Yuxuan Yan
23 lines
608 B
Python
23 lines
608 B
Python
"""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 ReversalSignal(AlphaSignal):
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"""Negative trailing return: oversold stocks score high.
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The signal is ``-close.pct_change(lookback)``, so a stock that fell over the
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lookback window gets a positive (bullish) score.
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"""
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def __init__(self, lookback: int = 5):
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self.lookback = lookback
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def compute(self, df: pd.DataFrame) -> pd.Series:
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return -df["close"].pct_change(self.lookback)
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@property
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def name(self) -> str:
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return f"reversal_{self.lookback}d"
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