff --git a/tests/test_applications/test_shifter.py b/tests/test_applications/test_shifter.py
new file mode 100644
index 00000000..6c8f6af1
--- /dev/null
+++ b/tests/test_applications/test_shifter.py
@@ -0,0 +1,26 @@
+# from cvx.simulator import Builder
+import pandas as pd
+
+from cvx.simulator import Builder
+from cvx.simulator.shifter import shift
+
+
+def test_portfolio_cumulated(prices):
+    builder = Builder(prices=prices[["A", "B"]].tail(10), initial_aum=1e6)
+
+    for t, state in builder:
+        # hold one share in both assets
+        builder.cashposition = [1e5, 4e5]
+
+        # reduce the available aum by the costs
+        builder.aum = state.aum  # - costs
+
+    portfolio = builder.build()
+    print(portfolio.weights)
+    print(portfolio.aum)
+
+    ppp = shift(portfolio=portfolio, periods=2)
+    print(ppp.weights)
+    print(ppp.aum)
+
+    pd.testing.assert_frame_equal(portfolio.weights.shift(2), ppp.weights)