Twin Spread

systematica.api.signal_models.twin_spread

TwinSpread

TwinSpread()

Generate trading signals based on twin spread strategy.

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

As opposed to Spread, both exit condition should be met. For example, both assets should cross their respective threshold at the same time.

Method generated by attrs for class TwinSpread.

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 twin 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 twin spread strategy.