IntradayMomentum

class sigtech.framework.strategies.intraday_mean_reversion.IntradayMomentum

Baseclasses: Strategy

A class implementing strategies based on intraday momentum signals.

futures_group: Optional[str]

long_span: Optional[int]

short_span: Optional[int]

calculate_signal(instrument)

Return a momentum signal of an instrument.

Parameters:

instrument – Instrument object.

Returns:

Signal.

exit_positions(dt, asset)

Close out positions.

Parameters:

• dt – Reference datetime.

• asset – Asset object.

rebalance(dt, asset)

Method for rebalancing.

Parameters:

• dt – Reference datetime.

• asset – Asset object.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.