Gahow Wang
42218741d4
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300) markets with open-to-close execution, proportional + fixed per-trade fees. Daily trader (trader.py) with auto/morning/evening/simulate/status commands and cron-friendly `auto` mode for unattended daily runs on a server. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
61 lines
2.3 KiB
Python
61 lines
2.3 KiB
Python
import numpy as np
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import pandas as pd
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from strategies.base import Strategy
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class AdaptiveMomentumStrategy(Strategy):
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"""
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Momentum with dynamic position sizing via inverse-volatility weighting.
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Combines two proven ideas:
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1. Momentum selection: pick top_n stocks by 12-1 month return
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2. Inverse-vol weighting: instead of equal-weight, allocate more
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to lower-vol winners (smoother ride, better risk-adjusted returns)
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3. Regime scaling: scale total exposure by inverse of market vol
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(reduce exposure in high-vol periods, increase in calm periods)
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This addresses momentum's main weakness: concentration in high-vol
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names that crash hard in risk-off episodes.
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"""
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def __init__(self, lookback: int = 252, skip: int = 21,
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vol_window: int = 60, top_n: int = 20):
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self.lookback = lookback
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self.skip = skip
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self.vol_window = vol_window
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self.top_n = top_n
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def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
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# Momentum ranking
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momentum = data.shift(self.skip).pct_change(self.lookback - self.skip)
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n_valid = momentum.notna().sum(axis=1)
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enough = n_valid >= self.top_n
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score_rank = momentum.rank(axis=1, ascending=False, na_option="bottom")
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top_mask = (score_rank <= self.top_n) & enough.values.reshape(-1, 1)
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# Inverse-vol weighting among selected stocks
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returns = data.pct_change()
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vol = returns.rolling(self.vol_window).std().replace(0, np.nan)
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inv_vol = (1.0 / vol).where(top_mask, 0.0)
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row_sums = inv_vol.sum(axis=1).replace(0, np.nan)
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signals = inv_vol.div(row_sums, axis=0).fillna(0.0)
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# Regime scaling: compare current market vol to its 1-year median
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market_vol = vol.mean(axis=1)
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vol_median = market_vol.rolling(252).median()
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vol_scale = (vol_median / market_vol).clip(0.3, 1.5)
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signals = signals.mul(vol_scale, axis=0)
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# Re-normalize so max total weight = 1.0
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row_totals = signals.sum(axis=1)
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overflow = row_totals > 1.0
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signals[overflow] = signals[overflow].div(row_totals[overflow], axis=0)
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warmup = max(self.lookback, self.vol_window + 252)
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signals.iloc[:warmup] = 0.0
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return signals.shift(1).fillna(0.0)
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