Yuxuan Yan
27 lines
880 B
Python
27 lines
880 B
Python
"""Signal-driven multi-stock strategy."""
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import backtrader as bt
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import pandas as pd
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class AlphaStrategy(bt.Strategy):
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"""Trade each feed based on its precomputed ``signal`` line.
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The strategy delegates the buy/sell/hold decision to a portfolio builder
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(e.g. ``ThresholdBuilder``) and sizes entries with ``order_target_percent``.
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"""
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def __init__(self, builder):
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self.builder = builder
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def next(self):
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for data in self.datas:
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sig = data.signal[0]
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if pd.isna(sig):
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continue
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in_position = bool(self.getposition(data).size)
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action = self.builder.build(float(sig), in_position)
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if action.action == "buy":
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self.order_target_percent(data=data, target=action.size_pct)
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elif action.action == "sell":
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self.close(data=data)
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