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Add the Williams %R strategy

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New williams_r indicator (in [-100, 0]) exposed as ctx.williams_r(period), and a
long-only mean-reversion strategy: enter when %R is at/below the oversold level,
exit when it reaches the overbought level, with an optional ATR stop. 11
strategies total. Adds indicator and strategy tests; smoke-tested on live
BTC/USDT 5m (backtest + parameter sweep).
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matitos committed 2026-09-26 18:44:00 +00:00
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commit d92f152f9b
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AGENTS.md
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@@ -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)`, `ctx.macd()`, `ctx.roc(p)`, `ctx.vwap(p)`, `ctx.supertrend(p, mult)` |
| 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)`, `ctx.williams_r(p)` |
| Orders | `ctx.enter_long(size, stop_loss, take_profit, trailing_stop_pct, reason)`, `ctx.enter_short(...)`, `ctx.close(reason)` |
Notes: