Base

systematica.portfolio.composers.base

BaseComposer

BaseComposer(
    model_name: str,
    signal_params=_Nothing.NOTHING,
    portfolio_params: Dict[str, Any] = _Nothing.NOTHING,
    model_params: Dict[str, Any] = _Nothing.NOTHING,
)

Compose portfolio(s).

This abstract base class provides a framework for creating portfolio composers that can run models with varying parameters.

Method generated by attrs for class BaseComposer.

Descendants

• systematica.portfolio.composers.models.ColumnStackComposer
• systematica.portfolio.composers.models.Composer
• systematica.portfolio.composers.models.SignalComposer

Class variables

• model_name: str: Name of the model to use. Should match to a model in systematica.api.models.

• portfolio_params: Dict[str, Any]: Additional keyword arguments for portfolio simulation.

• model_params: Dict[str, Any]: A dictionary of optional keyword arguments needed to compute the model.

Methods

run

run(
    self,
    data: vectorbtpro.data.base.Data,
    s1: str,
    s2: str,
    portfolio_kwargs: Dict[str, Any],
    **kwargs,
) ‑> systematica.portfolio.analyzers.base.PortfolioAnalyzer

Run the portfolio composer with the specified data.

Parameters:

Name	Type	Default	Description
data	vbt.Data	--	Vector BT data object containing the input data.
s1	str	--	First symbol or identifier for the data.
s2	str	--	Second symbol or identifier for the data.
portfolio_kwargs	tp.Kwargs	--	Keyword arguments for portfolio configuration.
kwargs	tp.Kwargs	--	Additional keyword arguments passed to the model.

Returns:

Type	Description
PortfolioAnalyzer	Portfolio analyzer instance containing the results of the composition.