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# YAML
#
# Raw data
#
volatility_calculation:
func: "syscore.algos.robust_vol_calc"
days: 35
min_periods: 10
vol_abs_min: 0.0000000001
vol_floor: True
floor_min_quant: 0.05
floor_min_periods: 100
floor_days: 500
#
# forecast capping and scaling
# fixed values
#
forecast_scalar: 1.0
#
# with varying stuff
#
#
use_forecast_scale_estimates: False
#
forecast_scalar_estimate:
pool_instruments: True
func: "syscore.algos.forecast_scalar"
window: 250000
min_periods: 500
backfill: True
#
# capping
forecast_cap: 20.0
average_absolute_forecast: 10.0
#
#
# forecast combination
#
forecast_div_multiplier: 1.0
#
#
forecast_correlation_estimate:
pool_instruments: True
func: syscore.correlations.CorrelationEstimator
frequency: "W"
date_method: "expanding"
using_exponent: True
ew_lookback: 500
min_periods: 20
cleaning: True
rollyears: 20
floor_at_zero: True
#
forecast_div_mult_estimate:
func: syscore.divmultipliers.diversification_multiplier_from_list
ewma_span: 125
dm_max: 2.5
#
use_forecast_weight_estimates: False
#
forecast_cost_estimates:
use_pooled_costs: False
use_pooled_turnover: True
#
forecast_weight_ewma_span: 125
forecast_weight_estimate:
func: syscore.optimisation.GenericOptimiser
method: shrinkage
pool_gross_returns: True
equalise_gross: False
cost_multiplier: 0.0
apply_cost_weight: True
ceiling_cost_SR: 0.13
frequency: "W"
date_method: "expanding"
rollyears: 20
cleaning: True
equalise_SR: False
ann_target_SR: 0.5
equalise_vols: True
shrinkage_SR: 0.90
shrinkage_corr: 0.50
monte_runs: 100
bootstrap_length: 50
correlation_estimate:
func: syscore.correlations.correlation_single_period
using_exponent: False
ew_lookback: 500
min_periods: 20
floor_at_zero: True
mean_estimate:
func: syscore.algos.mean_estimator
using_exponent: False
ew_lookback: 500
min_periods: 20
vol_estimate:
func: syscore.algos.vol_estimator
using_exponent: False
ew_lookback: 500
min_periods: 20
#
# Capital correction
#
percentage_vol_target: 16.0
notional_trading_capital: 1000000
base_currency: "USD"
capital_multiplier:
func: syscore.capital.fixed_capital
#
# Portfolio creation
#
instrument_div_multiplier: 1.0
#
instrument_correlation_estimate:
func: syscore.correlations.CorrelationEstimator
frequency: "W"
date_method: "expanding"
using_exponent: True
ew_lookback: 500
min_periods: 20
cleaning: True
rollyears: 20
floor_at_zero: True
#
instrument_div_mult_estimate:
func: syscore.divmultipliers.diversification_multiplier_from_list
ewma_span: 125
dm_max: 2.5
#
use_instrument_weight_estimates: False
#
instrument_weight_ewma_span: 125
instrument_weight_estimate:
func: syscore.optimisation.GenericOptimiser
method: shrinkage
frequency: "W"
equalise_gross: False
cost_multiplier: 0.0
apply_cost_weight: False
date_method: "expanding"
rollyears: 20
cleaning: True
equalise_SR: True
ann_target_SR: 0.5
equalise_vols: True
shrinkage_mean: 1.00
shrinkage_corr: 0.50
monte_runs: 100
bootstrap_length: 50
correlation_estimate:
func: syscore.correlations.correlation_single_period
using_exponent: False
ew_lookback: 500
min_periods: 20
floor_at_zero: True
mean_estimate:
func: syscore.algos.mean_estimator
using_exponent: False
ew_lookback: 500
min_periods: 20
vol_estimate:
func: syscore.algos.vol_estimator
using_exponent: False
ew_lookback: 500
min_periods: 20
#
# buffering / position inertia
buffer_method: position
buffer_size: 0.10
buffer_trade_to_edge: False
# costs and accounting
use_SR_costs: True
#