Yuxuan Yan
29 lines
805 B
Python
29 lines
805 B
Python
"""Base class for cross-sectional alpha signals."""
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from abc import ABC, abstractmethod
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import pandas as pd
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class AlphaSignal(ABC):
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"""A signal that maps a single stock's OHLCV history to a per-bar score.
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Higher scores indicate a stronger expected forward return. Implementations
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operate on one stock at a time; cross-sectional ranking happens downstream.
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"""
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@abstractmethod
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def compute(self, df: pd.DataFrame) -> pd.Series:
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"""Compute the signal for one stock.
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Args:
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df: OHLCV DataFrame with at least a ``close`` column, ordered by date.
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Returns:
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Signal series aligned to ``df`` (NaN where undefined).
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"""
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@property
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@abstractmethod
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def name(self) -> str:
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"""Human-readable signal identifier."""
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