Signal (fynance.signal)ΒΆ
The bridge from predictions to positions: mappers and a model+mapper pipeline.
The anti-churn mappers (ema_smooth, deadband,
min_hold) are stateful but strictly causal; compose them on top of a
position to cut turnover where transaction costs would otherwise dominate (high
fees / high frequency). They pair with the train-time turnover penalty in
ObjectiveModel (its cost argument).
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Long/short by the sign of the prediction ( |
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Position with a flat dead-band. |
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Cross-sectional long/short by rank. |
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Scale a directional signal by causal volatility-targeting leverage. |
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Causally smooth a position with an exponential moving average. |
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Hold the previous position unless the target moves by more than |
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Enforce a minimum holding period between position changes. |
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A |