pj~4UdZddlmZddlmZddlmZmZddlZ ddl Z ddl m Z mZmZmZmZmZmZddlmZdd d d Zd ed <edZedZedZedGddZeGddZy)u Standalone **inverse SPY ETF** bear hedge via dual MA-slope + SPY regime gates. Firmed-up rules (vs legacy inverse-ETF-slope-only): * **SPY regime gate** — only hedge when SPY is in a bear state (dual negative slope and/or below SMA200). * **Sticky SPY exit** — stay hedged until SPY bull resumes, not on inverse-ETF bounce whipsaws. * **SH default** — −1x instrument avoids 2x/3x decay. Separate from the S&P 500 top-N long sleeve. ) annotations) dataclass)DictLiteralN)ExitMode MaSlopeConfig MaSlopeEngine compute_macompute_ma_slopecompute_slope_rank_scorecompute_vol_scale)_align_panel_frameszProShares Short S&P500 (-1x)z!ProShares UltraShort S&P500 (-2x)z%ProShares UltraPro Short S&P500 (-3x))SHSDSSPXUzdict[str, str]INVERSE_SPY_ETFS) all_activetop_n)nonebear_dual_slope below_sma200bear_dual_or_sma200)inverse_signalspy_fast_slope_positivespy_regime_offspy_slope_or_sma200 spy_bull_bothT)frozenc.eZdZUdZded<dZded<dZded<dZded<d Zd ed <d Z d ed<dZ ded<dZ ded<dZ ded<dZ ded<dZded<dZded<dZded <d Zd ed!<d"Zd#ed$<d%Zd ed&<d'Zd ed(<d)Zd ed*<d+Zded,<d-Zd ed.<d1d/Zy0)2MaSlopeInverseConfig int fast_period2 slow_period fast_lookback slow_lookbackfloatentry_slope_minTboolprice_above_ma slope_flipr exit_moder SelectionMode selection)rztuple[str, ...]tickers_preferredr SpyRegime spy_regimespy_sma_windowrSpyExitspy_exitrequire_inverse_momentumbinarystr sizing_modeg333333? target_volg?vol_scale_floorg? vol_scale_cap vol_windowg{Gz?cash_annual_yieldc |jrdnd}|jd|jd|d|j|jddj |j  S)Ninvreqspybear_,)r:r5r9r1rjoinr3)selfinvs J/opt/rentech/trading_bot/RenTech/strategy_stack/ma_slope_inverse_sleeve.pyslugzMaSlopeInverseConfig.slugJs`77hYqqQ~~tzzl!CHHT5K5K,L+M O N)returnr<)__name__ __module__ __qualname__r#__annotations__r%r&r(r+r-r/r1rr3r5r7r9r:r=r>r?r@rBrCrMrNrLr r 2sKKM3M3 OU ND&Ix&&I}&E3N)001J 1NC-Hg-%)d)KJ OU M5J#u# rNr ceZdZUeZded<d dZd dZddZ ddZ dd dd Z dd Z y )MaSlopeInverseSleever configc|j}td|j|jd|j|j d|j d|j|jd S)Nemapct long_onlydual_timeframer;) ma_type ma_periodslope_lookback slope_methodr+r- directionr/ signal_modeslow_ma_periodslow_slope_lookbackr=) rWrr#r&r+r-r/r%r()rJcs rL_engine_configz#MaSlopeInverseSleeve._engine_configVs\ KKmm??--++!kk(== !   rNc<|j}|djtj}t |d|j }t |d|j }t||j}t||j}|j|j|jj}|dk|dkz} ||k} |jdk(r"tjd|j } nQ|jd k(r| } n?|jd k(r| } n-|jd k(r| | z} nt#d |j|j$dk(r|dkD} n|j$dk(r| } n|j$dk(r |dkD||kDz} nd|j$dk(r |dkD||kDz} nI|j$dk(r"tjd|j } nt#d|j$| j'd|| j'dfS)zCReturn (bear_regime, fast_slope, exit_signal) aligned to spy index.closerY)r]period)lookback) min_periodsrrTindexrrrzunknown spy_regime: rrrrrFzunknown spy_exit: )rWastypenpfloat64r r#r%r r&r(rollingr7meanr5pdSeriesrm ValueErrorr9fillna) rJspy_dfcfgrhfast_maslow_ma fast_slope slow_slopesma bear_dual below_smabearr9s rL_compute_spy_regimez(MaSlopeInverseSleeve._compute_spy_regimegskkw&&rzz2UE#//JUE#//J%g8I8IJ %g8I8IJ mmC..C>V #99T5D ^^0 0D ^^~ -D ^^4 4y(D3CNN3EFG G <<4 4!A~H \\- -uH \\2 2"Q53;7H \\_ ,"Q53;7H \\- -yyekk:H1#,,1ABC C{{5!:xu/EEErNc &|j}t|j}g}g}t|j D]\}}| |j rt j|jjd}|j} || _| j} |j| } t| djtj |j"|j$|j&|j(|j*|j,d} | djtj dkD} | dj/| tj0} |j3| jtj j5||j3| j5|t7|\}}t7|\}}|j|jfS)NrWrh dual_product)r#r%r&r(r+r- rank_metrictarget_positionr rank_score)rWr rfsorteditemsemptyrs to_datetimerm tz_localizecopy sort_index transformr rnrorpr#r%r&r(r+r-wherenanappendrenamer)rJetf_dictrxeng active_pan score_pantdfidxdfxframescoredactivescore active_dfrGscore_dfs rL_inverse_active_panelz*MaSlopeInverseSleeve._inverse_active_panelskk4#6#6#89&( %' HNN,- .EArzRXX..*66tE   fmmBJJ7>>qA B   U\\!_ -+ .,+:6 1))4 !##%x':':'<<|j:|jAtjd kDd }|j$r|jBd k(rF|j$sP|jDDcgc] }|| vs| }}|s| dd }|D]$}d t|z | || j |f<&|jFd k(r%|D]}d tIt|z | ||f< |j:|jAtj}||}tjJ||d kDz}|jMrT||} tOtQ|jR| jB}!tjT|| |!d z d|!}"| |"}#n,|dtOtQ|jR|jB}#|#D]}d tIt|#z | ||f< tjV| | | }$|$jYd jd}$|$|fScc}w)z} Daily weights per inverse ETF using SPY regime state machine. 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