"""Map signal values to discrete position actions.""" from dataclasses import dataclass from typing import Optional @dataclass class PositionAction: """A target action for a single stock on a single bar.""" action: str # "buy", "sell", or "hold" size_pct: float = 0.0 # target portfolio fraction for buys class ThresholdBuilder: """Open on strong positive signal, close on strong negative signal.""" def __init__( self, buy_threshold: float = 0.02, sell_threshold: float = -0.02, size_pct: float = 0.95, ): self.buy_threshold = buy_threshold self.sell_threshold = sell_threshold self.size_pct = size_pct def build(self, signal_value: float, in_position: bool) -> PositionAction: if not in_position and signal_value >= self.buy_threshold: return PositionAction("buy", self.size_pct) if in_position and signal_value <= self.sell_threshold: return PositionAction("sell", 0.0) return PositionAction("hold", 0.0) class RankEqualWeightBuilder: """Rank all stocks by signal. Buy top N at equal weight. Sell if drops out. Called once per bar with ALL stock signals. Returns per-stock actions. """ def __init__(self, top_n: int = 5, min_signal: Optional[float] = None): self.top_n = top_n self.min_signal = min_signal # optional floor — skip stocks with signal below this def build(self, signals: dict[str, float]) -> dict[str, PositionAction]: """Rank stocks by signal (descending). Top N get 'buy', rest get 'sell' if held. Args: signals: {symbol: signal_value} for all stocks on this bar. Returns: {symbol: PositionAction} """ # Filter by min_signal if set if self.min_signal is not None: signals = {s: v for s, v in signals.items() if v >= self.min_signal} # Sort by signal descending ranked = sorted(signals.items(), key=lambda x: x[1], reverse=True) top_symbols = set(sym for sym, _ in ranked[:self.top_n]) size_pct = 1.0 / self.top_n if self.top_n > 0 else 0.0 actions = {} for sym in signals: if sym in top_symbols: actions[sym] = PositionAction("buy", size_pct) else: actions[sym] = PositionAction("sell", 0.0) return actions