Gahow Wang
47755ff630
Expand alpha pipeline with additional factors and scoring logic. Update regime filters and add comprehensive test coverage.
27 lines
926 B
Python
27 lines
926 B
Python
import pandas as pd
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LONG_MA_WINDOW = 200
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RS_WINDOW = 63
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def build_regime_filter(etf_close: pd.DataFrame, market_col: str = "SPY") -> pd.Series:
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"""Return a next-day tradable regime flag based on market trend and ETF leadership."""
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prices = etf_close.sort_index()
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if market_col not in prices.columns:
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raise KeyError(f"{market_col} not found in etf_close")
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market = prices[market_col]
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market_ma = market.rolling(LONG_MA_WINDOW, min_periods=LONG_MA_WINDOW).mean()
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market_ok = market.gt(market_ma)
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rs = prices.pct_change(RS_WINDOW, fill_method=None)
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non_market_rs = rs.drop(columns=[market_col], errors="ignore")
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if non_market_rs.shape[1] == 0:
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leader_ok = pd.Series(True, index=prices.index)
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else:
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leader_ok = non_market_rs.gt(rs[market_col], axis=0).any(axis=1)
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regime = (market_ok & leader_ok).astype(bool)
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return regime.shift(1, fill_value=False)
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