from __future__ import annotations from typing import ClassVar from app.engine.indicators import sma from app.engine.strategies.base import Strategy, StrategyContext, register from app.models import PositionSide @register class SmaCross(Strategy): """Classic moving-average crossover, long-only.""" key: ClassVar[str] = "sma_cross" name: ClassVar[str] = "SMA Crossover" description: ClassVar[str] = ( "Open a long position when the fast SMA crosses above the slow SMA, " "close it when the fast SMA crosses back below." ) default_params: ClassVar[dict] = {"fast": 10, "slow": 30, "size": 1.0} param_help: ClassVar[dict] = { "fast": "Fast SMA period", "slow": "Slow SMA period", "size": "Fraction of equity to allocate per trade", } param_bounds: ClassVar[dict] = {"fast": (2, 200), "slow": (3, 400), "size": (0.01, 1.0)} def on_candle(self, ctx: StrategyContext) -> None: fast_period = int(self.params["fast"]) slow_period = int(self.params["slow"]) closes = ctx.closes if len(closes) < slow_period + 2: return fast = sma(closes, fast_period) slow = sma(closes, slow_period) f_prev, f_now = fast[-2], fast[-1] s_prev, s_now = slow[-2], slow[-1] if None in (f_prev, f_now, s_prev, s_now): return crossed_up = f_prev <= s_prev and f_now > s_now crossed_down = f_prev >= s_prev and f_now < s_now if ctx.is_flat and crossed_up: ctx.enter_long(size=float(self.params["size"]), reason="fast SMA crossed above slow") elif ctx.side == PositionSide.LONG and crossed_down: ctx.close(reason="fast SMA crossed below slow")