Yuxuan Yan
28 lines
981 B
Python
28 lines
981 B
Python
"""Volatility-scaled short-horizon reversal signal."""
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import pandas as pd
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from signals.base import AlphaSignal
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class ReversalVolSignal(AlphaSignal):
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"""Reversal score normalized by trailing volatility.
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The raw reversal ``-close.pct_change(lookback)`` is divided by the rolling
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standard deviation of daily returns over ``vol_window``. Scaling by
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volatility damps the score of noisy, high-vol names so the signal favors
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oversold stocks whose move is large *relative* to their own volatility.
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"""
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def __init__(self, lookback: int = 5, vol_window: int = 20):
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self.lookback = lookback
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self.vol_window = vol_window
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def compute(self, df: pd.DataFrame) -> pd.Series:
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reversal = -df["close"].pct_change(self.lookback)
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vol = df["close"].pct_change().rolling(self.vol_window).std()
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return reversal / vol
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@property
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def name(self) -> str:
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return f"reversal_vol_{self.lookback}d_{self.vol_window}d"
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