defaults.yaml

# YAML
#
#           PRODUCTION STUFF
#
## process configuration
#
#process_configuration_host_name:
#  run_capital_update: boromir
process_configuration_start_time:
  default: '00:01'
  run_stack_handler: '00:01'
  run_capital_update: '01:00'
  run_daily_prices_updates: '20:00'
  run_systems: '20:05'
  run_strategy_order_generator: '20:10'
  run_backups: '20:15'
  run_cleaners: '20:20'
  run_reports: '20:25'
process_configuration_stop_time:
  default: '23:50'
  run_strategy_order_generator: '19:30'
  run_stack_handler: '19:45'
  run_capital_update: '19:50'
  run_daily_prices_updates: '23:50'
  run_systems: '23:50'
  run_backups: '23:50'
  run_cleaners: '23:50'
  run_reports: '23:50'
process_configuration_previous_process:
  run_systems: 'run_daily_prices_updates'
  run_strategy_order_generator: 'run_systems'
  run_cleaners: 'run_strategy_order_generator'
  run_backups: 'run_cleaners'
  run_reports: 'run_strategy_order_generator'
# we include every method to make process monitoring easier
process_configuration_methods:
  run_capital_update:
    update_total_capital:
      frequency: 120
      max_executions: 10
    strategy_allocation:
      max_executions: 1
  run_daily_prices_updates:
    update_fx_prices:
      max_executions: 1
    update_sampled_contracts:
      max_executions: 1
    update_historical_prices:
      max_executions: 1
    update_multiple_adjusted_prices:
      max_executions: 1
  run_stack_handler:
    check_external_position_break:
      frequency: 0
      max_executions: -1
    spawn_children_from_new_instrument_orders:
      frequency: 0
      max_executions: -1
    generate_force_roll_orders:
      frequency: 0
      max_executions: 1
    create_broker_orders_from_contract_orders:
      frequency: 0
      max_executions: -1
    process_fills_stack:
      frequency: 0
      max_executions: -1
    handle_completed_orders:
      frequency: 0
      max_executions: -1
    safe_stack_removal:
      run_on_completion_only: True
  run_reports:
    status_report:
      max_executions: 1
    roll_report:
      max_executions: 1
    daily_pandl_report:
      max_executions: 1
    reconcile_report:
      max_executions: 1
    trade_report:
      max_executions: 1
  run_backups:
    backup_arctic_to_csv:
      max_executions: 1
    backup_files:
      backup_files: 1
  run_cleaners:
    clean_backtest_states:
      max_executions: 1
    clean_echo_files:
      max_executions: 1
    clean_log_files:
      max_executions: 1
process_configuration_run_over_strategies:
  - run_systems
  - run_strategy_order_generator
#previous_process: need to write these up
#
## Strategy configuration
strategy_list:
  example:
    run_systems:
      object: sysproduction.strategy_code.run_system_classic.runSystemClassic
      function: run_system_classic
      backtest_config_filename: systems.provided.futures_chapter15.futures_config.yaml
      max_executions: 1
    run_strategy_order_generator:
      object: sysexecution.strategies.classic_buffered_positions.orderGeneratorForBufferedPositions
      function: get_and_place_orders
      frequency: 60
      max_executions: 1
    load_backtests:
      object: sysproduction.strategy_code.run_system_classic.runSystemClassic
      function: system_method
    reporting_code:
      function: sysproduction.strategy_code.report_system_classic.report_system_classic
#
# Allocate capital to strategies
strategy_capital_allocation:
  function: sysproduction.strategy_code.strategy_allocation.weighted_strategy_allocation
  strategy_weights:
    example: 100.0
#
## Where do we save backtests
backtest_store_directory: 'backtests'
#
# And backups
csv_backup_directory: 'data.backups_csv'
mongo_dump_directory: 'data.mongo_dump'
echo_directory: 'data.echos'
#
# Interactive brokers
ib_ipaddress: 127.0.0.1
ib_port: 4001
ib_idoffset: 100
#
# Mongo DB
mongo_host: 127.0.0.1
mongo_db: 'production'
#
# Spike checker
max_price_spike: 8
#
# Price frequency (we collect daily data, and separately this frequency
intraday_frequency: H
#
# Capital calculation
production_capital_method: 'full'
#
#           BACKTESTING STUFF
#
# 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
#
#
instruments_with_threshold: []
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
#
use_forecast_div_mult_estimates: False
#
forecast_correlation_estimate:
   pool_instruments: True
   func: syscore.correlations.CorrelationEstimator
   frequency: "W"
   date_method: "expanding"
   using_exponent: True
   ew_lookback: 250
   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: handcraft
   pool_gross_returns: True
   equalise_gross: False
   cost_multiplier: 2.0
   apply_cost_weight: False
   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
#
use_instrument_div_mult_estimates: False
#
instrument_correlation_estimate:
   func: syscore.correlations.CorrelationEstimator
   frequency: "W"
   date_method: "expanding"
   using_exponent: True
   ew_lookback: 250
   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: handcraft
   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
#
# risk overlay
risk_overlay:
  max_risk_fraction_normal_risk: 2.0
  max_risk_fraction_correlation_risk: 4.0
  max_risk_fraction_stdev_risk: 6.0