Yuxuan Yan
0a6f367fbf
Weights formed from close[t] now earn the t→t+1 return: forward returns are computed on the full market calendar before selecting signal dates, so a sparse signal grid earns the next available return rather than the next signal date, and the final signal date (no forward return) is dropped. Signal pct_change uses fill_method=None so suspended names do not inherit stale prices. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
19 lines
490 B
Python
19 lines
490 B
Python
"""Short-horizon momentum alpha."""
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import pandas as pd
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from pipeline.alpha.base import BaseAlpha
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from pipeline.alpha.registry import register_alpha
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@register_alpha
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class MomentumAlpha(BaseAlpha):
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"""Positive trailing return: stocks that rose score high."""
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name = "momentum"
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def __init__(self, lookback: int = 5):
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self.lookback = lookback
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def signal(self, close: pd.DataFrame) -> pd.DataFrame:
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return close.pct_change(self.lookback, fill_method=None)
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