Merge pull request #1268 from tgibson11/no-risk-overlay

Improve code for handling when risk overlay is not configured
robcarver17 · Oct 12, 2023 · 0d4695a · 0d4695a
2 parents c82a225 + 079bb16
commit 0d4695a
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Showing 2 changed files with 12 additions and 14 deletions.
diff --git a/sysproduction/strategy_code/report_system_classic.py b/sysproduction/strategy_code/report_system_classic.py
@@ -529,11 +529,12 @@ def risk_scaling_string(backtest) -> str:
         backtest_system_portfolio_stage.get_leverage_for_original_position().iloc[-1]
     )
     percentage_vol_target = backtest_system_portfolio_stage.get_percentage_vol_target()
-    risk_scalar = backtest_system_portfolio_stage.get_risk_scalar()
-    if type(risk_scalar) is pd.Series:
-        risk_scalar_final = risk_scalar.iloc[-1]
+    try:
+        risk_scalar = backtest_system_portfolio_stage.get_risk_scalar()
+    except missingData:
+        risk_scalar_final = 1.0
     else:
-        risk_scalar_final = risk_scalar
+        risk_scalar_final = risk_scalar.iloc[-1]
     risk_overlay_config = (
         backtest_system_portfolio_stage.config.get_element_or_arg_not_supplied(
             "risk_overlay"

diff --git a/systems/portfolio.py b/systems/portfolio.py
@@ -212,16 +212,18 @@ def get_notional_position(self, instrument_code: str) -> pd.Series:
             self.get_notional_position_before_risk_scaling(instrument_code)
         )
 
-        risk_scalar = self.get_risk_scalar()
-        if type(risk_scalar) is pd.Series:
+        try:
+            risk_scalar = self.get_risk_scalar()
+        except missingData:
+            self.log.debug("No risk overlay in config: won't apply risk scaling")
+            notional_position = notional_position_without_risk_scalar
+        else:
             risk_scalar_reindex = risk_scalar.reindex(
                 notional_position_without_risk_scalar.index
             )
             notional_position = (
                 notional_position_without_risk_scalar * risk_scalar_reindex.ffill()
             )
-        else:
-            notional_position = notional_position_without_risk_scalar
 
         return notional_position
 
@@ -960,12 +962,7 @@ def capital_multiplier(self):
     @diagnostic()
     def get_risk_scalar(self) -> pd.Series:
 
-        risk_overlay_config = self.config.get_element_or_arg_not_supplied(
-            "risk_overlay"
-        )
-        if risk_overlay_config is arg_not_supplied:
-            self.log.debug("No risk overlay in config: won't apply risk scaling")
-            return 1.0
+        risk_overlay_config = self.config.get_element("risk_overlay")
 
         normal_risk = self.get_portfolio_risk_for_original_positions()
         shocked_vol_risk = (