quantlab.model.predefined.smoothed.SmoothedPredictorConfig

class quantlab.model.predefined.smoothed.SmoothedPredictorConfig(predictor, halflife_bars=1.0, warmup_bars=None, standardize=True)

Bases: PredictorViewConfig

What a SmoothedPredictor is rebuilt from.

Examples

>>> sorted(SmoothedPredictorConfig(predictor=None).__dataclass_fields__)
['halflife_bars', 'predictor', 'standardize', 'warmup_bars']

halflife_bars = 1.0

The halflife of the exponential weights, in bars.

standardize = True

Whether each bar is z-scored over its symbols before smoothing.

warmup_bars = None

Bars before the window the mean also reads; None means ten halflives.