confusion about running in prod

[js190]

Hello,
I'm confused as to what version you are running in prod, I see two different constructions of a future_system for DO here https://github.com/robcarver17/pysystemtrade/blob/master/sysproduction/strategy_code/run_dynamic_optimised_system.py#L104

However here https://github.com/robcarver17/pysystemtrade/blob/master/systems/provided/rob_system/run_system.py#L27 you include volAttenForecastScaleCap()

Cheers and thanks

[robcarver17]

In prod I'm running with vol attenuation, hence the replacement class I'm importing. But it has nothing to do with DO

The other code is a 'vanilla' DO implementation

[robcarver17]

from syscore.objects import arg_not_supplied

from sysdata.data_blob import dataBlob

from sysproduction.data.sim_data import get_sim_data_object_for_production
from sysproduction.strategy_code.run_dynamic_optimised_system import runSystemCarryTrendDynamic

from syslogdiag.log_to_screen import logtoscreen

from systems.basesystem import System


class runMySystemCarryTrendDynamic(runSystemCarryTrendDynamic):

    # DO NOT CHANGE THE NAME OF THIS FUNCTION; IT IS HARDCODED INTO CONFIGURATION FILES
    # BECAUSE IT IS ALSO USED TO LOAD BACKTESTS
    def system_method(self,
                      notional_trading_capital: float=None,
                      base_currency: str=None) -> System:
        data = self.data
        backtest_config_filename = self.backtest_config_filename

        system = production_carry_trend_dynamic_system(
            data,
            backtest_config_filename,
            log=data.log,
            notional_trading_capital=notional_trading_capital,
            base_currency=base_currency,
        )

        return system


def production_carry_trend_dynamic_system(
    data: dataBlob,
    config_filename: str,
    log=logtoscreen("futures_system"),
    notional_trading_capital: float=arg_not_supplied,
    base_currency: str=arg_not_supplied,
) -> System:

    log_level = "on"

    sim_data = get_sim_data_object_for_production(data)
    config = Config(config_filename)

    # Overwrite capital and base currency
    if notional_trading_capital is not arg_not_supplied:
        config.notional_trading_capital = notional_trading_capital

    if base_currency is not arg_not_supplied:
        config.base_currency = base_currency

    system = futures_system(data=sim_data, config=config)
    system._log = log

    system.set_logging_level(log_level)

    return system

from sysdata.config.configdata import Config

from systems.forecasting import Rules
from systems.basesystem import System
from systems.forecast_combine import ForecastCombine
from private.systems.carrytrend.forecastScaleCap import volAttenForecastScaleCap
from private.systems.carrytrend.rawdata import myFuturesRawData
from systems.positionsizing import PositionSizing
from systems.portfolio import Portfolios
from systems.provided.dynamic_small_system_optimise.optimised_positions_stage import optimisedPositions
from systems.risk import Risk
from systems.provided.dynamic_small_system_optimise.accounts_stage import accountForOptimisedStage

def futures_system(data, config):

    system = System(
        [
            Risk(),
            accountForOptimisedStage(),
            optimisedPositions(),
            Portfolios(),
            PositionSizing(),
            myFuturesRawData(),
            ForecastCombine(),
            volAttenForecastScaleCap(),
            Rules(),

        ],
        data,
        config,
    )
    system.set_logging_level("on")

    return system

[robcarver17]

That's my production code. If you want to use vol attenuation, this sort of thing should be in your backtest .yaml config:

use_attenuation:
   - 'breakout10'
   - 'breakout20'
   - 'breakout40'
   - 'breakout80'
   - 'breakout160'

[TobiasAntiGravity]

Thank you for the class, and thank you for the lightning fast reply!!!

[TobiasAntiGravity]

Regarding the use_attenuation, I've seen it declared in the systems.provided.rob_system.config.yaml, so your parameters should be in place already ;

use_attenuation:
   - 'breakout10'
   - 'breakout20'
   - 'breakout40'
   - 'breakout80'
   - 'breakout160'
   - 'breakout320'
   - 'relmomentum10'
   - 'relmomentum20'
   - 'relmomentum40'
   - 'relmomentum80'
   - 'mrinasset160'
   - 'assettrend2'
   - 'assettrend4'
   - 'assettrend8'
   - 'assettrend16'
   - 'assettrend32'
   - 'assettrend64'
   - 'normmom2'
   - 'normmom4'
   - 'normmom8'
   - 'normmom16'
   - 'normmom32'
   - 'normmom64'
   - 'momentum4'
   - 'momentum8'
   - 'momentum16'
   - 'momentum32'
   - 'momentum64'

[emretezel]

from private.systems.carrytrend.forecastScaleCap import volAttenForecastScaleCap
from private.systems.carrytrend.rawdata import myFuturesRawData

these seem to be private modules not part of the git source

[robcarver17]

They should obviously be replaced with:

from systems.provided.rob_system.forecastScaleCap import volAttenForecastScaleCap
from systems.provided.rob_system.rawdata import myFuturesRawData