appears to be a bug misnamed function

Author: Robert Carver

examples/breakout/temp.py

@@ -0,0 +1,16 @@
+from matplotlib.pyplot import show, title
+from systems.provided.futures_chapter15.estimatedsystem import futures_system
+
+system=futures_system()
+system.config.forecast_weight_estimate["pool_instruments"]=True
+system.config.forecast_weight_estimate["method"]="bootstrap" 
+system.config.forecast_weight_estimate["equalise_means"]=False
+system.config.forecast_weight_estimate["monte_runs"]=200
+system.config.forecast_weight_estimate["bootstrap_length"]=104
+
+
+system=futures_system(config=system.config)
+
+system.combForecast.get_raw_forecast_weights("CORN").plot()
+title("CORN")
+show()

examples/longonly.py/longonly.yaml

@@ -0,0 +1,75 @@
+#YAML
+#
+# Raw data
+#
+# Trading rules
+#
+trading_rules:
+  longonly:
+     function: systems.provided.moretradingrules.morerules.longonly
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 10
+  breakout20:
+     function: systems.provided.moretradingrules.morerules.breakout
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 20
+  breakout40:
+     function: systems.provided.moretradingrules.morerules.breakout
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 40
+  breakout80:
+     function: systems.provided.moretradingrules.morerules.breakout
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 80
+  breakout160:
+     function: systems.provided.moretradingrules.morerules.breakout
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 160
+  breakout320:
+     function: systems.provided.moretradingrules.morerules.breakout
+     data:
+         - "rawdata.get_daily_prices"
+     other_args:
+         lookback: 320
+#
+use_forecast_scale_estimates: True
+#
+rule_variations: ['ewmac8_32', 'carry', 'breakout40', 'breakout10', 'ewmac2_8', 'breakout320', 'breakout80', 'ewmac16_64', 'breakout160', 'ewmac32_128', 'breakout20', 'ewmac4_16', 'ewmac64_256']
+#
+forecast_scalar_estimate:
+   pool_instruments: True
+#
+# forecast combination
+#
+use_forecast_weight_estimates: True
+#
+forecast_weight_estimate:
+   method: shrinkage
+#
+# 
+#
+#
+forecast_correlation_estimate:
+   pool_instruments: True
+#
+use_instrument_weight_estimates: True
+#
+instrument_weight_estimate:
+   method: "shrinkage"
+#
+#
+# Portfolio creation
+#
+# commenting out the next line means we default to using all instruments
+instruments: ['EDOLLAR','US10','EUROSTX', 'MXP', 'CORN', 'V2X']
+

systems/forecast_combine.py

@@ -1137,7 +1137,7 @@ def _get_raw_forecast_weights(system, instrument_code, this_stage):
         return raw_forecast_weights
 
         forecast_weights = self.parent.calc_or_cache(
-            'get_forecast_weights', instrument_code, _get_forecast_weights, self)
+            'get_forecast_weights', instrument_code, _get_raw_forecast_weights, self)
         return forecast_weights