from __future__ import annotations from typing import ClassVar from app.engine.strategies.base import Strategy, StrategyContext, register from app.models import PositionSide @register class BollingerReversion(Strategy): """Buy the lower Bollinger band, exit at the middle band.""" key: ClassVar[str] = "bollinger_reversion" name: ClassVar[str] = "Bollinger Reversion" description: ClassVar[str] = ( "Enter long when the close falls below the lower Bollinger band and exit " "when it returns to the middle band (SMA). Optional ATR stop." ) default_params: ClassVar[dict] = { "period": 20, "num_std": 2.0, "atr_period": 14, "atr_stop_mult": 0.0, "size": 1.0, } param_help: ClassVar[dict] = { "period": "Bollinger lookback", "num_std": "Band width in standard deviations", "atr_period": "ATR lookback for the stop", "atr_stop_mult": "Stop distance in ATRs (0 disables)", "size": "Fraction of equity per trade", } param_bounds: ClassVar[dict] = { "period": (5, 100), "num_std": (0.5, 4.0), "atr_stop_mult": (0.0, 10.0), "size": (0.01, 1.0), } def on_candle(self, ctx: StrategyContext) -> None: period = int(self.params["period"]) if len(ctx.closes) < period: return middle = ctx.sma(period) deviation = ctx.std(period) if middle is None or deviation is None: return lower = middle - float(self.params["num_std"]) * deviation if ctx.is_flat and ctx.price < lower: stop = None mult = float(self.params["atr_stop_mult"]) if mult > 0: atr_value = ctx.atr(int(self.params["atr_period"])) if atr_value: stop = ctx.price - mult * atr_value ctx.enter_long( size=float(self.params["size"]), stop_loss=stop, reason="close below lower band", ) elif ctx.side == PositionSide.LONG and ctx.price >= middle: ctx.close(reason="close back at middle band")