siglab-py 0.1.19__py3-none-any.whl → 0.6.33__py3-none-any.whl

siglab_py/algo/macdrsi_crosses_15m_tc_strategy.py

@@ -0,0 +1,107 @@
+from abc import ABC, abstractmethod
+
+from typing import List, Dict, Any, Union
+
+from siglab_py.algo.strategy_base import StrategyBase
+
+class MACDRSICrosses15mTCStrategy(StrategyBase):
+    def __init__(self, *args: object) -> None:
+        pass
+    
+    @staticmethod
+    def order_notional_adj(
+        algo_param : Dict,
+    ) -> Dict[str, float]:
+        return StrategyBase.order_notional_adj(algo_param) # type: ignore
+
+    @staticmethod
+    def allow_entry_initial(
+        lo_row_tm1,
+        hi_row_tm1,
+        last_candles
+    )  -> Dict[str, bool]:
+        allow_long : bool = (
+                lo_row_tm1['macd_cross'] == 'bullish' 
+                # use 'macd_cross_last' instead in combinations with 'macd_bullish_cross_last_id' if you want to make more entries
+                '''
+                and (
+                      lo_row_tm1.name >= lo_row_tm1['macd_bullish_cross_last_id']
+                      and 
+                      (lo_row_tm1.name - lo_row_tm1['macd_bullish_cross_last_id']) < 5
+                )
+                '''
+                and lo_row_tm1['rsi_trend']=="up"
+                and lo_row_tm1['close']>hi_row_tm1['ema_close']
+        )
+        allow_short : bool = (
+                lo_row_tm1['macd_cross'] == 'bearish'
+                '''
+                and (
+                      lo_row_tm1.name >= lo_row_tm1['macd_bearish_cross_last_id']
+                      and 
+                      (lo_row_tm1.name - lo_row_tm1['macd_bearish_cross_last_id']) < 5
+                )
+                '''
+                and lo_row_tm1['rsi_trend']=="down"
+                and lo_row_tm1['close']<hi_row_tm1['ema_close']
+        )
+        return {
+            'long' : allow_long,
+            'short' : allow_short
+        }
+
+    @staticmethod
+    def allow_entry_final(
+        lo_row,
+        algo_param : Dict
+    ) -> Dict[str, Union[bool, float, None]]:
+        open : float = lo_row['open']
+
+        entry_price_long, entry_price_short = open, open
+        allow_long, allow_short = True, True
+        reference_price = None
+        
+        pnl_potential_bps = algo_param['tp_max_percent']*100
+
+        target_price_long = entry_price_long * (1 + pnl_potential_bps/10000)
+        target_price_short = entry_price_short * (1 - pnl_potential_bps/10000)
+
+        return {
+                'long' : allow_long,
+                'short' : allow_short,
+
+                # In additional to allow or not, allow_entry_final also calculate a few things which you may need to mark the entry trades.
+                'entry_price_long' : entry_price_long,
+                'entry_price_short' : entry_price_short,
+                'target_price_long' : target_price_long,
+                'target_price_short' : target_price_short,
+                'reference_price' : reference_price
+            }
+    
+    @staticmethod
+    def trailing_stop_threshold_eval(
+        algo_param : Dict,
+        *args: Any, **kwargs: Any
+    ) -> Dict[str, float]:
+        result = StrategyBase.trailing_stop_threshold_eval(algo_param)
+        tp_min_percent = result['tp_min_percent']
+        tp_max_percent = result['tp_max_percent']
+        return {
+            'tp_min_percent' : tp_min_percent,
+            'tp_max_percent' : tp_max_percent
+        }
+
+    @staticmethod
+    def tp_eval (
+            lo_row,
+            this_ticker_open_trades : List[Dict],
+            algo_param : Dict
+    ) -> bool:
+        return StrategyBase.tp_eval(lo_row, this_ticker_open_trades, algo_param)
+
+    @staticmethod
+    def get_strategy_indicators() -> List[str]:
+        return [ 
+            'lo_row_tm1:macd_cross', 'lo_row_tm1:macd_bullish_cross_last_id', 'lo_row_tm1:macd_bearish_cross_last_id', 
+            'lo_row_tm1:rsi_trend',  'lo_row_tm1:rsi', 'lo_row_tm1:rsi_max', 'lo_row_tm1:rsi_min', 'lo_row_tm1:rsi_idmax', 'lo_row_tm1:rsi_idmin' 
+        ]

siglab_py/algo/strategy_base.py

@@ -0,0 +1,122 @@
+from abc import ABC, abstractmethod
+
+from typing import List, Dict, Any, Union
+
+from siglab_py.backtests.backtest_core import generic_tp_eval
+
+class StrategyBase(ABC):
+    def __init__(self, *args: object) -> None:
+        pass
+    
+    @staticmethod
+    def reversal(
+        direction : str,  # up or down
+        last_candles
+    ) -> bool:
+        if direction == "down" and all([ candle[1]<candle[4] for candle in last_candles ]): # All green?
+            return True
+        elif direction == "up" and all([ candle[1]>candle[4] for candle in last_candles ]): # All red?
+            return True
+        else:
+            return False
+        
+    @staticmethod
+    def order_notional_adj(
+        algo_param : Dict,
+        *args: Any, **kwargs: Any
+    ) -> Dict[str, float]:
+        target_order_notional = algo_param['amount_base_ccy']
+        return {
+            'target_order_notional' : target_order_notional
+    }
+
+    @staticmethod
+    def allow_entry_initial(
+        *args: Any, **kwargs: Any
+    )  -> Dict[str, bool]:
+        return {
+            'long' : False,
+            'short' : False
+        }
+
+    @staticmethod
+    def allow_entry_final(
+        lo_row,
+        algo_param : Dict,
+        *args: Any, **kwargs: Any
+    ) -> Dict[str, Union[bool, float, None]]:
+        open : float = lo_row['open']
+
+        entry_price_long, entry_price_short = open, open
+        allow_long, allow_short = False, False
+        reference_price = None
+        
+        pnl_potential_bps = algo_param['tp_max_percent']*100
+
+        target_price_long = entry_price_long * (1 + pnl_potential_bps/10000)
+        target_price_short = entry_price_short * (1 - pnl_potential_bps/10000)
+        
+        return {
+                'long' : allow_long,
+                'short' : allow_short,
+
+                # In additional to allow or not, allow_entry_final also calculate a few things which you may need to mark the entry trades.
+                'entry_price_long' : entry_price_long,
+                'entry_price_short' : entry_price_short,
+                'target_price_long' : target_price_long,
+                'target_price_short' : target_price_short,
+                'reference_price' : reference_price
+            }
+
+    @staticmethod
+    def sl_adj(
+        algo_param : Dict,
+        *args: Any, **kwargs: Any
+    ) -> Dict[str, float]:
+        running_sl_percent_hard = algo_param['sl_hard_percent']
+        return {
+            'running_sl_percent_hard' : running_sl_percent_hard
+        }
+
+    @staticmethod
+    def trailing_stop_threshold_eval(
+        algo_param : Dict,
+        *args: Any, **kwargs: Any
+    ) -> Dict[str, float]:
+        tp_min_percent = algo_param['tp_min_percent']
+        tp_max_percent = algo_param['tp_max_percent']
+        return {
+            'tp_min_percent' : tp_min_percent,
+            'tp_max_percent' : tp_max_percent
+        }
+
+    @staticmethod
+    def tp_eval (
+            lo_row,
+            this_ticker_open_trades : List[Dict],
+            algo_param : Dict
+    ) -> bool:
+        '''
+        Be very careful, backtest_core 'generic_pnl_eval' may use a) some indicator (tp_indicator_name), or b) target_price to evaluate 'unrealized_pnl_tp'.
+        'tp_eval' only return True or False but it needs be congruent with backtest_core 'generic_pnl_eval', otherwise incorrect rosy pnl may be reported.
+        '''
+        return generic_tp_eval(lo_row, this_ticker_open_trades)
+
+    # List of TA/indicators you wish to include in POSITION_CACHE_COLUMNS from strategy_executor (Display concern only)
+    @staticmethod
+    def get_strategy_indicators() -> List[str]:
+        return []
+
+    @staticmethod
+    def get_strategy_algo_params() -> List[Dict[str, Any]]:
+        '''
+        [
+            {
+                'key' : 'rsi_lower',
+                'val' : 30
+            }
+        ]
+        '''
+        return [
+            
+        ]