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.
64 lines
2.2 KiB
Python
64 lines
2.2 KiB
Python
from __future__ import annotations
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from typing import ClassVar
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from app.engine.indicators import supertrend as supertrend_series
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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 Supertrend(Strategy):
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"""Trend following on the Supertrend indicator, long or short."""
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key: ClassVar[str] = "supertrend"
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name: ClassVar[str] = "Supertrend"
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description: ClassVar[str] = (
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"Go long when Supertrend flips to an uptrend and short when it flips to "
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"a downtrend. Uses the Supertrend line as a stop."
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)
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default_params: ClassVar[dict] = {
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"period": 10,
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"multiplier": 3.0,
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"allow_shorts": False,
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"size": 1.0,
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}
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param_help: ClassVar[dict] = {
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"period": "ATR period for the Supertrend bands",
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"multiplier": "ATR multiplier (band width)",
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"allow_shorts": "Also take short trades in downtrends",
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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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"period": (2, 100),
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"multiplier": (0.5, 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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period = int(self.params["period"])
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multiplier = float(self.params["multiplier"])
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if len(ctx.candles) < period + 2:
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return
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line_series, up_series = supertrend_series(ctx.candles, period, multiplier)
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line, up = line_series[-1], up_series[-1]
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prev_up = up_series[-2]
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if line is None or up is None or prev_up is None:
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return
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allow_shorts = bool(self.params.get("allow_shorts", False))
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size = float(self.params["size"])
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if ctx.side == PositionSide.LONG and not up:
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ctx.close(reason="Supertrend turned down")
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return
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if ctx.side == PositionSide.SHORT and up:
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ctx.close(reason="Supertrend turned up")
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return
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if ctx.is_flat and up and not prev_up:
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ctx.enter_long(size=size, stop_loss=line, reason="Supertrend flipped up")
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elif ctx.is_flat and allow_shorts and not up and prev_up:
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ctx.enter_short(size=size, stop_loss=line, reason="Supertrend flipped down")
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