Quant Python

Rolling-Window Signal

Premium
Difficulty

Asked at XTX Markets, Squarepoint Capital

Theory: Quant Python That Survives Review

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xxxxxxxxx xxxxxx_xxxxxx(xxxxxx, xxxxxx). xx xxxxxxxx x xxxxxxx x-xxxxx xxxxxxxx xxxxxx xxxx x xxxxxx xx xxxxxxx xxxxx xxxxx, xxxxxxxx xxxxxx xxxx xxx xxx xxxxxxx xxxxx xxxxxx xxxxx.

xxx xxxxxxx xxxxx xx xxxxxx xxxxxxx xxx xxxxxx xxxx xxxxxxxx xx. xxxxx xxx xxxxxxx xxxxx xxxxxx xxx xxx xxxxxxxx xx x xxxxxxxxx xxx. xxx xxxx xxxxx x xxxx xxxxxx xx xxx(xxxxxx) - x:

  • xxx xxxxxxxx xx xxx xxxxxx xxxxxx xxxxxxxx xxxxxx x: xxxxxx[x - xxxxxx : x] (xxx xxxxxxx xxxxx xx xxxxxxxx);
  • xxxx xx xxxxx xxxxxxxxxx xxxx, xxx xx xxxxx xxxxxxxxxx xxxxxxxx xxxxxxxxx, xx = xxxx(xxx((x - xxxx)**x) / xxxxxx);
  • xx xx xx x (x xxxx xxxxxx), xxx xxxxxx xx x;
  • xxxxxxxxx x = (xxxxxx[x] - xxxx) / xx, xxx xxx xxxxxx xx x xx x > x, -x xx x < -x, xxxx x.

xxxxxx xxx xxxx xx (x, xxxxxx) xxxxxx, xx xxxxx xxxxx, xxxx xxxxx xxx xxxxxxx.

xxxxxxxx

xxxxxx_xxxxxx([x, x, x, x, xxx], x)
# [(x, x)]

xxxxxx_xxxxxx([xxx, xxx, xx, xxx, xxx, xx, xxx], x)
# [(x, x), (x, -x), (x, x)]

xxxxxxxxxxx

  • xxxxxx xxx xxxxxxxx (xxxxx); x <= xxxxxx < xxx(xxxxxx) <= x * xx^x.
  • xxx xxxxxx xxxxxxxxxxx xxxx xxxx xxx,xxx xxxxxx xxxx xxxxxx = xxxx: xxxxxxxxxxx xxxx xxxxxx'x xxxxxxxxxx xxxx xxxxxxx xx (x(x xxxx x) = xx^x) xxxxxxxxxx xxx xxxx xxx xxxxxx. xxxxxxx xxxxxx xxxx xx (x) xxx (x^x) (xx xxxxx xxxxxx, xxxxx xx xxxxxxxxx) xxxx xxxxx xxxxxx'x xxxx xxx xxxxxxxx xx x(x) xxxx.
  • xxxxxxx xxxxxx xxx xxxxxxxx, xxxxxx xxxx xxx xxxxx; xxx xxxxxxxxxxx xxxx xxxxxxxx xxxxxxxxxxx xxxxxxxx xxx xxxx xxxxxxx.

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Language: Python 3.12zscore_signal

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