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).
65 lines
2.3 KiB
Python
65 lines
2.3 KiB
Python
from __future__ import annotations
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from typing import ClassVar
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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 DonchianBreakout(Strategy):
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"""Breakout of the highest high, exit on the lowest low."""
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key: ClassVar[str] = "donchian_breakout"
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name: ClassVar[str] = "Donchian Breakout"
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description: ClassVar[str] = (
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"Open long when the close breaks above the highest high of the entry "
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"lookback; exit on a close below the lowest low of the exit lookback. "
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"Optional ATR stop."
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)
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default_params: ClassVar[dict] = {
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"entry_period": 20,
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"exit_period": 10,
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"atr_period": 14,
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"atr_stop_mult": 2.0,
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"size": 1.0,
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}
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param_help: ClassVar[dict] = {
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"entry_period": "Breakout lookback for entries",
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"exit_period": "Lookback for the exit channel",
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"atr_period": "ATR lookback for the stop",
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"atr_stop_mult": "Stop distance in ATRs (0 disables)",
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"size": "Fraction of equity per trade",
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}
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param_bounds: ClassVar[dict] = {
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"entry_period": (2, 200),
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"exit_period": (2, 200),
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"atr_stop_mult": (0.0, 10.0),
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"size": (0.01, 1.0),
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}
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def on_candle(self, ctx: StrategyContext) -> None:
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entry_period = int(self.params["entry_period"])
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exit_period = int(self.params["exit_period"])
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if len(ctx.candles) < max(entry_period, exit_period) + 1:
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return
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# Exclude the current candle from the channel.
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recent_high = max(c.high for c in ctx.candles[-entry_period - 1 : -1])
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recent_low = min(c.low for c in ctx.candles[-exit_period - 1 : -1])
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if ctx.is_flat and ctx.price > recent_high:
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stop = None
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mult = float(self.params["atr_stop_mult"])
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if mult > 0:
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atr_value = ctx.atr(int(self.params["atr_period"]))
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if atr_value:
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stop = ctx.price - mult * atr_value
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ctx.enter_long(
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size=float(self.params["size"]),
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stop_loss=stop,
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reason=f"broke {entry_period}-bar high",
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)
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elif ctx.side == PositionSide.LONG and ctx.price < recent_low:
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ctx.close(reason=f"broke {exit_period}-bar low")
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