carry(): add missing vol_window param
Browse files- crypto_eval/grid.py +2 -1
crypto_eval/grid.py
CHANGED
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@@ -80,7 +80,8 @@ def donchian(bars: pd.DataFrame, funding: pd.Series, window: int,
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def carry(bars: pd.DataFrame, funding: pd.Series, threshold_mult: float = 1.0,
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base: float = 1e-4, vol_target: float | None = None
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"""Short the perp when trailing funding > threshold*base, long when < -."""
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if isinstance(funding, pd.DataFrame):
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funding = funding["funding_rate"]
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def carry(bars: pd.DataFrame, funding: pd.Series, threshold_mult: float = 1.0,
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base: float = 1e-4, vol_target: float | None = None,
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vol_window: int = 720) -> pd.Series:
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"""Short the perp when trailing funding > threshold*base, long when < -."""
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if isinstance(funding, pd.DataFrame):
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funding = funding["funding_rate"]
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