Help needed to setup dynamic optimised system

[emretezel]

config copy.txt

Hi Rob, everyone,

Now that I managed to extend my historical data to a larger universe of futures, I next focus on switching the system from "classic" to "dynamic optimised". If you can point to any guides that I missed, it would be greatly appreciated. I browsed the GitHub docs and the blog posts.

Naive Attempt

I have copied config.yaml from systems.provided.rob_system into private module, and set the modified estimate calculations to True (config file attached).

use_forecast_weight_estimates: True
use_forecast_div_mult_estimates: True
use_instrument_weight_estimates: True
use_instrument_div_mult_estimates: True
use_forecast_scale_estimates: True

And then I tried to run the following for the estimates to be calculated.

from sysproduction.strategy_code.run_dynamic_optimised_system import dynamic_system
from sysdata.data_blob import dataBlob


if __name__ == "__main__":
    data = dataBlob(log_name="backtest")
    system = dynamic_system(data=data,
                            config_filename="private.system.config.yaml")
    capital = system.accounts.get_actual_capital()

But getting the following error. In addition to figuring out how to resolve the below, how can I make sure I have a complete set config file for the dynamic optimised system. In the classic system, I used to have more parameters such as below, but don't see them in Rob's config file. Any help greatly appreciated.

forecast_weight_estimate:
   apply_cost_weight: True
   ceiling_cost_SR: 0.13
   cost_multiplier: 0.0
   pool_gross_returns: True
   equalise_gross: False

Traceback (most recent call last):
  File "/Applications/PyCharm CE.app/Contents/plugins/python-ce/helpers/pydev/pydevd.py", line 1491, in _exec
    pydev_imports.execfile(file, globals, locals)  # execute the script
  File "/Applications/PyCharm CE.app/Contents/plugins/python-ce/helpers/pydev/_pydev_imps/_pydev_execfile.py", line 18, in execfile
    exec(compile(contents+"\n", file, 'exec'), glob, loc)
  File "/Users/emre/opt/pysystemtrade/private/system/backtest.py", line 9, in <module>
    capital = system.accounts.get_actual_capital()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_with_multiplier.py", line 124, in get_actual_capital
    capmult = self.capital_multiplier()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_with_multiplier.py", line 156, in capital_multiplier
    capmult = capmult_func(system, **capmult_params)
  File "/Users/emre/opt/pysystemtrade/syscore/capital.py", line 12, in fixed_capital
    multiplier = copy(system.accounts.portfolio().percent)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_portfolio.py", line 35, in portfolio
    [
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_portfolio.py", line 38, in <listcomp>
    self.pandl_for_instrument(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_instruments.py", line 48, in pandl_for_instrument
    positions = self.get_buffered_position(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_buffering_system.py", line 80, in get_buffered_position
    optimal_position = self.get_notional_position(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_inputs.py", line 152, in get_notional_position
    return self.parent.portfolio.get_notional_position(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 197, in get_notional_position
    notional_position_without_risk_scalar = self.get_notional_position_before_risk_scaling(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 218, in get_notional_position_before_risk_scaling
    notional_position_without_idm = self.get_notional_position_without_idm(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 235, in get_notional_position_without_idm
    instr_weights = self.get_instrument_weights()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 417, in get_instrument_weights
    self.get_unsmoothed_instrument_weights_fitted_to_position_lengths()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 433, in get_unsmoothed_instrument_weights_fitted_to_position_lengths
    raw_instrument_weights = self.get_unsmoothed_raw_instrument_weights()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 464, in get_unsmoothed_raw_instrument_weights
    raw_instrument_weights = self.get_raw_estimated_instrument_weights()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 613, in get_raw_estimated_instrument_weights
    optimiser = self.calculation_of_raw_instrument_weights()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 640, in calculation_of_raw_instrument_weights
    returns_pre_processor = self.returns_pre_processor()
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 654, in returns_pre_processor
    pandl_across_subsystems_raw = self.pandl_across_subsystems(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/portfolio.py", line 795, in pandl_across_subsystems
    return accounts.pandl_across_subsystems_given_instrument_list(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_subsystem.py", line 32, in pandl_across_subsystems_given_instrument_list
    [
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_subsystem.py", line 35, in <listcomp>
    self.pandl_for_subsystem(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_subsystem.py", line 97, in pandl_for_subsystem
    pandl = self._pandl_for_subsystem_with_cash_costs(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_subsystem.py", line 150, in _pandl_for_subsystem_with_cash_costs
    positions = self.get_buffered_subsystem_position(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_buffering_subsystem.py", line 48, in get_buffered_subsystem_position
    optimal_position = self.get_subsystem_position(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/accounts/account_inputs.py", line 73, in get_subsystem_position
    return self.parent.positionSize.get_subsystem_position(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/positionsizing.py", line 123, in get_subsystem_position
    forecast = self.get_combined_forecast(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/positionsizing.py", line 534, in get_combined_forecast
    return self.comb_forecast_stage.get_combined_forecast(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 83, in get_combined_forecast
    self.get_raw_combined_forecast_before_mapping(instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 105, in get_raw_combined_forecast_before_mapping
    raw_combined_forecast = self.get_combined_forecast_without_multiplier(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 132, in get_combined_forecast_without_multiplier
    weighted_forecasts = self.get_weighted_forecasts_without_multiplier(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 148, in get_weighted_forecasts_without_multiplier
    forecasts = self.get_all_forecasts(instrument_code, rule_variation_list)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 316, in get_all_forecasts
    forecasts = self.get_forecasts_given_rule_list(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 441, in get_forecasts_given_rule_list
    forecasts = [
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 442, in <listcomp>
    self._get_capped_individual_forecast(instrument_code, rule_variation_name)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_combine.py", line 487, in _get_capped_individual_forecast
    return self.forecast_scale_cap_stage.get_capped_forecast(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_scale_cap.py", line 66, in get_capped_forecast
    scaled_forecast = self.get_scaled_forecast(instrument_code, rule_variation_name)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_scale_cap.py", line 99, in get_scaled_forecast
    raw_forecast = self.get_raw_forecast(instrument_code, rule_variation_name)
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 700, in wrapper
    return func(*args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecast_scale_cap.py", line 133, in get_raw_forecast
    raw_forecast = self.rules_stage.get_raw_forecast(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 723, in wrapper
    ans = system.cache.calc_or_cache(
  File "/Users/emre/opt/pysystemtrade/systems/system_cache.py", line 573, in calc_or_cache
    value = func(this_stage, *args, **kwargs)
  File "/Users/emre/opt/pysystemtrade/systems/forecasting.py", line 102, in get_raw_forecast
    result = trading_rule.call(system, instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/trading_rules.py", line 106, in call
    list_of_data_for_call = self._get_data_from_system(system, instrument_code)
  File "/Users/emre/opt/pysystemtrade/systems/trading_rules.py", line 129, in _get_data_from_system
    list_of_data_methods = self._get_data_methods_from_list_of_data_string(
  File "/Users/emre/opt/pysystemtrade/systems/trading_rules.py", line 146, in _get_data_methods_from_list_of_data_string
    list_of_data_methods = [
  File "/Users/emre/opt/pysystemtrade/systems/trading_rules.py", line 147, in <listcomp>
    resolve_data_method(system, data_string)
  File "/Users/emre/opt/pysystemtrade/syscore/objects.py", line 151, in resolve_data_method
    return _recursively_get_attr_within_list(some_object, list_to_parse)
  File "/Users/emre/opt/pysystemtrade/syscore/objects.py", line 161, in _recursively_get_attr_within_list
    return _recursively_get_attr_within_list(sub_object, list_to_parse)
  File "/Users/emre/opt/pysystemtrade/syscore/objects.py", line 159, in _recursively_get_attr_within_list
    sub_object = getattr(an_object, next_attr)
AttributeError: 'RawData' object has no attribute 'get_demeanded_factor_value'

[robcarver17]

For some weird reason you are using the config, but not the code, for my private system. The code includes some special classes.

https://github.com/robcarver17/pysystemtrade/blob/master/systems/provided/rob_system/run_system.py

from systems.provided.rob_system.run_system import *
system = futures_system()

The system is hard wired with fixed parameters so it doesn't need anything to estimate forecast weights or whatever.
But in any case anything missing from the config will be pulled from the default.yaml.
I think you need to read the documentation.

[emretezel]

I believe it is important that given I may have slightly different historical data (last 20 years only, you may have more) and around 80 instruments (vs. 145), I should at least run the estimates once and then hardcode them in the production system, would you agree?

The reason I used sysproduction.strategy_code.run_dynamic_optimised_system is that I understand when you run your system in production, you end up using runSystemCarryTrendDynamic class in this module? Is that right?

[robcarver17]

"would you agree?"

No - if you read this blog post you will see that all weights are manually handcrafted so the amount of data is irrelevant.

https://qoppac.blogspot.com/2021/12/my-trading-system.html

[robcarver17]

"you end up using runSystemCarryTrendDynamic class in this module? Is that right?"

No I modify the basic dynamic strategy to use vol attenuation and a special raw data class.

[emretezel]

Thanks a lot of things are clear now, and a lot more reading to go through on the blog posts.

Just one high level question, since I may not be able to do handcrafting manually on Excel (or by stick and mud), I am still tempted to use the automatic handcrafting code as part of the backtest (after setting exclude_instrument_lists). Is this a horrific idea? Why did you prefer to use manually handcrafting?

[robcarver17]

It's not horrific and will make almost no difference to in or out of sample performance.

I just like being able to know exactly where my weights came from.

[robcarver17]

This discussion also relevant
#562

[emretezel]

Thanks Rob, the following seems to be working so far

from systems.provided.rob_system.run_system import futures_system


if __name__ == "__main__":
    system = futures_system(config_filename="private.system.config.yaml")
    capital = system.accounts.get_actual_capital()

When you were finalising your weight estimates, would it be fair to say if something wasn't in your config file default values were used?

How can I learn more about the risk_overlay and vol attenuation concepts?

Best,
Emre

[robcarver17]

"When you were finalising your weight estimates, would it be fair to say if something wasn't in your config file default values were used?"

Well yes that is the way the config files work.

But if you read this blog post you will see that all weights are manually handcrafted:
https://qoppac.blogspot.com/2021/12/my-trading-system.html

"How can I learn more about the risk_overlay and vol attenuation concepts?"

Again, from my blog (or wait for my new book!)
https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html
https://qoppac.blogspot.com/2021/03/does-it-make-sense-to-change-your.html