mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-08-22 21:38:04 +00:00
35 lines
3.7 KiB
Plaintext
35 lines
3.7 KiB
Plaintext
|
Ë
|
|||
|
|
biz ã óh — d Z ddlmZ ddlmZmZ ddlmZ ddlm Z ed« G d„ d e « « Z
|
|||
|
|
y
|
|||
|
|
) zNSimple moving-average crossover strategy registered for StrategyEngine combos.é )Ú annotations)ÚDictÚAnyé )Úregister)ÚStrategyÚ ma_crossoverc óP ‡ — e Zd ZdZ d dˆ fd„
|
|||
|
|
Zdd„Zdd„Zˆ xZS ) ÚMovingAverageCrossoverzã
|
|||
|
|
Emits ENTER/EXIT signals when a fast SMA crosses a slow SMA.
|
|||
|
|
|
|||
|
|
State inputs expected from StrategyEngine:
|
|||
|
|
- sma_fast / sma_slow
|
|||
|
|
- bar_idx (int)
|
|||
|
|
- position_units (float)
|
|||
|
|
- default_qty (float)
|
|||
|
|
c óþ •— t ‰| � ||||¬« t |« | _ t t d|« « | _ t t d|« « | _ t |« | _ d | _
|
|||
|
|
d | _ d| _ y )N)Ú size_multÚ
|
|||
|
|
cooldown_barsÚexit_buffer_pctÚ allow_shortr ç )
|
|||
|
|
ÚsuperÚ__init__Úfloatr
|
|||
|
|
ÚintÚmaxr r Úboolr Ú
|
|||
|
|
_prev_fastÚ
|
|||
|
|
_prev_slowÚ _block_until)Úselfr
|
|||
|
|
r r r Ú __class__s €úT/Users/chuan/Documents/Projects/FX_Backtest/QuantResearch/strategies/ma_crossover.pyr z MovingAverageCrossover.__init__ s| ø€ ô ‰ÑØ Ø'Ø +Ø#ð ô
|
|||
|
|
ô ˜yÓ)ˆŒÜ ¤ Q¨
|
|||
|
|
Ó!6Ó 7ˆÔÜ $¤S¨¨oÓ%>Ó ?ˆÔ Ü Ó,ˆÔà(,ˆŒØ(,ˆŒØ!"ˆÕó c óº — |j d« }|j d« }t |j dd« xs d« }t |j dd« xs d« }|�|€ddiS | j }| j }|| _ || _ |�|€ddiS || j
|
|||
|
|
k rddiS | j }| j |« } ||k xr ||kD }
|
|||
|
|
||k\ xr ||k } |
|
|||
|
|
r|| j z | _ d | d
|
|||
|
|
œS | r%| j r|| j z | _ d | d
|
|||
|
|
œS |d |z z } |d |z
|
|||
|
|
z }
|
|||
|
|
|dkD r ||
|
|||
|
|
k rdd
|
|||
|
|
iS |dk r|| kD s | j sddiS ddiS )NÚsma_fastÚsma_slowÚbar_idxr Úposition_unitsr ÚactionÚHOLDÚ
|
|||
|
|
ENTER_LONG)r$ ÚsizeÚ ENTER_SHORTç ð?Ú EXIT_LONGÚ
|
|||
|
|
EXIT_SHORT)
|
|||
|
|
Úgetr r r r r r Ú_position_sizer r )r ÚstateÚfastÚslowr" ÚpositionÚ prev_fastÚ prev_slowÚbufferr' Ú
|
|||
|
|
crossed_upÚ crossed_downÚslow_with_bufferÚ
|