@tradejs/strategy-trend-follow 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 +1299 -0
  4. package/dist/index.d.cts +93 -0
  5. package/dist/index.d.ts +93 -0
  6. package/dist/index.js +1275 -0
  7. package/package.json +65 -0
package/dist/index.d.cts ADDED
@@ -0,0 +1,93 @@
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+ import { StrategyConfig, Interval, BacktestPriceMode, Direction, StrategyRegistryEntry, StrategyManifest, StrategyAiAdapter } from '@tradejs/types';
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+
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+ interface TrendFollowSideConfig {
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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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+ 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: 3;
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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 TRENDFOLLOW_PIVOT_LENGTH: 10;
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+ readonly TRENDFOLLOW_MIN_BARS_BETWEEN_SIGNALS: 0;
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+ readonly TRENDFOLLOW_ATR_LENGTH: 14;
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+ readonly TRENDFOLLOW_ATR_MULT: 4;
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+ readonly TRENDFOLLOW_SIGNAL_OFFSET_ATR: 0.35;
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+ readonly TRENDFOLLOW_REQUIRE_STRUCTURE_BREAKOUT: false;
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+ readonly TRENDFOLLOW_REQUIRE_TREND_ALIGNMENT: false;
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+ readonly TRENDFOLLOW_REQUIRE_BENCHMARK_ALIGNMENT: false;
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+ readonly TRENDFOLLOW_MIN_VOLUME_REL20: 0;
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+ readonly TRENDFOLLOW_MIN_STRUCTURE_ACCEPTANCE_CLOSES: 0;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_BODY_ATR: 0;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE: 0;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE_LONG: 0.5;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE_SHORT: 0.5;
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+ readonly TRENDFOLLOW_MAX_RSI: 0;
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+ readonly TRENDFOLLOW_MAX_RSI_LONG: 75;
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+ readonly TRENDFOLLOW_MAX_RSI_SHORT: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT_LONG: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT_SHORT: 8;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT: 0;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_LONG: 3;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_SHORT: 2;
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+ readonly TRENDFOLLOW_MAX_BREAKOUT_DISTANCE_PCT: 0;
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+ readonly TRENDFOLLOW_TARGET_R_MULT: 2;
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+ readonly TRENDFOLLOW_TARGET_R_MULT_LONG: 1.4;
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+ readonly TRENDFOLLOW_TARGET_R_MULT_SHORT: 1.2;
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+ readonly TRENDFOLLOW_EXIT_ON_TRAIL_STOP: true;
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+ readonly TRENDFOLLOW_EXIT_ON_OPPOSITE_SIGNAL: true;
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+ readonly TRENDFOLLOW_MAX_FIGURE_POINTS: 180;
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+ readonly LONG: {
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+ readonly enable: true;
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+ readonly direction: "LONG";
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+ readonly minRiskRatio: 0.8;
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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: 0.8;
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+ };
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+ };
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+ type TrendFollowConfig = StrategyConfig & Omit<typeof config, "BACKTEST_PRICE_MODE" | "LONG" | "SHORT"> & {
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+ BACKTEST_PRICE_MODE: BacktestPriceMode;
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+ LONG: TrendFollowSideConfig;
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+ SHORT: TrendFollowSideConfig;
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+ };
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+
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+ declare const TrendFollowStrategyDefinition: StrategyRegistryEntry<TrendFollowConfig>;
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+
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+ declare const trendFollowManifest: StrategyManifest;
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+
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+ declare const trendFollowAiAdapter: 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 { TrendFollowStrategyDefinition, _default as default, getBuiltInStrategyDefaultConfig, strategyEntries, trendFollowAiAdapter, config as trendFollowDefaultConfig, trendFollowManifest };
package/dist/index.d.ts ADDED
@@ -0,0 +1,93 @@
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+ import { StrategyConfig, Interval, BacktestPriceMode, Direction, StrategyRegistryEntry, StrategyManifest, StrategyAiAdapter } from '@tradejs/types';
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+
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+ interface TrendFollowSideConfig {
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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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+ declare const config: {
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+ readonly ENV: "BACKTEST";
10
+ readonly INTERVAL: Interval;
11
+ readonly MAKE_ORDERS: true;
12
+ readonly CLOSE_OPPOSITE_POSITIONS: false;
13
+ readonly BACKTEST_PRICE_MODE: "open";
14
+ 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;
18
+ readonly MIN_AI_QUALITY: 3;
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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;
24
+ 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 TRENDFOLLOW_PIVOT_LENGTH: 10;
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+ readonly TRENDFOLLOW_MIN_BARS_BETWEEN_SIGNALS: 0;
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+ readonly TRENDFOLLOW_ATR_LENGTH: 14;
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+ readonly TRENDFOLLOW_ATR_MULT: 4;
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+ readonly TRENDFOLLOW_SIGNAL_OFFSET_ATR: 0.35;
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+ readonly TRENDFOLLOW_REQUIRE_STRUCTURE_BREAKOUT: false;
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+ readonly TRENDFOLLOW_REQUIRE_TREND_ALIGNMENT: false;
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+ readonly TRENDFOLLOW_REQUIRE_BENCHMARK_ALIGNMENT: false;
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+ readonly TRENDFOLLOW_MIN_VOLUME_REL20: 0;
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+ readonly TRENDFOLLOW_MIN_STRUCTURE_ACCEPTANCE_CLOSES: 0;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_BODY_ATR: 0;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE: 0;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE_LONG: 0.5;
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+ readonly TRENDFOLLOW_MIN_TREND_PERSISTENCE_SHORT: 0.5;
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+ readonly TRENDFOLLOW_MAX_RSI: 0;
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+ readonly TRENDFOLLOW_MAX_RSI_LONG: 75;
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+ readonly TRENDFOLLOW_MAX_RSI_SHORT: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT_LONG: 0;
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+ readonly TRENDFOLLOW_MAX_BB_WIDTH_PCT_SHORT: 8;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT: 0;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_LONG: 3;
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+ readonly TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_SHORT: 2;
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+ readonly TRENDFOLLOW_MAX_BREAKOUT_DISTANCE_PCT: 0;
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+ readonly TRENDFOLLOW_TARGET_R_MULT: 2;
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+ readonly TRENDFOLLOW_TARGET_R_MULT_LONG: 1.4;
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+ readonly TRENDFOLLOW_TARGET_R_MULT_SHORT: 1.2;
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+ readonly TRENDFOLLOW_EXIT_ON_TRAIL_STOP: true;
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+ readonly TRENDFOLLOW_EXIT_ON_OPPOSITE_SIGNAL: true;
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+ readonly TRENDFOLLOW_MAX_FIGURE_POINTS: 180;
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+ readonly LONG: {
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+ readonly enable: true;
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+ readonly direction: "LONG";
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+ readonly minRiskRatio: 0.8;
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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: 0.8;
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+ };
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+ };
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+ type TrendFollowConfig = StrategyConfig & Omit<typeof config, "BACKTEST_PRICE_MODE" | "LONG" | "SHORT"> & {
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+ BACKTEST_PRICE_MODE: BacktestPriceMode;
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+ LONG: TrendFollowSideConfig;
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+ SHORT: TrendFollowSideConfig;
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+ };
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+
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+ declare const TrendFollowStrategyDefinition: StrategyRegistryEntry<TrendFollowConfig>;
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+
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+ declare const trendFollowManifest: StrategyManifest;
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+
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+ declare const trendFollowAiAdapter: 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 { TrendFollowStrategyDefinition, _default as default, getBuiltInStrategyDefaultConfig, strategyEntries, trendFollowAiAdapter, config as trendFollowDefaultConfig, trendFollowManifest };