Merge pull request #1 from cmorgan/master

autopep8 -i -r -a .

examples/introduction/asimpletradingrule.py

@@ -4,7 +4,7 @@
 
 """
 
-## Get some data
+# Get some data
 
 from sysdata.csvdata import csvFuturesData
 
@@ -13,10 +13,10 @@
 
 We can get data from various places; however for now we're going to use prepackaged 'legacy' data stored
    in csv files
-   
+
 """
 
-data=csvFuturesData()
+data = csvFuturesData()
 
 print(data)
 
@@ -66,39 +66,40 @@
 from syscore.algos import robust_vol_calc
 from syscore.pdutils import divide_df_single_column
 
+
 def calc_ewmac_forecast(price, Lfast, Lslow=None):
-
-
     """
     Calculate the ewmac trading fule forecast, given a price and EWMA speeds Lfast, Lslow and vol_lookback
-    
+
     Assumes that 'price' is daily data
     """
-    ## price: This is the stitched price series
-    ## We can't use the price of the contract we're trading, or the volatility will be jumpy
-    ## And we'll miss out on the rolldown. See http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html
+    # price: This is the stitched price series
+    # We can't use the price of the contract we're trading, or the volatility will be jumpy
+    # And we'll miss out on the rolldown. See
+    # http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html
 
     if Lslow is None:
-        Lslow=4*Lfast
-
-    ## We don't need to calculate the decay parameter, just use the span directly
-
-    fast_ewma=pd.ewma(price, span=Lfast)
-    slow_ewma=pd.ewma(price, span=Lslow)
-    raw_ewmac=fast_ewma - slow_ewma
-
-    vol=robust_vol_calc(price.diff())    
-
+        Lslow = 4 * Lfast
+
+    # We don't need to calculate the decay parameter, just use the span
+    # directly
+
+    fast_ewma = pd.ewma(price, span=Lfast)
+    slow_ewma = pd.ewma(price, span=Lslow)
+    raw_ewmac = fast_ewma - slow_ewma
+
+    vol = robust_vol_calc(price.diff())
+
     return divide_df_single_column(raw_ewmac, vol)
 
 """
 Try it out
 
 (this isn't properly scaled at this stage of course)
 """
-instrument_code='EDOLLAR'
-price=data.get_instrument_price(instrument_code)
-ewmac=calc_ewmac_forecast(price, 32, 128)
+instrument_code = 'EDOLLAR'
+price = data.get_instrument_price(instrument_code)
+ewmac = calc_ewmac_forecast(price, 32, 128)
 print(ewmac.tail(5))
 
 from matplotlib.pyplot import show
@@ -110,8 +111,6 @@ def calc_ewmac_forecast(price, Lfast, Lslow=None):
 """
 
 from syscore.accounting import pandl
-account=pandl(price, forecast=ewmac)
+account = pandl(price, forecast=ewmac)
 account.curve().plot()
 show()
-
-

examples/introduction/prebakedsystems.py

@@ -1,6 +1,6 @@
 from systems.provided.example.simplesystem import simplesystem
 
-my_system=simplesystem()
+my_system = simplesystem()
 print(my_system)
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
@@ -11,9 +11,9 @@
 Now loading config and data
 """
 
-my_config=Config("systems.provided.example.simplesystemconfig.yaml")
-my_data=csvFuturesData()
-my_system=simplesystem(config=my_config, data=my_data)
+my_config = Config("systems.provided.example.simplesystemconfig.yaml")
+my_data = csvFuturesData()
+my_system = simplesystem(config=my_config, data=my_data)
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
 
@@ -23,6 +23,6 @@
 
 from systems.provided.futures_chapter15.basesystem import futures_system
 
-system=futures_system()
+system = futures_system()
 
 print(system.portfolio.get_notional_position("EUROSTX").tail(5))

examples/introduction/simplesystem.py

@@ -4,7 +4,7 @@
 We got some data and created a trading rule
 """
 from sysdata.csvdata import csvFuturesData
-data=csvFuturesData()
+data = csvFuturesData()
 
 from systems.provided.example.rules import ewmac_forecast_with_defaults as ewmac
 
@@ -21,91 +21,91 @@
 """
 
 
-
 from systems.forecasting import Rules
 
 """
 We can create rules in a number of different ways
 
-Note that to make our rule work it needs to have 
+Note that to make our rule work it needs to have
 """
-my_rules=Rules(ewmac)
+my_rules = Rules(ewmac)
 print(my_rules.trading_rules())
 
-my_rules=Rules(dict(ewmac=ewmac))
+my_rules = Rules(dict(ewmac=ewmac))
 print(my_rules.trading_rules())
 
 from systems.basesystem import System
-my_system=System([my_rules], data)
+my_system = System([my_rules], data)
 print(my_system)
 
 
 print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac").tail(5))
 
 
-
 """
 Define a TradingRule
 """
 
 from systems.forecasting import TradingRule
-ewmac_rule=TradingRule(ewmac)
-my_rules=Rules(dict(ewmac=ewmac_rule))
+ewmac_rule = TradingRule(ewmac)
+my_rules = Rules(dict(ewmac=ewmac_rule))
 ewmac_rule
 
 
 """
 ... or two...
 """
 
-ewmac_8=TradingRule((ewmac, [], dict(Lfast=8, Lslow=32)))
-ewmac_32=TradingRule(dict(function=ewmac, other_args=dict(Lfast=32, Lslow=128)))
-my_rules=Rules(dict(ewmac8=ewmac_8, ewmac32=ewmac_32))
+ewmac_8 = TradingRule((ewmac, [], dict(Lfast=8, Lslow=32)))
+ewmac_32 = TradingRule(
+    dict(function=ewmac, other_args=dict(Lfast=32, Lslow=128)))
+my_rules = Rules(dict(ewmac8=ewmac_8, ewmac32=ewmac_32))
 print(my_rules.trading_rules()['ewmac32'])
 
-my_system=System([my_rules], data)
+my_system = System([my_rules], data)
 my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
 
 from sysdata.configdata import Config
-my_config=Config()
+my_config = Config()
 my_config
 
-empty_rules=Rules()
-my_config.trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
-my_system=System([empty_rules], data, my_config)
+empty_rules = Rules()
+my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
+my_system = System([empty_rules], data, my_config)
 my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
 
 
 from systems.forecast_scale_cap import ForecastScaleCapFixed
-my_config.forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65)
-fcs=ForecastScaleCapFixed()
-my_system=System([fcs, my_rules], data, my_config)
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
+my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
+fcs = ForecastScaleCapFixed()
+my_system = System([fcs, my_rules], data, my_config)
+print(my_system.forecastScaleCap.get_capped_forecast(
+    "EDOLLAR", "ewmac32").tail(5))
 
 """
 combine some rules
 """
 
 from systems.forecast_combine import ForecastCombineFixed
-#forecast_weights=dict(ewmac8=0.5, ewmac32=0.5), forecast_div_multiplier=1.1
-combiner=ForecastCombineFixed()
-my_system=System([fcs, my_rules, combiner], data, my_config)
+# forecast_weights=dict(ewmac8=0.5, ewmac32=0.5), forecast_div_multiplier=1.1
+combiner = ForecastCombineFixed()
+my_system = System([fcs, my_rules, combiner], data, my_config)
 print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
 
-my_config.forecast_weights=dict(ewmac8=0.5, ewmac32=0.5)
-my_config.forecast_div_multiplier=1.1
-my_system=System([fcs, empty_rules, combiner], data, my_config)
+my_config.forecast_weights = dict(ewmac8=0.5, ewmac32=0.5)
+my_config.forecast_div_multiplier = 1.1
+my_system = System([fcs, empty_rules, combiner], data, my_config)
 my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
 
-## size positions
+# size positions
 
 from systems.positionsizing import PositionSizing
-possizer=PositionSizing()
-my_config.percentage_vol_target=25
-my_config.notional_trading_capital=500000
-my_config.base_currency="GBP"
+possizer = PositionSizing()
+my_config.percentage_vol_target = 25
+my_config.notional_trading_capital = 500000
+my_config.base_currency = "GBP"
 
-my_system=System([ fcs, my_rules, combiner, possizer], data, my_config)
+my_system = System([fcs, my_rules, combiner, possizer], data, my_config)
 
 print(my_system.positionSize.get_price_volatility("EDOLLAR").tail(5))
 print(my_system.positionSize.get_block_value("EDOLLAR").tail(5))
@@ -115,13 +115,14 @@
 print(my_system.positionSize.get_daily_cash_vol_target())
 print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
 
-## portfolio
+# portfolio
 from systems.portfolio import PortfoliosFixed
-portfolio=PortfoliosFixed()
-my_config.instrument_weights=dict(US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2)
-my_config.instrument_div_multiplier=1.5
+portfolio = PortfoliosFixed()
+my_config.instrument_weights = dict(US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2)
+my_config.instrument_div_multiplier = 1.5
 
-my_system=System([ fcs, my_rules, combiner, possizer, portfolio], data, my_config)
+my_system = System([fcs, my_rules, combiner, possizer,
+                    portfolio], data, my_config)
 
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
@@ -130,41 +131,42 @@
 """
 
 from systems.account import Account
-my_account=Account()
-my_system=System([ fcs, my_rules, combiner, possizer, portfolio, my_account], data, my_config)
-profits=my_system.account.portfolio()
+my_account = Account()
+my_system = System([fcs, my_rules, combiner, possizer,
+                    portfolio, my_account], data, my_config)
+profits = my_system.account.portfolio()
 profits.stats()
 
 
 """
-Another approach is to create a config object 
+Another approach is to create a config object
 """
-my_config=Config(dict(trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32), 
-                      instrument_weights=dict(US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2), 
-                      instrument_div_multiplier=1.5, forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65), 
-                      forecast_weights=dict(ewmac8=0.5, ewmac32=0.5), forecast_div_multiplier=1.1,
-                      percentage_vol_target=25.00, notional_trading_capital=500000, base_currency="GBP"))
+my_config = Config(dict(trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32),
+                        instrument_weights=dict(
+                            US10=.1, EDOLLAR=.4, CORN=.3, SP500=.2),
+                        instrument_div_multiplier=1.5, forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65),
+                        forecast_weights=dict(ewmac8=0.5, ewmac32=0.5), forecast_div_multiplier=1.1,
+                        percentage_vol_target=25.00, notional_trading_capital=500000, base_currency="GBP"))
 print(my_config)
-my_system=System([Account(), PortfoliosFixed(), PositionSizing(),  ForecastCombineFixed(), ForecastScaleCapFixed(), Rules()
-], data, my_config)
+my_system = System([Account(), PortfoliosFixed(), PositionSizing(), ForecastCombineFixed(), ForecastScaleCapFixed(), Rules()
+                    ], data, my_config)
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
 """
 ... or to import one
 """
-my_config=Config("systems.provided.example.simplesystemconfig.yaml")
+my_config = Config("systems.provided.example.simplesystemconfig.yaml")
 print(my_config)
-my_system=System([Account(), PortfoliosFixed(), PositionSizing(),  ForecastCombineFixed(), ForecastScaleCapFixed(), Rules()
-], data, my_config)
+my_system = System([Account(), PortfoliosFixed(), PositionSizing(), ForecastCombineFixed(), ForecastScaleCapFixed(), Rules()
+                    ], data, my_config)
 print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
 print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast(
+    "EDOLLAR", "ewmac32").tail(5))
 print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
 print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
 print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
 
 print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
 
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
-
-

setup.py

@@ -2,22 +2,24 @@
 from setuptools import setup
 
 # Utility function to read the README file.
+
+
 def read(fname):
     return open(os.path.join(os.path.dirname(__file__), fname)).read()
 
 setup(
-    name = "pysystemtrade",
-    version = "0.0.1",
-    author = "Robert Carver",
-    description = ("Python framework for running systems as in Robert Carver's book Systematic Trading"
-                                   " (www.systematictrading.org)"),
-    license = "GNU GPL v3",
-    keywords = "systematic trading interactive brokers",
-    url = "qoppac.blogspot.com/pysystemtrade.html",
-    packages=['examples','syscore','sysdata','systems','syssims'],
+    name="pysystemtrade",
+    version="0.0.1",
+    author="Robert Carver",
+    description=("Python framework for running systems as in Robert Carver's book Systematic Trading"
+                 " (www.systematictrading.org)"),
+    license="GNU GPL v3",
+    keywords="systematic trading interactive brokers",
+    url="qoppac.blogspot.com/pysystemtrade.html",
+    packages=['examples', 'syscore', 'sysdata', 'systems', 'syssims'],
     long_description=read('README.md'),
     install_requires=["pandas >= 0.17.0", "numpy >= 1.10.1", "python >= 3.4.3", "matlotplib > 1.4.3",
-                     "yaml > 3.11"],
+                      "yaml > 3.11"],
     extras_require=dict(),
     include_package_data=True
-)
+)