Twin Spread

systematica.signals.twin_spread

run_twin_spread_nb

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

Compute trading signals based on a spread strategy.

The function generates long and short entry/exit signals based on two opposite indicators. It checks the conditions where one asset is up and the other is down at the same time for initiating positions.

Parameters:

Name	Type	Default	Description
model_output	ndarray	--	A 2d array representing model predictions for two assets.
long_entries	float	--	Threshold values for initiating long positions.
long_exits	float	--	Threshold values for exiting long positions.
short_entries	float	--	Threshold values for initiating short positions.
short_exits	float	--	Threshold values for exiting short positions.
clean	bool	to	True Clean signals. Defaults to True.

Returns:

Type	Description
Signals	A Signals object containing boolean arrays for long entries, long exits, short entries, and short exits.