Generate trading signals from historical volatility, a measure of past price fluctuations. Rank its current level against recent history, signal long positions at low levels, and exit or short at high levels while retaining positions between thresholds.
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Volatility strategy. Trades mean reversion based on percentile ranking of historical volatility (HV). Suitable for any OHLCV data.
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Uses percentile ranking of historical volatility (HV) to capture volatility mean reversion: build positions in low-volatility regimes while waiting for volatility expansion, and exit or short in high-volatility regimes to capture contraction.
hv_window dayslookback days (0-100)low_pct → go long (volatility is low, waiting for expansion)high_pct → exit / go short (volatility is high, waiting for contraction)returns.rolling(hv_window).std() * sqrt(252) (annualized)hv.rolling(lookback).rank(pct=True) * 100| Parameter | Default | Description |
|---|---|---|
| hv_window | 20 | Historical volatility calculation window |
| lookback | 120 | Lookback period for percentile ranking |
| low_pct | 20.0 | Low-volatility threshold (percentile) |
| high_pct | 80.0 | High-volatility threshold (percentile) |
| annualize | 252 | Annualization factor (252 for China A-shares, 365 for crypto) |
fillna)annualize should be set to 365pip install pandas numpy
1 = long (low-volatility regime), -1 = short (high-volatility regime), 0 = stand aside还没有评价。欢迎分享你的使用感受。
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Compare a Chinese company's US depositary receipts, Hong Kong shares, and mainland shares after adjusting for exchange rates and share ratios. Analyze pricing gaps, valuation differences, and delisting risks to support research into its different listings.
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Retrieve stock prices, futures quotes, exchange rates, and economic indicators with the free Python library AKShare. The skill explains market-specific functions, symbol formats, and data preparation for analysis and testing strategies against historical data.
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Explore bundled libraries of investment factors, signals used to compare securities, and inspect individual formulas and metadata. Evaluate a factor or an entire library across a chosen universe and period, producing aggregate performance statistics and an HTML report.
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Assess whether a Chinese A-share company may receive ST or *ST risk warnings next financial year. Review financial forecasts, dividends, audit opinions, and regulatory penalties, then report risk severity separately from confidence in the prediction.
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Plan portfolio allocations across assets using risk, correlations, return forecasts, and trading costs. Compare five optimization methods, produce settings for config.json, and define rebalancing rules that adjust holdings back toward their target weights.
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Diagnose failed or abnormal backtests, which test trading strategies on historical data. Inspect result files, strategy code, and configuration to identify bugs, make targeted repairs, rerun tests, and verify the updated metrics.
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