Spread

systematica.api.signal_models.spread

Spread

Spread()

Generate trading signals based on a spread strategy.

This class implements a spread-based signal generation where long and short positions are determined based on the relationship between two indicators.

Method generated by attrs for class Spread.

Ancestors

• systematica.signals.base.BaseSignal
• abc.ABC

Static methods

run

run(
    model_output: numpy.ndarray,
    long_entries: float,
    long_exits: float,
    short_entries: float,
    short_exits: float,
    clean: bool = True,
) ‑> systematica.signals.base.Signals

Run the spread signal generation.

Parameters:

Name	Type	Default	Description
model_output	tp.Array	--	The model output containing the spread values.
long_entries	float	--	The threshold for long entry signals.
long_exits	float	--	The threshold for long exit signals.
short_entries	float	--	The threshold for short entry signals.
short_exits	float	--	The threshold for short exit signals.
clean	bool	to	True Clean signals. Defaults to True.

Returns:

Type	Description
Signals	The generated trading signals based on the spread strategy.