@tradejs/strategy-head-and-shoulders 3.0.0

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Files changed (7) hide show
  1. package/LICENSE +96 -0
  2. package/README.md +34 -0
  3. package/dist/index.cjs +1074 -0
  4. package/dist/index.d.cts +103 -0
  5. package/dist/index.d.ts +103 -0
  6. package/dist/index.js +1050 -0
  7. package/package.json +65 -0
package/dist/index.d.cts ADDED
@@ -0,0 +1,103 @@
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+ import { StrategyConfig, Interval, BacktestPriceMode, Direction, StrategyRegistryEntry, StrategyManifest, StrategyAiAdapter } from '@tradejs/types';
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+
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+ interface HeadAndShouldersSideConfig {
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+ enable: boolean;
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+ direction: Direction;
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+ minRiskRatio: number;
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+ }
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+ type HeadAndShouldersEntryMode = "breakout" | "close_acceptance" | "retest";
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+ declare const config: {
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+ readonly ENV: "BACKTEST";
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+ readonly INTERVAL: Interval;
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+ readonly MAKE_ORDERS: true;
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+ readonly CLOSE_OPPOSITE_POSITIONS: false;
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+ readonly BACKTEST_PRICE_MODE: "open";
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+ readonly AI_ENABLED: false;
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+ readonly AI_MODE: "llm";
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+ readonly ML_ENABLED: false;
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+ readonly ML_THRESHOLD: 0.1;
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+ readonly MIN_AI_QUALITY: 4;
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+ readonly FEE_PERCENT: 0.001;
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+ readonly MAX_LOSS_VALUE: 10;
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+ readonly MA_FAST: 14;
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+ readonly MA_MEDIUM: 49;
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+ readonly MA_SLOW: 50;
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+ readonly OBV_SMA: 10;
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+ readonly ATR: 14;
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+ readonly ATR_PCT_SHORT: 7;
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+ readonly ATR_PCT_LONG: 30;
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+ readonly BB: 20;
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+ readonly BB_STD: 2;
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+ readonly MACD_FAST: 12;
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+ readonly MACD_SLOW: 26;
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+ readonly MACD_SIGNAL: 9;
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+ readonly HEADSHOULDERS_PIVOT_LOOKBACK: 3;
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+ readonly HEADSHOULDERS_SHOULDER_TOLERANCE_PCT: 15;
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+ readonly HEADSHOULDERS_MIN_HEAD_PROMINENCE_RATIO: 0.2;
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+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT: 100;
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+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT_LONG: 120;
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+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT_SHORT: 100;
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+ readonly HEADSHOULDERS_STOP_BUFFER_HEIGHT_PCT: 5;
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+ readonly HEADSHOULDERS_MIN_HEAD_HEIGHT_PCT: 0.8;
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+ readonly HEADSHOULDERS_MIN_HEAD_HEIGHT_ATR: 2.5;
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+ readonly HEADSHOULDERS_ATR_PERIOD: 14;
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+ readonly HEADSHOULDERS_MIN_PATTERN_BARS: 8;
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+ readonly HEADSHOULDERS_MAX_PATTERN_BARS: 180;
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+ readonly HEADSHOULDERS_MIN_PATTERN_SYMMETRY_RATIO: 0.45;
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+ readonly HEADSHOULDERS_MAX_NECKLINE_SLOPE_RATIO: 0.2;
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+ readonly HEADSHOULDERS_MAX_PATTERN_AGE_BARS: 220;
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+ readonly HEADSHOULDERS_PRIOR_TREND_LOOKBACK: 80;
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+ readonly HEADSHOULDERS_MAX_PRIOR_MOVE_ATR: 3;
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+ readonly HEADSHOULDERS_MIN_BREAKOUT_DISTANCE_ATR: 0.2;
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+ readonly HEADSHOULDERS_MAX_BREAKOUT_DISTANCE_HEIGHT_RATIO: 0.35;
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+ readonly HEADSHOULDERS_MAX_BREAKOUT_DISTANCE_PCT: 0.8;
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+ readonly HEADSHOULDERS_MAX_BREAKOUT_DELAY_BARS: 8;
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+ readonly HEADSHOULDERS_REQUIRE_BREAKOUT_CROSS: false;
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+ readonly HEADSHOULDERS_ENTRY_MODE: HeadAndShouldersEntryMode;
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+ readonly HEADSHOULDERS_CONFIRMATION_MAX_BARS: 2;
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+ readonly HEADSHOULDERS_MIN_CONFIRMATION_BODY_ATR: 0;
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+ readonly HEADSHOULDERS_MAX_CONFIRMATION_CLOSE_LOCATION: 1;
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+ readonly HEADSHOULDERS_CONFIRMATION_VOLUME_PERIOD: 20;
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+ readonly HEADSHOULDERS_MIN_CONFIRMATION_VOLUME_REL: 0.8;
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+ readonly HEADSHOULDERS_RETEST_MAX_BARS: 4;
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+ readonly HEADSHOULDERS_RETEST_TOLERANCE_ATR: 0.25;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH: 0;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH_LONG: 0.5;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH_SHORT: 0;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR: 0;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR_LONG: 4;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR_SHORT: 0;
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+ readonly HEADSHOULDERS_EXIT_ON_OPPOSITE_PATTERN: false;
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+ readonly LONG: {
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+ readonly enable: false;
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+ readonly direction: "LONG";
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+ readonly minRiskRatio: 0.7;
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+ };
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+ readonly SHORT: {
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+ readonly enable: true;
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+ readonly direction: "SHORT";
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+ readonly minRiskRatio: 0.7;
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+ };
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+ };
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+ type HeadAndShouldersConfig = StrategyConfig & Omit<typeof config, "BACKTEST_PRICE_MODE" | "LONG" | "SHORT" | "MIN_AI_QUALITY"> & {
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+ BACKTEST_PRICE_MODE: BacktestPriceMode;
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+ MIN_AI_QUALITY: number;
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+ HEADSHOULDERS_ENTRY_MODE: HeadAndShouldersEntryMode;
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+ LONG: HeadAndShouldersSideConfig;
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+ SHORT: HeadAndShouldersSideConfig;
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+ };
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+
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+ declare const HeadAndShouldersStrategyDefinition: StrategyRegistryEntry<HeadAndShouldersConfig>;
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+
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+ declare const headAndShouldersManifest: StrategyManifest;
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+
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+ declare const headAndShouldersAiAdapter: StrategyAiAdapter;
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+
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+ declare const strategyEntries: StrategyRegistryEntry[];
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+ declare const getBuiltInStrategyDefaultConfig: (strategyName: string) => StrategyConfig | undefined;
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+
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+ declare const _default: {
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+ strategyEntries: StrategyRegistryEntry<any>[];
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+ };
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+
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+ export { HeadAndShouldersStrategyDefinition, _default as default, getBuiltInStrategyDefaultConfig, headAndShouldersAiAdapter, config as headAndShouldersDefaultConfig, headAndShouldersManifest, strategyEntries };
package/dist/index.d.ts ADDED
@@ -0,0 +1,103 @@
1
+ import { StrategyConfig, Interval, BacktestPriceMode, Direction, StrategyRegistryEntry, StrategyManifest, StrategyAiAdapter } from '@tradejs/types';
2
+
3
+ interface HeadAndShouldersSideConfig {
4
+ enable: boolean;
5
+ direction: Direction;
6
+ minRiskRatio: number;
7
+ }
8
+ type HeadAndShouldersEntryMode = "breakout" | "close_acceptance" | "retest";
9
+ declare const config: {
10
+ readonly ENV: "BACKTEST";
11
+ readonly INTERVAL: Interval;
12
+ readonly MAKE_ORDERS: true;
13
+ readonly CLOSE_OPPOSITE_POSITIONS: false;
14
+ readonly BACKTEST_PRICE_MODE: "open";
15
+ readonly AI_ENABLED: false;
16
+ readonly AI_MODE: "llm";
17
+ readonly ML_ENABLED: false;
18
+ readonly ML_THRESHOLD: 0.1;
19
+ readonly MIN_AI_QUALITY: 4;
20
+ readonly FEE_PERCENT: 0.001;
21
+ readonly MAX_LOSS_VALUE: 10;
22
+ readonly MA_FAST: 14;
23
+ readonly MA_MEDIUM: 49;
24
+ readonly MA_SLOW: 50;
25
+ readonly OBV_SMA: 10;
26
+ readonly ATR: 14;
27
+ readonly ATR_PCT_SHORT: 7;
28
+ readonly ATR_PCT_LONG: 30;
29
+ readonly BB: 20;
30
+ readonly BB_STD: 2;
31
+ readonly MACD_FAST: 12;
32
+ readonly MACD_SLOW: 26;
33
+ readonly MACD_SIGNAL: 9;
34
+ readonly HEADSHOULDERS_PIVOT_LOOKBACK: 3;
35
+ readonly HEADSHOULDERS_SHOULDER_TOLERANCE_PCT: 15;
36
+ readonly HEADSHOULDERS_MIN_HEAD_PROMINENCE_RATIO: 0.2;
37
+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT: 100;
38
+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT_LONG: 120;
39
+ readonly HEADSHOULDERS_TARGET_HEIGHT_PCT_SHORT: 100;
40
+ readonly HEADSHOULDERS_STOP_BUFFER_HEIGHT_PCT: 5;
41
+ readonly HEADSHOULDERS_MIN_HEAD_HEIGHT_PCT: 0.8;
42
+ readonly HEADSHOULDERS_MIN_HEAD_HEIGHT_ATR: 2.5;
43
+ readonly HEADSHOULDERS_ATR_PERIOD: 14;
44
+ readonly HEADSHOULDERS_MIN_PATTERN_BARS: 8;
45
+ readonly HEADSHOULDERS_MAX_PATTERN_BARS: 180;
46
+ readonly HEADSHOULDERS_MIN_PATTERN_SYMMETRY_RATIO: 0.45;
47
+ readonly HEADSHOULDERS_MAX_NECKLINE_SLOPE_RATIO: 0.2;
48
+ readonly HEADSHOULDERS_MAX_PATTERN_AGE_BARS: 220;
49
+ readonly HEADSHOULDERS_PRIOR_TREND_LOOKBACK: 80;
50
+ readonly HEADSHOULDERS_MAX_PRIOR_MOVE_ATR: 3;
51
+ readonly HEADSHOULDERS_MIN_BREAKOUT_DISTANCE_ATR: 0.2;
52
+ readonly HEADSHOULDERS_MAX_BREAKOUT_DISTANCE_HEIGHT_RATIO: 0.35;
53
+ readonly HEADSHOULDERS_MAX_BREAKOUT_DISTANCE_PCT: 0.8;
54
+ readonly HEADSHOULDERS_MAX_BREAKOUT_DELAY_BARS: 8;
55
+ readonly HEADSHOULDERS_REQUIRE_BREAKOUT_CROSS: false;
56
+ readonly HEADSHOULDERS_ENTRY_MODE: HeadAndShouldersEntryMode;
57
+ readonly HEADSHOULDERS_CONFIRMATION_MAX_BARS: 2;
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+ readonly HEADSHOULDERS_MIN_CONFIRMATION_BODY_ATR: 0;
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+ readonly HEADSHOULDERS_MAX_CONFIRMATION_CLOSE_LOCATION: 1;
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+ readonly HEADSHOULDERS_CONFIRMATION_VOLUME_PERIOD: 20;
61
+ readonly HEADSHOULDERS_MIN_CONFIRMATION_VOLUME_REL: 0.8;
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+ readonly HEADSHOULDERS_RETEST_MAX_BARS: 4;
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+ readonly HEADSHOULDERS_RETEST_TOLERANCE_ATR: 0.25;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH: 0;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH_LONG: 0.5;
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+ readonly HEADSHOULDERS_MIN_SIGNAL_BODY_STRENGTH_SHORT: 0;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR: 0;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR_LONG: 4;
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+ readonly HEADSHOULDERS_MIN_ENTRY_HEAD_HEIGHT_ATR_SHORT: 0;
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+ readonly HEADSHOULDERS_EXIT_ON_OPPOSITE_PATTERN: false;
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+ readonly LONG: {
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+ readonly enable: false;
73
+ readonly direction: "LONG";
74
+ readonly minRiskRatio: 0.7;
75
+ };
76
+ readonly SHORT: {
77
+ readonly enable: true;
78
+ readonly direction: "SHORT";
79
+ readonly minRiskRatio: 0.7;
80
+ };
81
+ };
82
+ type HeadAndShouldersConfig = StrategyConfig & Omit<typeof config, "BACKTEST_PRICE_MODE" | "LONG" | "SHORT" | "MIN_AI_QUALITY"> & {
83
+ BACKTEST_PRICE_MODE: BacktestPriceMode;
84
+ MIN_AI_QUALITY: number;
85
+ HEADSHOULDERS_ENTRY_MODE: HeadAndShouldersEntryMode;
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+ LONG: HeadAndShouldersSideConfig;
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+ SHORT: HeadAndShouldersSideConfig;
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+ };
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+
90
+ declare const HeadAndShouldersStrategyDefinition: StrategyRegistryEntry<HeadAndShouldersConfig>;
91
+
92
+ declare const headAndShouldersManifest: StrategyManifest;
93
+
94
+ declare const headAndShouldersAiAdapter: StrategyAiAdapter;
95
+
96
+ declare const strategyEntries: StrategyRegistryEntry[];
97
+ declare const getBuiltInStrategyDefaultConfig: (strategyName: string) => StrategyConfig | undefined;
98
+
99
+ declare const _default: {
100
+ strategyEntries: StrategyRegistryEntry<any>[];
101
+ };
102
+
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+ export { HeadAndShouldersStrategyDefinition, _default as default, getBuiltInStrategyDefaultConfig, headAndShouldersAiAdapter, config as headAndShouldersDefaultConfig, headAndShouldersManifest, strategyEntries };