spb/sp-wallet

1"""Volatility-targeted trend: trend-following position, scaled down when realised volatility is high."""23import numpy as np45META = {6    "name": "vol_target_trend",7    "version": "2",8    "universe": ["ETH", "LINK", "AAVE"],9    "interval": "1h",10    "lookback": 1000,11    "params": {"fast": 72, "slow": 480, "vol_window": 168, "target_vol": 0.4},12}1314SECONDS_PER_YEAR = 365.0 * 86400.0151617def target_weights(data, params):18    fast, slow = int(params["fast"]), int(params["slow"])19    vol_window, target_vol = int(params["vol_window"]), float(params["target_vol"])20    n = len(data)21    weights = {}22    for symbol, df in data.items():23        close = df["close"].to_numpy()24        if len(close) < max(fast, slow, vol_window + 1) or fast >= slow or vol_window < 2:25            weights[symbol] = 0.026            continue27        if not close[-fast:].mean() > close[-slow:].mean():28            weights[symbol] = 0.029            continue30        bar_seconds = (df.index[-1] - df.index[-2]).total_seconds()31        log_returns = np.diff(np.log(close[-(vol_window + 1):]))32        realised = log_returns.std(ddof=1) * np.sqrt(SECONDS_PER_YEAR / bar_seconds)33        scale = min(1.0, target_vol / realised) if realised > 0 else 0.034        weights[symbol] = scale / n35    return weights36