#YAML
#
# Raw data
#
# Trading rules
#
trading_rules:
  ewmac2_8:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 2
         Lslow: 8
  ewmac4_16:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 4
         Lslow: 16
  ewmac8_32:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 8
         Lslow: 32
  ewmac16_64:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 16
         Lslow: 64
  ewmac32_128:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 32
         Lslow: 128
  ewmac64_256:
     function: systems.provided.rules.ewmac.ewmac
     data:
         - "rawdata.get_daily_prices"
         - "rawdata.daily_returns_volatility"
     other_args: 
         Lfast: 64
         Lslow: 256
  carry:
     function: systems.provided.rules.carry.carry
     data:
         - "rawdata.raw_carry"
     other_args:
         smooth_days: 90
#
use_forecast_scale_estimates: True
#
forecast_scalar_estimate:
   pool_instruments: True
#
# forecast combination
#
use_forecast_weight_estimates: True
use_forecast_div_mult_estimates: True
#
#
rule_variations: ['ewmac16_64','ewmac32_128', 'ewmac64_256', 'carry']
#
#
forecast_correlation_estimate:
   pool_instruments: True
#
use_instrument_weight_estimates: True
use_instrument_div_mult_estimates: True
#
#
#
# Capital correction
#
percentage_vol_target: 20.0
notional_trading_capital: 250000
base_currency: "USD"
#
# Portfolio creation
#
instruments: ['SOFR','US10','EUROSTX', 'MXP', 'CORN', 'V2X']

