futuresconfig.yaml

#YAML
#
# Raw data
#
#
# Trading rules
#
#
trading_rules:
  ewmac2_8:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 2
         Lslow: 8
     forecast_scalar: 10.6
  ewmac4_16:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 4
         Lslow: 16
     forecast_scalar: 7.5
  ewmac8_32:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 8
         Lslow: 32
     forecast_scalar: 5.3
  ewmac16_64:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 16
         Lslow: 64
     forecast_scalar: 3.75
  ewmac32_128:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 32
         Lslow: 128
     forecast_scalar: 2.65
  ewmac64_256:
     function: systems.provided.futures_chapter15.rules.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 64
         Lslow: 256
     forecast_scalar: 1.87
  carry:
     function: systems.provided.futures_chapter15.rules.carry2
     data:
         - "rawdata.raw_carry"
     other_args:
         smooth_days: 90
     forecast_scalar: 30
forecast_cap: 20.0
#
# forecast combination
#
forecast_weights:
     ewmac16_64: 0.21
     ewmac32_128: 0.08
     ewmac64_256: 0.21
     carry: 0.50
forecast_div_multiplier: 1.31
#
# Capital correction
#
percentage_vol_target: 20.0
notional_trading_capital: 250000
base_currency: "USD"
#
# Portfolio creation
#
instrument_weights:
    EDOLLAR: 0.117
    US10: 0.117
    EUROSTX: 0.20
    V2X: 0.098
    MXP: 0.233
    CORN: 0.233
instrument_div_multiplier: 1.89
rule_groups:
    ewmac_fast:
       - ewmac2_8
       - ewmac4_16
    ewmac_medium:
       - ewmac8_32
       - ewmac16_64
    ewmac_slow:
       - ewmac32_128
       - ewmac64_256
    carry:
       - carry
style_groups:
    trend:
        - ewmac_fast
        - ewmac_medium
        - ewmac_slow
    carry:
        - carry
countries:
    US:
      - EDOLLAR
      - US10
    Europe:
      - EUROSTX
      - V2X
    Other:
    - MXP
    - CORN
asset_classes:
    Rates:
      - EDOLLAR
      - US10
    Risky:
      - EUROSTX
      - V2X
      - MXP
    Other:
      - CORN