radium.strategy package

Submodules

radium.strategy.bollinger_pair module

class radium.strategy.bollinger_pair.BollingerPair(pair, entry_z, exit_z, lookback)

Bases: radium.strategy.pair_strategy.PairStrategy

Bollinger band strategy on a pair of equities

pair

Type

radium.Pair

entry_z

Z-score to enter position at

Type

float

exit_z

Z-score to exit position at

Type

float

lookback

Days looked back at on when calculating optimal positions

Type

int

th_positions

Theoretical optimum positions calculated by strategy

Type

np.float[][2]

See also

radium.PairStrategy

Parent class

Initialises strategy

Parameters

• pair (radium.Pair) –

• entry_z (float) – Z-score to enter position at

• exit_z (float) – Z-score to exit position at

• lookback (int) – Days to lookback on when calculating optimal positions

calculate_positions()

Calculates optimum positions calculated by strategy

Returns

th_positions

Return type

np.float[][2]

radium.strategy.strategy module

Module contents