matitos
d1f66c95c4
- New indicators: vwap (rolling/cumulative) and supertrend (line + direction), exposed on StrategyContext. - New strategies: supertrend (flip-based, optional shorts), vwap_reversion (mean reversion below a rolling VWAP) and ema_cross_short (short-side example, mirroring the long EMA cross). 10 strategies total. - Adds indicator and strategy tests; smoke-tested all three on live BTC/USDT 5m data.
71 lines
2.3 KiB
Python
71 lines
2.3 KiB
Python
from __future__ import annotations
|
|
|
|
from typing import ClassVar
|
|
|
|
from app.engine.indicators import atr, ema
|
|
from app.engine.strategies.base import Strategy, StrategyContext, register
|
|
from app.models import PositionSide
|
|
|
|
|
|
@register
|
|
class EmaCrossShort(Strategy):
|
|
"""Short-side example: sell EMA cross-downs, cover on cross-up."""
|
|
|
|
key: ClassVar[str] = "ema_cross_short"
|
|
name: ClassVar[str] = "EMA Crossover (short)"
|
|
description: ClassVar[str] = (
|
|
"Open a short when the fast EMA crosses below the slow EMA and cover when "
|
|
"it crosses back above. Demonstrates short trades; optional ATR stop."
|
|
)
|
|
default_params: ClassVar[dict] = {
|
|
"fast": 9,
|
|
"slow": 21,
|
|
"atr_period": 14,
|
|
"atr_stop_mult": 2.0,
|
|
"size": 1.0,
|
|
}
|
|
param_help: ClassVar[dict] = {
|
|
"fast": "Fast EMA period",
|
|
"slow": "Slow EMA period",
|
|
"atr_period": "ATR lookback for the stop",
|
|
"atr_stop_mult": "Stop distance in ATRs (0 disables)",
|
|
"size": "Fraction of equity per short",
|
|
}
|
|
param_bounds: ClassVar[dict] = {
|
|
"fast": (2, 100),
|
|
"slow": (3, 300),
|
|
"atr_stop_mult": (0.0, 10.0),
|
|
"size": (0.01, 1.0),
|
|
}
|
|
|
|
def on_candle(self, ctx: StrategyContext) -> None:
|
|
fast_period = int(self.params["fast"])
|
|
slow_period = int(self.params["slow"])
|
|
if len(ctx.closes) < slow_period + 2:
|
|
return
|
|
|
|
fast = ema(ctx.closes, fast_period)
|
|
slow = ema(ctx.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_down = f_prev >= s_prev and f_now < s_now
|
|
crossed_up = f_prev <= s_prev and f_now > s_now
|
|
|
|
if ctx.is_flat and crossed_down:
|
|
stop = None
|
|
mult = float(self.params["atr_stop_mult"])
|
|
if mult > 0:
|
|
atr_value = atr(ctx.candles, int(self.params["atr_period"]))[-1]
|
|
if atr_value:
|
|
stop = ctx.price + mult * atr_value
|
|
ctx.enter_short(
|
|
size=float(self.params["size"]),
|
|
stop_loss=stop,
|
|
reason="EMA cross down",
|
|
)
|
|
elif ctx.side == PositionSide.SHORT and crossed_up:
|
|
ctx.close(reason="EMA cross up")
|