from __future__ import annotations from typing import ClassVar from app.engine.strategies.base import Strategy, StrategyContext, register from app.models import PositionSide @register class WilliamsR(Strategy): """Williams %R mean reversion, long-only.""" key: ClassVar[str] = "williams_r" name: ClassVar[str] = "Williams %R" description: ClassVar[str] = ( "Enter long when Williams %R is oversold (at or below the oversold " "level) and exit when it becomes overbought. Optional ATR stop." ) default_params: ClassVar[dict] = { "period": 14, "oversold": -80.0, "overbought": -20.0, "atr_period": 14, "atr_stop_mult": 2.0, "size": 1.0, } param_help: ClassVar[dict] = { "period": "Williams %R lookback", "oversold": "Oversold level (e.g. -80)", "overbought": "Overbought level (e.g. -20)", "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": (2, 100), "oversold": (-100.0, -50.0), "overbought": (-50.0, 0.0), "atr_stop_mult": (0.0, 10.0), "size": (0.01, 1.0), } def on_candle(self, ctx: StrategyContext) -> None: value = ctx.williams_r(int(self.params["period"])) if value is None: return if ctx.is_flat and value <= float(self.params["oversold"]): 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=f"Williams %R {value:.1f} oversold", ) elif ctx.side == PositionSide.LONG and value >= float(self.params["overbought"]): ctx.close(reason=f"Williams %R {value:.1f} overbought")