spb/sp-wallet

1"""Time-series momentum: hold an asset while its own past return is positive.23Universe-generic (version 3): the symbols are whatever the agent trades; same rule and parameters as version 1.4"""56META = {7    "name": "ts_momentum",8    "version": "3",9    "universe": ["*"],10    "interval": "1h",11    "lookback": 1500,12    "params": {"window": 720},13}141516def target_weights(data, params):17    window = int(params["window"])18    n = len(data)19    weights = {}20    for symbol, df in data.items():21        close = df["close"].to_numpy()22        if len(close) <= window:23            weights[symbol] = 0.024            continue25        weights[symbol] = 1.0 / n if close[-1] > close[-1 - window] else 0.026    return weights27