#YAML

use_forecast_scale_estimates: True
use_forecast_weight_estimates: True
use_instrument_weight_estimates: True
#
# Raw data
#
# Trading rules
#
trading_rules:
  ewmac8:
     function: systems.provided.rules.ewmac.ewmac_forecast_with_defaults_no_vol
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 8
         Lslow: 32
  ewmac16:
     function: systems.provided.rules.ewmac.ewmac_forecast_with_defaults_no_vol
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 16
         Lslow: 64
  carry:
     function: systems.provided.rules.ewmac.carry2
     data:
         - "rawdata.daily_annualised_roll"
     other_args:
         smooth_days: 90
#
# forecast capping and scaling
#
# weird value to test if config is coming through
forecast_cap: 21.0
#
# forecast combination
#
#
rule_variations:
     EDOLLAR: ['ewmac8','ewmac16', 'carry']
     US10: ['ewmac8','ewmac16', 'carry']
     BUND: ['ewmac8','ewmac16']
#
#
#
# Capital correction
#
percentage_vol_target: 16.0
notional_trading_capital: 100000
base_currency: "GBP"
#
# Portfolio creation
#
instruments: ['EDOLLAR','US10','BUND']
##

