Yuxuan Yan
41 lines
1.3 KiB
Python
41 lines
1.3 KiB
Python
"""Map signal values to discrete position actions."""
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from dataclasses import dataclass
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@dataclass
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class PositionAction:
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"""A target action for a single stock on a single bar."""
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action: str # "buy", "sell", or "hold"
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size_pct: float = 0.0 # target portfolio fraction for buys
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class ThresholdBuilder:
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"""Open on strong positive signal, close on strong negative signal."""
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def __init__(
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self,
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buy_threshold: float = 0.02,
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sell_threshold: float = -0.02,
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size_pct: float = 0.95,
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):
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self.buy_threshold = buy_threshold
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self.sell_threshold = sell_threshold
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self.size_pct = size_pct
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def build(self, signal_value: float, in_position: bool) -> PositionAction:
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"""Decide what to do given the current signal and position state.
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Args:
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signal_value: Latest signal value for the stock.
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in_position: Whether the portfolio currently holds the stock.
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Returns:
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The action to take ("buy", "sell", or "hold").
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"""
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if not in_position and signal_value >= self.buy_threshold:
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return PositionAction("buy", self.size_pct)
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if in_position and signal_value <= self.sell_threshold:
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return PositionAction("sell", 0.0)
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return PositionAction("hold", 0.0)
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