CLSVWAPStrategy

class sigtech.framework.strategies.intraday_mean_reversion.CLSVWAPStrategy

Baseclasses: VWAPStrategy

A class implementing strategies based on volume weighted average price signals (CLS).

property assets

List of cross currency identifiers.

ccy_crosses: set[str]

cpty_group: Optional[str]

intraday_price_volume(asset)

Return intraday price and volume data of an asset.

Parameters:

asset – Asset object.

Returns:

Intraday price and volume.

rebalance(dt)

Method for rebalancing.

Parameters:

dt – Reference datetime.