Add Supertrend and VWAP strategies plus a short-side example

- New indicators: vwap (rolling/cumulative) and supertrend (line + direction),
  exposed on StrategyContext.
- New strategies: supertrend (flip-based, optional shorts), vwap_reversion
  (mean reversion below a rolling VWAP) and ema_cross_short (short-side
  example, mirroring the long EMA cross). 10 strategies total.
- Adds indicator and strategy tests; smoke-tested all three on live BTC/USDT
  5m data.
This commit is contained in:
matitos committed 2026-09-22 14:14:12 +00:00
1 parent c1a7fb9c6b
commit d1f66c95c4
8 files changed
+420 -3

No files matched your search

+1 -1
View File
@@ -92,7 +92,7 @@ class MyStrategy(Strategy):
| --- | --- |
| Price / candles | `ctx.price`, `ctx.candles`, `ctx.closes`, `ctx.high(n)`, `ctx.low(n)` |
| Portfolio | `ctx.is_flat`, `ctx.side`, `ctx.position`, `ctx.equity`, `ctx.cash` |
| Indicators | `ctx.sma(p)`, `ctx.ema(p)`, `ctx.rsi(p)`, `ctx.atr(p)`, `ctx.std(p)` |
| Indicators | `ctx.sma(p)`, `ctx.ema(p)`, `ctx.rsi(p)`, `ctx.atr(p)`, `ctx.std(p)`, `ctx.macd()`, `ctx.roc(p)`, `ctx.vwap(p)`, `ctx.supertrend(p, mult)` |
| Orders | `ctx.enter_long(size, stop_loss, take_profit, trailing_stop_pct, reason)`, `ctx.enter_short(...)`, `ctx.close(reason)` |
Notes: