spb/sp-wallet

1"""Mean reversion: buy an asset in proportion to how far it trades below its recent average (z-score).23Universe-generic (version 3): the symbols are whatever the agent trades; same rule and parameters as version 1.4"""56import numpy as np78META = {9    "name": "mean_reversion",10    "version": "3",11    "universe": ["*"],12    "interval": "1h",13    "lookback": 200,14    "params": {"window": 48, "z_full": 2.0},15}161718def target_weights(data, params):19    window, z_full = int(params["window"]), float(params["z_full"])20    n = len(data)21    weights = {}22    for symbol, df in data.items():23        close = df["close"].to_numpy()24        if len(close) < window or window < 2 or z_full <= 0:25            weights[symbol] = 0.026            continue27        recent = close[-window:]28        std = recent.std(ddof=1)29        if not std > 0:30            weights[symbol] = 0.031            continue32        z = (close[-1] - recent.mean()) / std33        weights[symbol] = float(np.clip(-z / z_full, 0.0, 1.0)) / n34    return weights35