shift portfolio in sep module to avoid cyclic dependency (#349)

cvx/simulator/builder.py

@@ -232,3 +232,13 @@ def from_returns(cls, returns):
 
         prices = returns2prices(returns)
         return cls(prices=prices)
+
+    @classmethod
+    def from_weights(cls, weights, prices, initial_aum=1e6):
+        """Build Futures Portfolio from weights"""
+        builder = cls(prices=prices, initial_aum=initial_aum)
+        for t, state in builder:
+            builder.weights = weights.loc[t[-1]]
+            builder.aum = state.aum
+
+        return builder

cvx/simulator/shifter.py

@@ -0,0 +1,11 @@
+from cvx.simulator import Builder, Portfolio
+
+
+def shift(portfolio: Portfolio, periods: int = 0):
+    """Shift the portfolio by a number of periods"""
+    # shift the weights
+    weights = portfolio.weights.shift(periods)
+    builder = Builder.from_weights(
+        weights=weights, prices=portfolio.prices, initial_aum=portfolio.aum.iloc[0]
+    )
+    return builder.build()

tests/test_applications/test_shifter.py

@@ -0,0 +1,26 @@
+# from cvx.simulator import Builder
+import pandas as pd
+
+from cvx.simulator import Builder
+from cvx.simulator.shifter import shift
+
+
+def test_portfolio_cumulated(prices):
+    builder = Builder(prices=prices[["A", "B"]].tail(10), initial_aum=1e6)
+
+    for t, state in builder:
+        # hold one share in both assets
+        builder.cashposition = [1e5, 4e5]
+
+        # reduce the available aum by the costs
+        builder.aum = state.aum  # - costs
+
+    portfolio = builder.build()
+    print(portfolio.weights)
+    print(portfolio.aum)
+
+    ppp = shift(portfolio=portfolio, periods=2)
+    print(ppp.weights)
+    print(ppp.aum)
+
+    pd.testing.assert_frame_equal(portfolio.weights.shift(2), ppp.weights)