13 lines
389 B
Python
13 lines
389 B
Python
# engine/strategy.py
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import numpy as np
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def allocation(sp_price, gd_price, sp_sma, gd_sma,
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base=0.6, tilt_mult=1.5,
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max_tilt=0.25, min_eq=0.2, max_eq=0.9):
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rd = (sp_price / sp_sma) - (gd_price / gd_sma)
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tilt = np.clip(-rd * tilt_mult, -max_tilt, max_tilt)
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eq_w = np.clip(base * (1 + tilt), min_eq, max_eq)
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return eq_w, 1 - eq_w
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