spb/sp-wallet

1"""Mean reversion: buy an asset in proportion to how far it trades below its recent average (z-score)."""23import numpy as np45META = {6    "name": "mean_reversion",7    "version": "1",8    "universe": ["ETH", "BTC", "LINK", "SOL"],9    "interval": "1h",10    "lookback": 200,11    "params": {"window": 48, "z_full": 2.0},12}131415def target_weights(data, params):16    window, z_full = int(params["window"]), float(params["z_full"])17    n = len(data)18    weights = {}19    for symbol, df in data.items():20        close = df["close"].to_numpy()21        if len(close) < window or window < 2 or z_full <= 0:22            weights[symbol] = 0.023            continue24        recent = close[-window:]25        std = recent.std(ddof=1)26        if not std > 0:27            weights[symbol] = 0.028            continue29        z = (close[-1] - recent.mean()) / std30        weights[symbol] = float(np.clip(-z / z_full, 0.0, 1.0)) / n31    return weights32