in short selling for trading section:10, unit:9 which regime is used with below function as there many regime columns: such as regime_change & regime_breakout.
thank you.
ef signal_fcstmt(regime,st,mt):
'''
This function overimposes st/mt moving average cross condition on regime
it will have an active position only if regime and moving averages are aligned
Long : st-mt > 0 & regime == 1
Short: st-mt < 0 & regime == -1
'''
# Calculate the sign of the stmt delta
stmt_sign = np.sign((st - mt).fillna(0))
# Calculate entries/exits based on regime and stmt delta
active = np.where( np.sign( regime* stmt_sign) == 1,1,np.nan)
signal = regime * active
return signal
Hi Mohammad,
The function does not calculate the regime itself, it merely uses the regime data whatever is passed to it as a parameter.
The usage of this function can be seen later in cell 14 where
signal_fcstmt(regime=data['r_regime_floorceiling'], st=r_st_ma, mt=r_mt_ma)is called which indicates that the relative series is used with the floor/ceiling method of calculating the regime.
Hope this helps!
Let me know if you have any further questions.
Thx Gaurav,
yes its clear now.