spb/sp-wallet

1"""Time-series momentum: hold an asset while its own past return is positive."""23META = {4    "name": "ts_momentum",5    "version": "2",6    "universe": ["ETH", "LINK", "AAVE"],7    "interval": "1h",8    "lookback": 1500,9    "params": {"window": 720},10}111213def target_weights(data, params):14    window = int(params["window"])15    n = len(data)16    weights = {}17    for symbol, df in data.items():18        close = df["close"].to_numpy()19        if len(close) <= window:20            weights[symbol] = 0.021            continue22        weights[symbol] = 1.0 / n if close[-1] > close[-1 - window] else 0.023    return weights24