

In [2]:

    
run prebakedsystems.py









    



System with .config, .data, and .stages: accounts, portfolio, positionSize, combForecast, forecastScaleCap, rules
Calculating notional position for EDOLLAR
Calculating diversification multiplier
Calculating instrument weights
Calculating raw instrument weights
Calculating subsystem position for CORN
Calculating volatility scalar for CORN
Calculating instrument value vol for CORN
Calculating instrument currency vol for CORN
Getting block value for CORN






    



/home/chris/src/pysystemtrade/sysdata/data.py:58: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  dailyprice = instrprice.resample("1B", how="last")
/home/chris/src/pysystemtrade/syscore/algos.py:136: FutureWarning: pd.ewm_std is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=10,span=35).std(bias=False)
  vol = pd.ewmstd(x, span=days, min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/algos.py:143: FutureWarning: pd.rolling_quantile is deprecated for Series and will be removed in a future version, replace with 
	Series.rolling(min_periods=100,window=500,center=False).quantile(quantile=0.05)
  vol, floor_days, floor_min_quant, floor_min_periods)






    



Getting fx rates for CORN
Getting vol target
Calculating combined forecast for CORN
Calculating forecast weights for CORN
Calculating raw forecast weights for CORN
Calculating capped forecast for CORN ewmac32
Calculating raw forecast CORN for ewmac32






    



/home/chris/src/pysystemtrade/systems/provided/example/rules.py:37: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=32).mean()
  fast_ewma = pd.ewma(price, span=Lfast)
/home/chris/src/pysystemtrade/systems/provided/example/rules.py:38: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=128).mean()
  slow_ewma = pd.ewma(price, span=Lslow)






    



Calculating capped forecast for CORN ewmac8
Calculating raw forecast CORN for ewmac8






    



/home/chris/src/pysystemtrade/systems/provided/example/rules.py:37: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=8).mean()
  fast_ewma = pd.ewma(price, span=Lfast)
/home/chris/src/pysystemtrade/systems/provided/example/rules.py:38: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=32).mean()
  slow_ewma = pd.ewma(price, span=Lslow)
/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)






    



Calculating diversification multiplier for CORN
Calculating subsystem position for EDOLLAR
Calculating volatility scalar for EDOLLAR
Calculating instrument value vol for EDOLLAR
Calculating instrument currency vol for EDOLLAR
Getting block value for EDOLLAR
Getting fx rates for EDOLLAR
Calculating combined forecast for EDOLLAR
Calculating forecast weights for EDOLLAR
Calculating raw forecast weights for EDOLLAR
Calculating capped forecast for EDOLLAR ewmac32
Calculating raw forecast EDOLLAR for ewmac32
Calculating capped forecast for EDOLLAR ewmac8
Calculating raw forecast EDOLLAR for ewmac8
Calculating diversification multiplier for EDOLLAR
Calculating subsystem position for SP500
Calculating volatility scalar for SP500
Calculating instrument value vol for SP500
Calculating instrument currency vol for SP500
Getting block value for SP500
Getting fx rates for SP500
Calculating combined forecast for SP500
Calculating forecast weights for SP500
Calculating raw forecast weights for SP500
Calculating capped forecast for SP500 ewmac32
Calculating raw forecast SP500 for ewmac32
Calculating capped forecast for SP500 ewmac8
Calculating raw forecast SP500 for ewmac8
Calculating diversification multiplier for SP500
Calculating subsystem position for US10
Calculating volatility scalar for US10
Calculating instrument value vol for US10
Calculating instrument currency vol for US10
Getting block value for US10
Getting fx rates for US10
Calculating combined forecast for US10
Calculating forecast weights for US10
Calculating raw forecast weights for US10
Calculating capped forecast for US10 ewmac32
Calculating raw forecast US10 for ewmac32
Calculating capped forecast for US10 ewmac8
Calculating raw forecast US10 for ewmac8
Calculating diversification multiplier for US10






    



/home/chris/src/pysystemtrade/systems/portfolio.py:243: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  instrument_weights = pd.ewma(instrument_weights, weighting)






    



2016-11-07   -10.494962
2016-11-08   -15.857233
2016-11-09   -16.012381
2016-11-10   -23.799042
2016-11-11   -34.351904
Freq: B, dtype: float64
Calculating notional position for EDOLLAR
Calculating diversification multiplier
Calculating instrument weights
Calculating raw instrument weights
Calculating subsystem position for CORN
Calculating volatility scalar for CORN
Calculating instrument value vol for CORN
Calculating instrument currency vol for CORN
Getting block value for CORN
Loading csv data for CORN
Loading csv instrument config
Loading csv data for CORN
Getting fx rates for CORN
Getting vol target
Loading csv instrument config
Loading csv fx data
Loading csv fx data
Loading csv fx data
Calculating combined forecast for CORN
Calculating forecast weights for CORN
Calculating raw forecast weights for CORN
Calculating capped forecast for CORN ewmac32
Calculating raw forecast CORN for ewmac32
Loading csv data for CORN
Calculating capped forecast for CORN ewmac8
Calculating raw forecast CORN for ewmac8
Loading csv data for CORN
Calculating diversification multiplier for CORN
Calculating subsystem position for EDOLLAR
Calculating volatility scalar for EDOLLAR
Calculating instrument value vol for EDOLLAR
Calculating instrument currency vol for EDOLLAR
Getting block value for EDOLLAR
Loading csv data for EDOLLAR
Loading csv instrument config
Loading csv data for EDOLLAR
Getting fx rates for EDOLLAR
Loading csv instrument config
Loading csv fx data
Loading csv fx data
Loading csv fx data
Calculating combined forecast for EDOLLAR
Calculating forecast weights for EDOLLAR
Calculating raw forecast weights for EDOLLAR
Calculating capped forecast for EDOLLAR ewmac32
Calculating raw forecast EDOLLAR for ewmac32
Loading csv data for EDOLLAR
Calculating capped forecast for EDOLLAR ewmac8
Calculating raw forecast EDOLLAR for ewmac8
Loading csv data for EDOLLAR
Calculating diversification multiplier for EDOLLAR
Calculating subsystem position for SP500
Calculating volatility scalar for SP500
Calculating instrument value vol for SP500
Calculating instrument currency vol for SP500
Getting block value for SP500
Loading csv data for SP500
Loading csv instrument config
Loading csv data for SP500
Getting fx rates for SP500
Loading csv instrument config
Loading csv fx data
Loading csv fx data
Loading csv fx data
Calculating combined forecast for SP500
Calculating forecast weights for SP500
Calculating raw forecast weights for SP500
Calculating capped forecast for SP500 ewmac32
Calculating raw forecast SP500 for ewmac32
Loading csv data for SP500
Calculating capped forecast for SP500 ewmac8
Calculating raw forecast SP500 for ewmac8
Loading csv data for SP500
Calculating diversification multiplier for SP500
Calculating subsystem position for US10
Calculating volatility scalar for US10
Calculating instrument value vol for US10
Calculating instrument currency vol for US10
Getting block value for US10
Loading csv data for US10
Loading csv instrument config
Loading csv data for US10
Getting fx rates for US10
Loading csv instrument config
Loading csv fx data
Loading csv fx data
Loading csv fx data
Calculating combined forecast for US10
Calculating forecast weights for US10
Calculating raw forecast weights for US10
Calculating capped forecast for US10 ewmac32
Calculating raw forecast US10 for ewmac32
Loading csv data for US10
Calculating capped forecast for US10 ewmac8
Calculating raw forecast US10 for ewmac8
Loading csv data for US10
Calculating diversification multiplier for US10
2016-11-07   -10.494962
2016-11-08   -15.857233
2016-11-09   -16.012381
2016-11-10   -23.799042
2016-11-11   -34.351904
Freq: B, dtype: float64
Calculating pandl for portfolio
Getting vol target
Calculating pandl for instrument for CORN
Loading csv data for CORN
Calculating buffered positions
Calculating notional position for CORN
Calculating diversification multiplier
Calculating instrument weights
Calculating raw instrument weights
Calculating subsystem position for CORN
Calculating volatility scalar for CORN
Calculating instrument value vol for CORN
Calculating instrument currency vol for CORN
Getting block value for CORN
Loading csv carry data for CORN






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")






    



Loading csv instrument config
Calculating daily volatility for CORN
Calculating daily prices for CORN
Loading csv data for CORN
Getting fx rates for CORN
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for CORN
Calculating forecast weights for CORN
Calculating raw forecast weights for CORN
Calculating capped forecast for CORN carry
Calculating raw forecast CORN for carry






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:203: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).mean()
  annroll = annroll.resample("1B", how="mean")
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:81: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(com=90,ignore_na=False,adjust=True,min_periods=0).mean()
  smooth_carry = pd.ewma(raw_carry, smooth_days)
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:49: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=16).mean()
  fast_ewma = pd.ewma(price, span=Lfast)
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:50: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=64).mean()
  slow_ewma = pd.ewma(price, span=Lslow)






    



Calculating capped forecast for CORN ewmac16_64
Calculating raw forecast CORN for ewmac16_64
Calculating capped forecast for CORN ewmac32_128
Calculating raw forecast CORN for ewmac32_128
Calculating capped forecast for CORN ewmac64_256
Calculating raw forecast CORN for ewmac64_256






    



/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:49: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=32).mean()
  fast_ewma = pd.ewma(price, span=Lfast)
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:50: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=128).mean()
  slow_ewma = pd.ewma(price, span=Lslow)
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:49: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=64).mean()
  fast_ewma = pd.ewma(price, span=Lfast)
/home/chris/src/pysystemtrade/systems/provided/futures_chapter15/rules.py:50: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=256).mean()
  slow_ewma = pd.ewma(price, span=Lslow)






    



Calculating diversification multiplier for CORN
Calculating subsystem position for EDOLLAR
Calculating volatility scalar for EDOLLAR
Calculating instrument value vol for EDOLLAR
Calculating instrument currency vol for EDOLLAR
Getting block value for EDOLLAR
Loading csv carry data for EDOLLAR
Loading csv instrument config
Calculating daily volatility for EDOLLAR
Calculating daily prices for EDOLLAR
Loading csv data for EDOLLAR
Getting fx rates for EDOLLAR
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for EDOLLAR
Calculating forecast weights for EDOLLAR
Calculating raw forecast weights for EDOLLAR
Calculating capped forecast for EDOLLAR carry
Calculating raw forecast EDOLLAR for carry
Calculating capped forecast for EDOLLAR ewmac16_64
Calculating raw forecast EDOLLAR for ewmac16_64
Calculating capped forecast for EDOLLAR ewmac32_128
Calculating raw forecast EDOLLAR for ewmac32_128
Calculating capped forecast for EDOLLAR ewmac64_256
Calculating raw forecast EDOLLAR for ewmac64_256
Calculating diversification multiplier for EDOLLAR
Calculating subsystem position for EUROSTX
Calculating volatility scalar for EUROSTX
Calculating instrument value vol for EUROSTX
Calculating instrument currency vol for EUROSTX
Getting block value for EUROSTX
Loading csv carry data for EUROSTX
Loading csv instrument config
Calculating daily volatility for EUROSTX
Calculating daily prices for EUROSTX
Loading csv data for EUROSTX
Getting fx rates for EUROSTX
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for EUROSTX
Calculating forecast weights for EUROSTX
Calculating raw forecast weights for EUROSTX
Calculating capped forecast for EUROSTX carry
Calculating raw forecast EUROSTX for carry
Calculating capped forecast for EUROSTX ewmac16_64
Calculating raw forecast EUROSTX for ewmac16_64
Calculating capped forecast for EUROSTX ewmac32_128
Calculating raw forecast EUROSTX for ewmac32_128
Calculating capped forecast for EUROSTX ewmac64_256
Calculating raw forecast EUROSTX for ewmac64_256
Calculating diversification multiplier for EUROSTX
Calculating subsystem position for MXP
Calculating volatility scalar for MXP
Calculating instrument value vol for MXP
Calculating instrument currency vol for MXP
Getting block value for MXP
Loading csv carry data for MXP
Loading csv instrument config
Calculating daily volatility for MXP
Calculating daily prices for MXP
Loading csv data for MXP
Getting fx rates for MXP
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for MXP
Calculating forecast weights for MXP
Calculating raw forecast weights for MXP
Calculating capped forecast for MXP carry
Calculating raw forecast MXP for carry
Calculating capped forecast for MXP ewmac16_64
Calculating raw forecast MXP for ewmac16_64
Calculating capped forecast for MXP ewmac32_128
Calculating raw forecast MXP for ewmac32_128
Calculating capped forecast for MXP ewmac64_256
Calculating raw forecast MXP for ewmac64_256
Calculating diversification multiplier for MXP
Calculating subsystem position for US10
Calculating volatility scalar for US10
Calculating instrument value vol for US10
Calculating instrument currency vol for US10
Getting block value for US10
Loading csv carry data for US10
Loading csv instrument config
Calculating daily volatility for US10
Calculating daily prices for US10
Loading csv data for US10
Getting fx rates for US10
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for US10
Calculating forecast weights for US10
Calculating raw forecast weights for US10
Calculating capped forecast for US10 carry
Calculating raw forecast US10 for carry
Calculating capped forecast for US10 ewmac16_64
Calculating raw forecast US10 for ewmac16_64
Calculating capped forecast for US10 ewmac32_128
Calculating raw forecast US10 for ewmac32_128
Calculating capped forecast for US10 ewmac64_256
Calculating raw forecast US10 for ewmac64_256
Calculating diversification multiplier for US10
Calculating subsystem position for V2X
Calculating volatility scalar for V2X
Calculating instrument value vol for V2X
Calculating instrument currency vol for V2X
Getting block value for V2X
Loading csv carry data for V2X
Loading csv instrument config
Calculating daily volatility for V2X
Calculating daily prices for V2X
Loading csv data for V2X
Getting fx rates for V2X
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for V2X
Calculating forecast weights for V2X
Calculating raw forecast weights for V2X
Calculating capped forecast for V2X carry
Calculating raw forecast V2X for carry
Calculating capped forecast for V2X ewmac16_64
Calculating raw forecast V2X for ewmac16_64
Calculating capped forecast for V2X ewmac32_128
Calculating raw forecast V2X for ewmac32_128
Calculating capped forecast for V2X ewmac64_256
Calculating raw forecast V2X for ewmac64_256
Calculating diversification multiplier for V2X
Calculating buffers for CORN
Calculating position method buffer for CORN
Loading csv instrument config
Loading csv cost file






    



/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")
/home/chris/src/pysystemtrade/syscore/pdutils.py:23: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  avg_daily = float(norm_x.diff().abs().resample("1B", how="sum").mean())






    



Calculating pandl for instrument for EDOLLAR
Loading csv data for EDOLLAR
Calculating buffered positions
Calculating notional position for EDOLLAR
Calculating buffers for EDOLLAR
Calculating position method buffer for EDOLLAR
Loading csv instrument config
Loading csv cost file
Calculating pandl for instrument for EUROSTX
Loading csv data for EUROSTX
Calculating buffered positions
Calculating notional position for EUROSTX
Calculating buffers for EUROSTX
Calculating position method buffer for EUROSTX
Loading csv instrument config
Loading csv cost file
Calculating pandl for instrument for MXP
Loading csv data for MXP
Calculating buffered positions
Calculating notional position for MXP
Calculating buffers for MXP
Calculating position method buffer for MXP
Loading csv instrument config
Loading csv cost file
Calculating pandl for instrument for US10
Loading csv data for US10
Calculating buffered positions
Calculating notional position for US10
Calculating buffers for US10
Calculating position method buffer for US10
Loading csv instrument config
Loading csv cost file
Calculating pandl for instrument for V2X
Loading csv data for V2X
Calculating buffered positions
Calculating notional position for V2X
Calculating buffers for V2X
Calculating position method buffer for V2X
Loading csv instrument config
Loading csv cost file
0.43920717096200507






    












    



Calculating pandl for portfolio
Getting vol target
Calculating pandl for instrument for CORN
Loading csv data for CORN
Calculating buffered positions
Calculating notional position for CORN
Calculating instrument div. multiplier
Calculating instrument correlations
Calculating pandl for subsystem for instrument CORN
Calculating subsystem position for CORN
Calculating volatility scalar for CORN
Calculating instrument value vol for CORN
Calculating instrument currency vol for CORN
Getting block value for CORN
Loading csv carry data for CORN
Loading csv instrument config
Calculating daily volatility for CORN
Calculating daily prices for CORN
Loading csv data for CORN
Getting fx rates for CORN
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for CORN
Calculating forecast weights for CORN
Calculating raw forecast weights for CORN
Calculating capped forecast for CORN carry
Calculating raw forecast CORN for carry
Getting forecast scalar for carry over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Calculating raw forecast EDOLLAR for carry
Loading csv carry data for EDOLLAR
Calculating daily volatility for EDOLLAR
Calculating daily prices for EDOLLAR
Loading csv data for EDOLLAR
Calculating raw forecast EUROSTX for carry
Loading csv carry data for EUROSTX
Calculating daily volatility for EUROSTX
Calculating daily prices for EUROSTX
Loading csv data for EUROSTX
Calculating raw forecast MXP for carry
Loading csv carry data for MXP
Calculating daily volatility for MXP
Calculating daily prices for MXP
Loading csv data for MXP
Calculating raw forecast US10 for carry
Loading csv carry data for US10
Calculating daily volatility for US10
Calculating daily prices for US10
Loading csv data for US10
Calculating raw forecast V2X for carry
Loading csv carry data for V2X
Calculating daily volatility for V2X
Calculating daily prices for V2X
Loading csv data for V2X






    



/home/chris/src/pysystemtrade/syscore/algos.py:186: FutureWarning: pd.rolling_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.rolling(min_periods=500,center=False,window=250000).mean()
  avg_abs_value = pd.rolling_mean(x, window=window, min_periods=min_periods)






    



Calculating capped forecast for EDOLLAR carry
Calculating capped forecast for EUROSTX carry
Calculating capped forecast for MXP carry
Calculating capped forecast for US10 carry
Calculating capped forecast for V2X carry
Loading csv cost file
Loading csv instrument config
Calculating capped forecast for CORN ewmac16_64
Calculating raw forecast CORN for ewmac16_64
Getting forecast scalar for ewmac16_64 over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Calculating raw forecast EDOLLAR for ewmac16_64
Calculating raw forecast EUROSTX for ewmac16_64
Calculating raw forecast MXP for ewmac16_64
Calculating raw forecast US10 for ewmac16_64
Calculating raw forecast V2X for ewmac16_64
Calculating capped forecast for EDOLLAR ewmac16_64
Calculating capped forecast for EUROSTX ewmac16_64
Calculating capped forecast for MXP ewmac16_64
Calculating capped forecast for US10 ewmac16_64
Calculating capped forecast for V2X ewmac16_64
Calculating capped forecast for CORN ewmac32_128
Calculating raw forecast CORN for ewmac32_128
Getting forecast scalar for ewmac32_128 over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Calculating raw forecast EDOLLAR for ewmac32_128
Calculating raw forecast EUROSTX for ewmac32_128
Calculating raw forecast MXP for ewmac32_128
Calculating raw forecast US10 for ewmac32_128
Calculating raw forecast V2X for ewmac32_128
Calculating capped forecast for EDOLLAR ewmac32_128
Calculating capped forecast for EUROSTX ewmac32_128
Calculating capped forecast for MXP ewmac32_128
Calculating capped forecast for US10 ewmac32_128
Calculating capped forecast for V2X ewmac32_128
Calculating capped forecast for CORN ewmac64_256
Calculating raw forecast CORN for ewmac64_256
Getting forecast scalar for ewmac64_256 over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Calculating raw forecast EDOLLAR for ewmac64_256
Calculating raw forecast EUROSTX for ewmac64_256
Calculating raw forecast MXP for ewmac64_256
Calculating raw forecast US10 for ewmac64_256
Calculating raw forecast V2X for ewmac64_256
Calculating capped forecast for EDOLLAR ewmac64_256
Calculating capped forecast for EUROSTX ewmac64_256
Calculating capped forecast for MXP ewmac64_256
Calculating capped forecast for US10 ewmac64_256
Calculating capped forecast for V2X ewmac64_256
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for CORN
Loading csv cost file
Loading csv instrument config
Loading csv data for EDOLLAR
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for EDOLLAR
Loading csv cost file
Loading csv instrument config
Loading csv data for EUROSTX
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for EUROSTX
Loading csv cost file
Loading csv instrument config
Loading csv data for MXP
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for MXP
Loading csv cost file
Loading csv instrument config
Loading csv data for US10
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for US10
Loading csv cost file
Loading csv instrument config
Loading csv data for V2X
Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for V2X
Calculating raw forecast weights for CORN, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Calculating pandl for instrument rules for CORN
Calculating pandl for instrument forecast for CORN carry
Calculating pandl for instrument forecast for CORN ewmac16_64
Calculating pandl for instrument forecast for CORN ewmac32_128
Calculating pandl for instrument forecast for CORN ewmac64_256
Calculating pandl for instrument rules for EDOLLAR
Calculating pandl for instrument forecast for EDOLLAR carry
Calculating pandl for instrument forecast for EDOLLAR ewmac16_64
Calculating pandl for instrument forecast for EDOLLAR ewmac32_128
Calculating pandl for instrument forecast for EDOLLAR ewmac64_256
Calculating pandl for instrument rules for EUROSTX
Calculating pandl for instrument forecast for EUROSTX carry
Calculating pandl for instrument forecast for EUROSTX ewmac16_64
Calculating pandl for instrument forecast for EUROSTX ewmac32_128
Calculating pandl for instrument forecast for EUROSTX ewmac64_256
Calculating pandl for instrument rules for MXP
Calculating pandl for instrument forecast for MXP carry
Calculating pandl for instrument forecast for MXP ewmac16_64
Calculating pandl for instrument forecast for MXP ewmac32_128
Calculating pandl for instrument forecast for MXP ewmac64_256
Calculating pandl for instrument rules for US10
Calculating pandl for instrument forecast for US10 carry
Calculating pandl for instrument forecast for US10 ewmac16_64
Calculating pandl for instrument forecast for US10 ewmac32_128
Calculating pandl for instrument forecast for US10 ewmac64_256
Calculating pandl for instrument rules for V2X
Calculating pandl for instrument forecast for V2X carry
Calculating pandl for instrument forecast for V2X ewmac16_64
Calculating pandl for instrument forecast for V2X ewmac32_128
Calculating pandl for instrument forecast for V2X ewmac64_256






    



/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/correlations.py:280: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data = data.resample(frequency, how="last")
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Calculating forecast div multiplier for CORN
Calculating forecast correlations over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X
Correlation estimate
Estimating from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Estimating from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Estimating from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Estimating from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Estimating from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Estimating from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Estimating from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Estimating from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Estimating from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Estimating from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Estimating from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Estimating from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Estimating from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Estimating from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Estimating from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Estimating from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Estimating from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Estimating from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Estimating from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Estimating from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Estimating from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Estimating from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Estimating from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Estimating from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Estimating from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Estimating from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Estimating from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Estimating from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Estimating from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Estimating from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Estimating from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Estimating from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Estimating from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Estimating from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Estimating from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Estimating from 2016-09-30 00:00:00 to 2016-11-13 00:00:00






    



/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating pandl for subsystem for instrument EDOLLAR
Calculating subsystem position for EDOLLAR
Calculating volatility scalar for EDOLLAR
Calculating instrument value vol for EDOLLAR
Calculating instrument currency vol for EDOLLAR
Getting block value for EDOLLAR
Loading csv instrument config
Getting fx rates for EDOLLAR
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for EDOLLAR





    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")






    



Calculating forecast weights for EDOLLAR
Calculating raw forecast weights for EDOLLAR
Calculating raw forecast weights for EDOLLAR, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X






    



/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")






    



Calculating forecast div multiplier for EDOLLAR






    



/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating pandl for subsystem for instrument EUROSTX
Calculating subsystem position for EUROSTX
Calculating volatility scalar for EUROSTX
Calculating instrument value vol for EUROSTX
Calculating instrument currency vol for EUROSTX
Getting block value for EUROSTX
Loading csv instrument config
Getting fx rates for EUROSTX
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for EUROSTX
Calculating forecast weights for EUROSTX
Calculating raw forecast weights for EUROSTX
Calculating raw forecast weights for EUROSTX, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")
/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating forecast div multiplier for EUROSTX
Calculating pandl for subsystem for instrument MXP
Calculating subsystem position for MXP
Calculating volatility scalar for MXP
Calculating instrument value vol for MXP
Calculating instrument currency vol for MXP
Getting block value for MXP






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")
/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]






    



Loading csv instrument config
Getting fx rates for MXP
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for MXP
Calculating forecast weights for MXP
Calculating raw forecast weights for MXP
Calculating raw forecast weights for MXP, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X






    



/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")






    



Calculating forecast div multiplier for MXP






    



/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating pandl for subsystem for instrument US10
Calculating subsystem position for US10
Calculating volatility scalar for US10
Calculating instrument value vol for US10
Calculating instrument currency vol for US10
Getting block value for US10
Loading csv instrument config
Getting fx rates for US10
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for US10
Calculating forecast weights for US10
Calculating raw forecast weights for US10
Calculating raw forecast weights for US10, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")
/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")






    



Calculating forecast div multiplier for US10






    



/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating pandl for subsystem for instrument V2X
Calculating subsystem position for V2X
Calculating volatility scalar for V2X
Calculating instrument value vol for V2X
Calculating instrument currency vol for V2X
Getting block value for V2X
Loading csv instrument config
Getting fx rates for V2X
Loading csv instrument config
Loading csv fx data
Calculating combined forecast for V2X
Calculating forecast weights for V2X
Calculating raw forecast weights for V2X
Calculating raw forecast weights for V2X, over CORN, EDOLLAR, EUROSTX, MXP, US10, V2X






    



/home/chris/src/pysystemtrade/systems/futures/rawdata.py:236: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  daily_prices = prices.resample("1B", how="last")
/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00
Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:05
Applying cost weighting to optimisation results






    



/home/chris/src/pysystemtrade/systems/forecast_combine.py:389: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  forecast_weights = pd.ewma(forecast_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")






    



Calculating forecast div multiplier for V2X






    



/home/chris/src/pysystemtrade/systems/portfolio.py:663: FutureWarning: 
.resample() is now a deferred operation
You called diff(...) on this deferred object which materialized it into a dataframe
by implicitly taking the mean.  Use .resample(...).mean() instead
  pandl = pandl.cumsum().resample(frequency).diff()
/home/chris/src/pysystemtrade/syscore/correlations.py:280: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data = data.resample(frequency, how="last")
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0






    



Correlation estimate
Estimating from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Estimating from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Estimating from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Estimating from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Estimating from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Estimating from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Estimating from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Estimating from 1988-09-30 00:00:00 to 1989-09-30 00:00:00





    



/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Estimating from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Estimating from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Estimating from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Estimating from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Estimating from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Estimating from 1994-09-30 00:00:00 to 1995-09-30 00:00:00
Estimating from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Estimating from 1996-09-30 00:00:00 to 1997-09-30 00:00:00





    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Estimating from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Estimating from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Estimating from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Estimating from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Estimating from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Estimating from 2002-09-30 00:00:00 to 2003-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Estimating from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Estimating from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Estimating from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Estimating from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Estimating from 2007-09-30 00:00:00 to 2008-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Estimating from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Estimating from 2009-09-30 00:00:00 to 2010-09-30 00:00:00
Estimating from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Estimating from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Estimating from 2012-09-30 00:00:00 to 2013-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:170: FutureWarning: pd.ewm_corr is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(min_periods=20,ignore_na=False,adjust=True,span=500).corr(pairwise=True,other=<DataFrame>)
  min_periods=min_periods)






    



Estimating from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Estimating from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Estimating from 2015-09-30 00:00:00 to 2016-09-30 00:00:00
Estimating from 2016-09-30 00:00:00 to 2016-11-13 00:00:00
Calculating instrument weights
Getting raw instrument weights
Calculating raw instrument weights
Cost multiplier of 0.0 will be ignored as equalising SR in optimisation (equalise_SR=True)
Zero cost multiplier and not applying cost weightings - so costs won't be used at all
Cost multiplier of %2.f is less than one and not applying cost weightings - effect of costs may be underestimated






    



/home/chris/src/pysystemtrade/syscore/optimisation.py:144: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_gross]
/home/chris/src/pysystemtrade/syscore/optimisation.py:147: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).last()
  data_item in data_costs]
/home/chris/src/pysystemtrade/syscore/pdutils.py:23: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  avg_daily = float(norm_x.diff().abs().resample("1B", how="sum").mean())






    



Using cost multiplier on optimisation of 0.00
Optimising...
Optimising for data from 1981-09-27 00:00:00 to 1982-09-30 00:00:00
Optimising for data from 1982-09-30 00:00:00 to 1983-09-30 00:00:00
Optimising for data from 1983-09-30 00:00:00 to 1984-09-30 00:00:00
Optimising for data from 1984-09-30 00:00:00 to 1985-09-30 00:00:00
Optimising for data from 1985-09-30 00:00:00 to 1986-09-30 00:00:00
Optimising for data from 1986-09-30 00:00:00 to 1987-09-30 00:00:00
Optimising for data from 1987-09-30 00:00:00 to 1988-09-30 00:00:00
Optimising for data from 1988-09-30 00:00:00 to 1989-09-30 00:00:00
Optimising for data from 1989-09-30 00:00:00 to 1990-09-30 00:00:00
Optimising for data from 1990-09-30 00:00:00 to 1991-09-30 00:00:00
Optimising for data from 1991-09-30 00:00:00 to 1992-09-30 00:00:00
Optimising for data from 1992-09-30 00:00:00 to 1993-09-30 00:00:00
Optimising for data from 1993-09-30 00:00:00 to 1994-09-30 00:00:00
Optimising for data from 1994-09-30 00:00:00 to 1995-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0






    



Optimising for data from 1995-09-30 00:00:00 to 1996-09-30 00:00:00
Optimising for data from 1996-09-30 00:00:00 to 1997-09-30 00:00:00
Optimising for data from 1997-09-30 00:00:00 to 1998-09-30 00:00:00
Optimising for data from 1998-09-30 00:00:00 to 1999-09-30 00:00:00
Optimising for data from 1999-09-30 00:00:00 to 2000-09-30 00:00:00
Optimising for data from 2000-09-30 00:00:00 to 2001-09-30 00:00:00
Optimising for data from 2001-09-30 00:00:00 to 2002-09-30 00:00:00
Optimising for data from 2002-09-30 00:00:00 to 2003-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0






    



Optimising for data from 2003-09-30 00:00:00 to 2004-09-30 00:00:00
Optimising for data from 2004-09-30 00:00:00 to 2005-09-30 00:00:00
Optimising for data from 2005-09-30 00:00:00 to 2006-09-30 00:00:00
Optimising for data from 2006-09-30 00:00:00 to 2007-09-30 00:00:00
Optimising for data from 2007-09-30 00:00:00 to 2008-09-30 00:00:00
Optimising for data from 2008-09-30 00:00:00 to 2009-09-30 00:00:00
Optimising for data from 2009-09-30 00:00:00 to 2010-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0






    



Optimising for data from 2010-09-30 00:00:00 to 2011-09-30 00:00:00
Optimising for data from 2011-09-30 00:00:00 to 2012-09-30 00:00:00
Optimising for data from 2012-09-30 00:00:00 to 2013-09-30 00:00:00
Optimising for data from 2013-09-30 00:00:00 to 2014-09-30 00:00:00
Optimising for data from 2014-09-30 00:00:00 to 2015-09-30 00:00:00
Optimising for data from 2015-09-30 00:00:00 to 2016-09-30 00:00:00






    



/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0
/home/chris/src/pysystemtrade/syscore/correlations.py:181: RuntimeWarning: invalid value encountered in less
  corrmat[corrmat < 0] = 0.0






    



Optimising for data from 2016-09-30 00:00:00 to 2016-11-13 00:00:00






    



/home/chris/src/pysystemtrade/systems/portfolio.py:243: FutureWarning: pd.ewm_mean is deprecated for DataFrame and will be removed in a future version, replace with 
	DataFrame.ewm(com=125,ignore_na=False,adjust=True,min_periods=0).mean()
  instrument_weights = pd.ewma(instrument_weights, weighting)
/home/chris/src/pysystemtrade/syscore/divmultipliers.py:94: FutureWarning: pd.ewm_mean is deprecated for Series and will be removed in a future version, replace with 
	Series.ewm(ignore_na=False,adjust=True,min_periods=0,span=125).mean()
  div_mult_df = pd.ewma(div_mult_df, span=ewma_span)
/home/chris/src/pysystemtrade/syscore/accounting.py:555: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  daily_returns = returns_df.resample("1B", how="sum")






    



Calculating buffers for CORN
Calculating position method buffer for CORN






    



/home/chris/src/pysystemtrade/syscore/accounting.py:556: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  weekly_returns = returns_df.resample("W", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:557: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  monthly_returns = returns_df.resample("MS", how="sum")
/home/chris/src/pysystemtrade/syscore/accounting.py:558: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  annual_returns = returns_df.resample("A", how="sum")
/home/chris/src/pysystemtrade/syscore/pdutils.py:23: FutureWarning: how in .resample() is deprecated
the new syntax is .resample(...).sum()
  avg_daily = float(norm_x.diff().abs().resample("1B", how="sum").mean())






    



Calculating pandl for instrument for EDOLLAR
Calculating buffered positions
Calculating notional position for EDOLLAR
Calculating buffers for EDOLLAR
Calculating position method buffer for EDOLLAR
Calculating pandl for instrument for EUROSTX
Calculating buffered positions
Calculating notional position for EUROSTX
Calculating buffers for EUROSTX
Calculating position method buffer for EUROSTX
Calculating pandl for instrument for MXP
Calculating buffered positions
Calculating notional position for MXP
Calculating buffers for MXP
Calculating position method buffer for MXP
Calculating pandl for instrument for US10
Calculating buffered positions
Calculating notional position for US10
Calculating buffers for US10
Calculating position method buffer for US10
Calculating pandl for instrument for V2X
Calculating buffered positions
Calculating notional position for V2X
Calculating buffers for V2X
Calculating position method buffer for V2X
0.5386038936656322






    












    



Calculating pandl for portfolio
Calculating pandl for instrument for CORN
Calculating pandl for instrument for EDOLLAR
Calculating pandl for instrument for EUROSTX
Calculating pandl for instrument for MXP
Calculating pandl for instrument for US10
Calculating pandl for instrument for V2X






    





<matplotlib.figure.Figure at 0x7fb2dc77aa58>