alpha_model

API documentation for tradeexecutor.strategy.alpha_model Python module in Trading Strategy.

Module description

Alpha model and portfolio construction model related logic.

Classes

AlphaModel	Capture alpha model state for one strategy cycle.
TradingPairSignal	Present one asset in alpha model weighting.
TradingPairSignalFlags	Diagnostics flags set on trading signal to understand better the decision making process.

Functions

calculate_required_new_cash(trades)	How much cash we need to cover the positions to run the rebalance.
format_signals(alpha_model[, signal_type, ...])	Debug helper used to develop the strategy.