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StretchReversion

portfolio_analyzer::strategy::book

Struct StretchReversion 

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pub struct StretchReversion;
Expand description

Few-day mean reversion: own the names stretched furthest below their 21-bar average (on the side SD calls up), re-picked every 5 days.

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impl Allocator for StretchReversion

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fn name(&self) -> &'static str

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fn thesis(&self) -> &'static str

One line for the book: what it believes.
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fn targets(&self, v: &DayView<'_>, days_in: usize) -> Option<Vec<(usize, f64)>>

Target weights (fraction of equity; negative = short). None keeps the current holdings unchanged (no trading today).

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