AlphaModel

tradeexecutor.strategy.qstrader.alpha_model.AlphaModel Python class in Trading Strategy framework.

class AlphaModel

Bases: ABC

Generate alpha signals based on the current trading universe and execution state;.

These signals are used by the PortfolioConstructionModel to generate target weights for the portfolio.

Implementing __call__ produces a dictionary keyed by Asset and with a scalar value as the signal.

__init__()

Methods

__init__()

abstract __call__(ts, universe, state, debug_details)

Call self as a function.

Parameters:

• ts (Timestamp) –

• universe (Universe) –

• state (State) –

• debug_details (Dict) –

Return type:

Dict[int, float]