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    Extracting strategy signals

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      andi last edited by

      What's the best way to extract trading signals from a given strategy?

      At the end of the day, I am looking for a pd.DataFrame comprising all securities in the attached datafeed in columns and daily observations in rows. If there is a buy signal for any security for any day, I need a +1 in that cell, if it is a sell, I need a -1. Otherwise, I am expecting 0.

      I don't care about any position size, just the pure signal.

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