feat: add regime and breakout alpha modules

research/event_factors.py

@@ -0,0 +1,34 @@
+import numpy as np
+import pandas as pd
+
+
+TRAILING_HIGH_WINDOW = 60
+COMPRESSION_WINDOW = 20
+VOLUME_WINDOW = 20
+
+
+def breakout_after_compression_score(
+    close: pd.DataFrame,
+    high: pd.DataFrame,
+    low: pd.DataFrame,
+    volume: pd.DataFrame,
+) -> pd.DataFrame:
+    """Score breakout setups and shift the result so it is tradable next day."""
+    close = close.sort_index()
+    high = high.reindex(index=close.index, columns=close.columns).sort_index()
+    low = low.reindex(index=close.index, columns=close.columns).sort_index()
+    volume = volume.reindex(index=close.index, columns=close.columns).sort_index()
+
+    trailing_high = close.rolling(TRAILING_HIGH_WINDOW, min_periods=TRAILING_HIGH_WINDOW).max()
+    proximity_to_high = close / trailing_high.replace(0, np.nan)
+
+    recent_high = high.rolling(COMPRESSION_WINDOW, min_periods=COMPRESSION_WINDOW).max()
+    recent_low = low.rolling(COMPRESSION_WINDOW, min_periods=COMPRESSION_WINDOW).min()
+    recent_mid = (recent_high + recent_low) / 2
+    compressed_range = -((recent_high - recent_low) / recent_mid.replace(0, np.nan))
+
+    median_volume = volume.rolling(VOLUME_WINDOW, min_periods=VOLUME_WINDOW).median()
+    abnormal_volume = volume / median_volume.replace(0, np.nan)
+
+    score = proximity_to_high + compressed_range + abnormal_volume
+    return score.shift(1)