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| <li class="nav-item" data-bs-level="1"><a href="#strategy-map-from-classic-indicators-to-decomposition-aware-signals" class="nav-link">Strategy Map: From Classic Indicators to Decomposition-Aware Signals</a> |
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| <h1 id="strategy-map-from-classic-indicators-to-decomposition-aware-signals">Strategy Map: From Classic Indicators to Decomposition-Aware Signals</h1> |
| <p>The revised tutorial does not only improve Bollinger bands. It rewrites several |
| classic strategy families by asking what each indicator was trying to estimate.</p> |
| <table> |
| <thead> |
| <tr> |
| <th>Strategy family</th> |
| <th>Classical version</th> |
| <th>DeTime rewrite</th> |
| <th>Status</th> |
| </tr> |
| </thead> |
| <tbody> |
| <tr> |
| <td>Feature layer</td> |
| <td>raw close and raw volume</td> |
| <td>walk-forward price + volume decomposition</td> |
| <td>implemented in Tutorial 01</td> |
| </tr> |
| <tr> |
| <td>Dual moving average</td> |
| <td>fast SMA > slow SMA on price</td> |
| <td>fast/slow average on extracted trend, gated by residual and volume</td> |
| <td>implemented in Tutorial 02</td> |
| </tr> |
| <tr> |
| <td>MACD</td> |
| <td>fast EMA - slow EMA on price</td> |
| <td>MACD on extracted trend, gated by cycle, residual and volume</td> |
| <td>implemented in Tutorial 02</td> |
| </tr> |
| <tr> |
| <td>Multi-MA alignment</td> |
| <td>several raw moving averages aligned</td> |
| <td>trend state + residual stress + participation filter</td> |
| <td>implemented in Tutorial 02</td> |
| </tr> |
| <tr> |
| <td>Trend pullback</td> |
| <td>buy dip in an uptrend</td> |
| <td>trend intact + residual cheap + volume confirmation</td> |
| <td>implemented in Tutorial 02</td> |
| </tr> |
| <tr> |
| <td>RSI / Bollinger / price z-score</td> |
| <td>overbought/oversold on raw price</td> |
| <td>residual z-score, residual RSI and residual bands with cycle timing</td> |
| <td>implemented in Tutorial 03</td> |
| </tr> |
| <tr> |
| <td>Turtle / Donchian</td> |
| <td>breakout above prior high</td> |
| <td>breakout + trend + cycle + residual-overextension + volume confirmation</td> |
| <td>implemented in Tutorial 04</td> |
| </tr> |
| <tr> |
| <td>Pairs trading</td> |
| <td>spread z-score</td> |
| <td>decompose spread; trade residual only when spread trend is stable and pair volume/news state is acceptable</td> |
| <td>implemented in Tutorial 05</td> |
| </tr> |
| <tr> |
| <td>Rotation</td> |
| <td>momentum rank</td> |
| <td>cross-sectional trend/cycle/residual/volume score with volatility targeting</td> |
| <td>implemented in Tutorial 06</td> |
| </tr> |
| </tbody> |
| </table> |
| <h2 id="implemented-examples">Implemented examples</h2> |
| <pre><code class="language-python">from quant_trading.strategy_baselines import make_classic_baseline_weight_grid |
| from quant_trading.strategy_detime import make_detime_trend_weight_grid |
|
|
| classic_trend = make_classic_baseline_weight_grid(prices) |
| detime_trend = make_detime_trend_weight_grid(prices, features) |
| </code></pre> |
| <pre><code class="language-python">from quant_trading.strategy_mean_reversion import ( |
| make_classic_mean_reversion_weight_grid, |
| make_detime_mean_reversion_weight_grid, |
| ) |
|
|
| classic_reversion = make_classic_mean_reversion_weight_grid(prices) |
| detime_reversion = make_detime_mean_reversion_weight_grid(prices, features) |
| </code></pre> |
| <pre><code class="language-python">from quant_trading.strategy_breakout import ( |
| make_classic_breakout_weight_grid, |
| make_detime_breakout_weight_grid, |
| ) |
|
|
| classic_breakout = make_classic_breakout_weight_grid(ohlcv) |
| detime_breakout = make_detime_breakout_weight_grid(ohlcv, features) |
| </code></pre> |
| <p>Executable notebooks:</p> |
| <ul> |
| <li><code>examples/notebooks/quant_trading/02_decomposition_aware_moving_average_macd.ipynb</code></li> |
| <li><code>examples/notebooks/quant_trading/03_residual_mean_reversion_rsi_bollinger.ipynb</code></li> |
| <li><code>examples/notebooks/quant_trading/04_turtle_donchian_breakout_volume_confirmation.ipynb</code></li> |
| </ul> |
| <pre><code class="language-python">from quant_trading.strategy_pairs import ( |
| walkforward_pair_spread_features, |
| make_classic_pair_weight_grid, |
| make_detime_pair_weight_grid, |
| ) |
|
|
| pairs = [("KO", "PEP"), ("XOM", "CVX")] |
| spread_features, spread_panel, beta_panel, pair_specs = walkforward_pair_spread_features(prices, pairs) |
| classic_pairs = make_classic_pair_weight_grid(prices, pair_specs) |
| detime_pairs = make_detime_pair_weight_grid( |
| prices, pair_specs, spread_features, spread_panel=spread_panel, beta_panel=beta_panel |
| ) |
| </code></pre> |
| <pre><code class="language-python">from quant_trading.strategy_rotation import ( |
| make_classic_rotation_weight_grid, |
| make_detime_rotation_weight_grid, |
| ) |
|
|
| classic_rotation = make_classic_rotation_weight_grid(prices) |
| detime_rotation = make_detime_rotation_weight_grid(prices, features) |
| </code></pre> |
| <p>Additional executable notebooks:</p> |
| <ul> |
| <li><code>examples/notebooks/quant_trading/05_pairs_spread_decomposition_stat_arb.ipynb</code></li> |
| <li><code>examples/notebooks/quant_trading/06_cross_sectional_rotation_portfolio.ipynb</code></li> |
| </ul></div> |
| </div> |
| </div> |
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