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).
61 lines
2.1 KiB
Python
61 lines
2.1 KiB
Python
from __future__ import annotations
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from typing import ClassVar
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from app.engine.indicators import ema, sma
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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 EmaCross(Strategy):
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"""EMA crossover with an optional long-term trend filter."""
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key: ClassVar[str] = "ema_cross"
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name: ClassVar[str] = "EMA Crossover"
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description: ClassVar[str] = (
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"Open long when the fast EMA crosses above the slow EMA (and price is "
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"above the trend filter, if enabled); exit on the opposite cross."
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)
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default_params: ClassVar[dict] = {
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"fast": 9,
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"slow": 21,
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"trend_filter": 200,
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"size": 1.0,
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}
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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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"trend_filter": "SMA trend filter period (0 disables)",
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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, 300), "size": (0.01, 1.0)}
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def on_candle(self, ctx: StrategyContext) -> None:
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fast_period = int(self.params["fast"])
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slow_period = int(self.params["slow"])
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trend_period = int(self.params["trend_filter"])
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needed = max(slow_period, trend_period) + 2
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if len(ctx.closes) < needed:
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return
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fast = ema(ctx.closes, fast_period)
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slow = ema(ctx.closes, slow_period)
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f_prev, f_now = fast[-2], fast[-1]
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s_prev, s_now = slow[-2], slow[-1]
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if None in (f_prev, f_now, s_prev, s_now):
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return
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trend_ok = True
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if trend_period > 0:
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trend = sma(ctx.closes, trend_period)[-1]
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trend_ok = trend is not None and ctx.price > trend
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crossed_up = f_prev <= s_prev and f_now > s_now
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crossed_down = f_prev >= s_prev and f_now < s_now
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if ctx.is_flat and crossed_up and trend_ok:
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ctx.enter_long(size=float(self.params["size"]), reason="EMA cross up")
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elif ctx.side == PositionSide.LONG and crossed_down:
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ctx.close(reason="EMA cross down")
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