Merge branch 'develop' into python_logging_switch

robcarver17 · Oct 24, 2023 · e63e585 · e63e585
2 parents cffecf4 + caf16fa
commit e63e585
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Showing 5 changed files with 16 additions and 20 deletions.
diff --git a/sysdata/config/defaults.yaml b/sysdata/config/defaults.yaml
@@ -21,7 +21,7 @@ strategy_capital_allocation:
 #    example: 100.0
 #
 ## Where do we save backtests
-backtest_store_directory: 'private'
+backtest_store_directory: 'private.backtests'
 #
 # And backups
 csv_backup_directory: 'data.backups_csv'

diff --git a/sysobjects/contract_dates_and_expiries.py b/sysobjects/contract_dates_and_expiries.py
@@ -49,10 +49,10 @@ def from_str(expiryDate, date_as_str: str):
             as_date = datetime.datetime.strptime(date_as_str, EXPIRY_DATE_FORMAT)
         except:
             raise Exception(
-                "Expiry date %s not in format %s" % date_as_str, EXPIRY_DATE_FORMAT
+                "Expiry date %s not in format %s" % (date_as_str, EXPIRY_DATE_FORMAT)
             )
 
-        return expiryDate(as_date.year, as_date.month, as_date.day)
+        return expiryDate(year=as_date.year, month=as_date.month, day=as_date.day)
 
     def as_str(self) -> str:
         return self.strftime(EXPIRY_DATE_FORMAT)

diff --git a/sysproduction/strategy_code/report_system_classic.py b/sysproduction/strategy_code/report_system_classic.py
@@ -529,7 +529,12 @@ def risk_scaling_string(backtest) -> str:
         backtest_system_portfolio_stage.get_leverage_for_original_position().iloc[-1]
     )
     percentage_vol_target = backtest_system_portfolio_stage.get_percentage_vol_target()
-    risk_scalar_final = backtest_system_portfolio_stage.get_risk_scalar().iloc[-1]
+    try:
+        risk_scalar = backtest_system_portfolio_stage.get_risk_scalar()
+    except missingData:
+        risk_scalar_final = 1.0
+    else:
+        risk_scalar_final = risk_scalar.iloc[-1]
     risk_overlay_config = (
         backtest_system_portfolio_stage.config.get_element_or_arg_not_supplied(
             "risk_overlay"

diff --git a/systems/portfolio.py b/systems/portfolio.py
@@ -212,16 +212,18 @@ def get_notional_position(self, instrument_code: str) -> pd.Series:
             self.get_notional_position_before_risk_scaling(instrument_code)
         )
 
-        risk_scalar = self.get_risk_scalar()
-        if type(risk_scalar) is pd.Series:
+        try:
+            risk_scalar = self.get_risk_scalar()
+        except missingData:
+            self.log.debug("No risk overlay in config: won't apply risk scaling")
+            notional_position = notional_position_without_risk_scalar
+        else:
             risk_scalar_reindex = risk_scalar.reindex(
                 notional_position_without_risk_scalar.index
             )
             notional_position = (
                 notional_position_without_risk_scalar * risk_scalar_reindex.ffill()
             )
-        else:
-            notional_position = notional_position_without_risk_scalar
 
         return notional_position
 
@@ -960,12 +962,7 @@ def capital_multiplier(self):
     @diagnostic()
     def get_risk_scalar(self) -> pd.Series:
 
-        risk_overlay_config = self.config.get_element_or_arg_not_supplied(
-            "risk_overlay"
-        )
-        if risk_overlay_config is arg_not_supplied:
-            self.log.debug("No risk overlay in config: won't apply risk scaling")
-            return 1.0
+        risk_overlay_config = self.config.get_element("risk_overlay")
 
         normal_risk = self.get_portfolio_risk_for_original_positions()
         shocked_vol_risk = (

diff --git a/tests/test_examples.py b/tests/test_examples.py
@@ -51,7 +51,6 @@ def my_config(ewmac_8, ewmac_32):
     my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
     my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500"]
     my_config.notional_trading_capital = 1000000
-    my_config.risk_overlay = arg_not_supplied
     my_config.exclude_instrument_lists = dict(
         ignore_instruments=["MILK"],
         trading_restrictions=["BUTTER"],
@@ -309,7 +308,6 @@ def test_simple_system_config_object(self, data, ewmac_8, ewmac_32):
                 percentage_vol_target=25.00,
                 notional_trading_capital=500000,
                 base_currency="GBP",
-                risk_overlay=arg_not_supplied,
                 exclude_instrument_lists=dict(
                     ignore_instruments=["MILK"],
                     trading_restrictions=["BUTTER"],
@@ -379,7 +377,6 @@ def test_simple_system_risk_overlay(self, data, ewmac_8, ewmac_32):
     def test_simple_system_config_import(self, data):
 
         my_config = Config("systems.provided.example.simplesystemconfig.yaml")
-        my_config.risk_overlay = arg_not_supplied
         my_config.exclude_instrument_lists = dict(
             ignore_instruments=["MILK"],
             trading_restrictions=["BUTTER"],
@@ -418,7 +415,6 @@ def test_prebaked_simple_system(self):
         This is the simple system from 'examples.introduction.prebakedsimplesystems'
         """
         my_system = simplesystem()
-        my_system.config.risk_overlay = arg_not_supplied
         print(my_system)
         print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
@@ -428,7 +424,6 @@ def test_prebaked_from_confg(self):
         This is the config system from 'examples.introduction.prebakedsimplesystems'
         """
         my_config = Config("systems.provided.example.simplesystemconfig.yaml")
-        my_config.risk_overlay = arg_not_supplied
         my_data = csvFuturesSimData()
         my_system = simplesystem(config=my_config, data=my_data)
         print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
@@ -440,7 +435,6 @@ def test_prebaked_chapter15(self):
         but without graph plotting
         """
         system = base_futures_system()
-        system.config.risk_overlay = arg_not_supplied
         print(system.accounts.portfolio().sharpe())
 
     @staticmethod