VWAPStrategy

class sigtech.framework.strategies.intraday_mean_reversion.VWAPStrategy

Baseclasses: Strategy

Subclasses: CLSVWAPStrategy

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

assets: Optional[list[str]]

calculate_signal(asset)

Return a VWAP signal of an asset.

Parameters:

asset – Asset object.

Returns:

Signal.

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.

strategy_initialization(dt)

Initial decision run on the start date of the strategy.

Parameters:

dt – Reference datetime.