i dZddlmZddlmZddlZddlZdddd dd Z eGd d Z e d k(rejjd ZejdddZdej"ej$ej'ddeezZej,eeZe edddZeej5deej7dyy)uf Macro regime filter: time-series momentum on daily data. Combines a long moving average (trend) with a medium-term rate of change (momentum). Regime coding (default rules): +1 Bullish — price above SMA and ROC positive (both agree uptrend) -1 Bearish — price below SMA and ROC negative 0 Flat / mixed — contradictory or not enough history ) annotations) dataclassN sma_window aqr_lookbackaqr_skipc|jtj}|j||j }|j t ||j t |z dz }||kD|dkDz}||k|dkz}tjtjd|j} | j|tjd} | j|tjd} | j||ztjd} | jtjS)a Vectorized daily regime indicator. Parameters ---------- close Daily close levels (DatetimeIndex). sma_window Simple moving average length (default 200 trading days). aqr_lookback AQR lookback in trading days (default 252 = ~12 months). aqr_skip AQR skip in trading days to exclude the most recent momentum window (default 21 = ~1 month). Returns ------- Series of int8 in {-1, 0, 1}, index aligned to `close`. )window min_periods?grindex) astypenpfloat64rollingmeanshiftintpdSeriesint8rmask) closer r r csmaaqr_mombullishbearishregimes B/opt/rentech/trading_bot/RenTech/strategy_stack/momentum_filter.pycompute_regime_seriesr's4  RZZ A ))::) > C C ECggc(m$qwwsrandom default_rngrng date_rangeidxexpcumsumnormallenpxrsregprint value_countstailrCr(r&rcs% #!  (" ("(" ("  ("  ("V (( (V z ))   #C "-- c