Question about 'Strategy weights' and 'forecast weights' in yaml file

[SamJohn27149]

Hi everyone,

I’ve recently been reading the Strategy capital section in Rob’s docs (production part), as well as the corresponding script files sysproduction/update_strategy_capital.py and sysproduction/strategy_code/strategy_allocation.py.

From my understanding, update_strategy_capital.py calls the function specified by 'strategy_capital_allocation' in default.yaml, which in the default case is sysproduction.strategy_code.strategy_allocation.weighted_strategy_allocation. This function then allocates capital to each strategy based on the 'strategy_weights' defined in default.yaml (e.g., Trend 60%, Carry 40%).

If my understanding is correct, I have the following questions:

1. In Rob’s provided systems/provided/rob_system/config.yaml, I couldn’t find the 'strategy_weights' field or 'strategy_capital_allocation'. However, each instrument does have its own 'forecast_weights'. This confuses me — what’s the difference between strategy_weights and forecast_weights?
2. Should I use strategy_weights or forecast_weights in my default.yaml?
3. Why does Rob’s config.yaml differ so much from the dictionary structure in sysdata/config/defaults.yaml? If I want to use PST in a production environment, how should I configure my default.yaml?

I’d appreciate any guidance you could provide. Thanks in advance!

[tgibson11]

This function then allocates capital to each strategy based on the 'strategy_weights' defined in default.yaml (e.g., Trend 60%, Carry 40%).

Yes (but no). Trend and carry are not strategies in this context. An example of a strategy would be "rob_system". Strategy and system are used more or less interchangeably in pysystemtrade.

Trend and carry are categories of forecast. A strategy/system may contain any number and variety of forecasts. rob_system contains both trend and carry forecasts.

In Rob’s provided systems/provided/rob_system/config.yaml, I couldn’t find the 'strategy_weights' field or 'strategy_capital_allocation'.

That is above the level of any single strategy, so thus not provided as part of a strategy. You need to define that in your private config. For example:

strategy_capital_allocation:
  function: sysproduction.strategy_code.strategy_allocation.weighted_strategy_allocation
  strategy_weights:
    futures_system: 100.0

Most users of pysystemtrade will only be running one system/strategy, so the strategy allocation will just be 100% to that strategy. Running multiple strategies is a more advanced use-case.

Should I use strategy_weights or forecast_weights in my default.yaml?

You'll need to define both somewhere, but I would advise using your own config files to override the defaults, rather than editing the defaults directly. Either will work though.

Why does Rob’s config.yaml differ so much from the dictionary structure in sysdata/config/defaults.yaml?

This question isn't really answerable. If you have questions about why specific parameters are different, someone might be able to answer that (or maybe only Rob knows).

If I want to use PST in a production environment, how should I configure my default.yaml?

Also unanswerable. Depends on what you want to do. If you aren't sure, the config from rob_system is probably a good place to start. But you can't just replace defaults.yaml. You would either need to edit it, or preferably create your own config that will override the specific parameters that you want to change.

[tgibson11]

Why does Rob’s config.yaml differ so much from the dictionary structure in sysdata/config/defaults.yaml?

On second thought, maybe there is a way to answer this at a high level.

Rob's trading system has evolved over time.

Changing the defaults would have changed the behavior of pysystemtrade for everyone who was already using it (and maybe didn't want to change anything). Instead, he updated his own system config to override the parameters he wanted to change.