momentum devandClaude Opus 4.8
007cd95c79
Snapshot before the DuckDB->PostgreSQL migration. data/, archive/, the 232MB rebuild zip, the Windows .venv, and .env are excluded via .gitignore. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
56 lines
1.5 KiB
Python
56 lines
1.5 KiB
Python
"""Market regime assessment (hot / normal / cold tape)."""
|
|
|
|
from __future__ import annotations
|
|
|
|
from dataclasses import dataclass
|
|
from enum import Enum
|
|
|
|
|
|
class MarketRegime(str, Enum):
|
|
HOT = "hot"
|
|
NORMAL = "normal"
|
|
COLD = "cold"
|
|
|
|
|
|
@dataclass
|
|
class RegimeAssessment:
|
|
regime: MarketRegime
|
|
score: float
|
|
reason: str
|
|
|
|
|
|
def assess_market_regime(
|
|
gappers_count: int = 0,
|
|
avg_gap_pct: float = 0.0,
|
|
spy_change_pct: float = 0.0,
|
|
) -> RegimeAssessment:
|
|
"""Assess the tape from breadth of gappers and index behavior."""
|
|
score = 0.0
|
|
score += min(1.0, gappers_count / 10.0) * 0.5
|
|
score += min(1.0, max(0.0, avg_gap_pct / 0.15)) * 0.3
|
|
score += min(1.0, max(0.0, (spy_change_pct + 0.01) / 0.02)) * 0.2
|
|
|
|
if score >= 0.65:
|
|
regime = MarketRegime.HOT
|
|
reason = f"{gappers_count} gappers, avg gap {avg_gap_pct:.1%}"
|
|
elif score >= 0.35:
|
|
regime = MarketRegime.NORMAL
|
|
reason = "moderate breadth"
|
|
else:
|
|
regime = MarketRegime.COLD
|
|
reason = "few gappers / weak tape"
|
|
return RegimeAssessment(regime=regime, score=round(score, 3), reason=reason)
|
|
|
|
|
|
def get_regime_adjustment(regime: MarketRegime) -> float:
|
|
"""Position-size multiplier for the regime."""
|
|
return {MarketRegime.HOT: 1.0, MarketRegime.NORMAL: 0.75, MarketRegime.COLD: 0.5}[
|
|
regime
|
|
]
|
|
|
|
|
|
def should_trade_in_regime(regime: MarketRegime, allow_cold: bool = False) -> bool:
|
|
if regime == MarketRegime.COLD:
|
|
return allow_cold
|
|
return True
|