matitos
c500fb7572
- Add an SVG Bitcoin favicon and link it in index.html. - New indicators: macd() and roc(). - Five new strategies: macd_trend, bollinger_reversion, donchian_breakout, ema_cross, momentum (plus the existing sma_cross, rsi_reversion). - Default TIMEFRAME is now 5m (config, .env.example, compose, workflow, UI).
51 lines
1.8 KiB
Python
51 lines
1.8 KiB
Python
from __future__ import annotations
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from typing import ClassVar
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from app.engine.indicators import macd
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from app.engine.strategies.base import Strategy, StrategyContext, register
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from app.models import PositionSide
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@register
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class MacdTrend(Strategy):
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"""MACD crossover trend following, long-only."""
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key: ClassVar[str] = "macd_trend"
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name: ClassVar[str] = "MACD Trend"
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description: ClassVar[str] = (
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"Open long when the MACD line crosses above its signal line and close when "
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"it crosses back below."
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)
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default_params: ClassVar[dict] = {"fast": 12, "slow": 26, "signal": 9, "size": 1.0}
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param_help: ClassVar[dict] = {
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"fast": "Fast EMA period",
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"slow": "Slow EMA period",
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"signal": "Signal EMA period",
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"size": "Fraction of equity per trade",
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}
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param_bounds: ClassVar[dict] = {"fast": (2, 100), "slow": (3, 200), "signal": (2, 100)}
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def on_candle(self, ctx: StrategyContext) -> None:
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closes = ctx.closes
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if len(closes) < int(self.params["slow"]) + int(self.params["signal"]) + 2:
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return
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macd_line, signal_line, _ = macd(
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closes,
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int(self.params["fast"]),
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int(self.params["slow"]),
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int(self.params["signal"]),
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)
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m_prev, m_now = macd_line[-2], macd_line[-1]
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s_prev, s_now = signal_line[-2], signal_line[-1]
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if None in (m_prev, m_now, s_prev, s_now):
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return
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crossed_up = m_prev <= s_prev and m_now > s_now
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crossed_down = m_prev >= s_prev and m_now < s_now
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if ctx.is_flat and crossed_up:
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ctx.enter_long(size=float(self.params["size"]), reason="MACD crossed above signal")
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elif ctx.side == PositionSide.LONG and crossed_down:
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ctx.close(reason="MACD crossed below signal")
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