mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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37 lines
3.8 KiB
Plaintext
37 lines
3.8 KiB
Plaintext
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biz ã óh • S r SSKJr SSKJrJr SSKJr SSKJ r \" S5 " S S \ 5 5 r
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) zNSimple moving-average crossover strategy registered for StrategyEngine combos.é )Ú annotations)ÚDictÚAnyé )Úregister)ÚStrategyÚ ma_crossoverc ób ^ • \ rS rSrSr S SU 4S jjjrS S jrS
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S jrSrU =r $ ) ÚMovingAverageCrossoveré zÇ
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Emits ENTER/EXIT signals when a fast SMA crosses a slow SMA.
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State inputs expected from StrategyEngine:
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- sma_fast / sma_slow
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- bar_idx (int)
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- position_units (float)
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- default_qty (float)
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c óø >• [ TU ] UUUUS9 [ U5 U l [ [ SU5 5 U l [ [ SU5 5 U l [ U5 U l S U l
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S U l SU l g )N)Ú size_multÚ
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cooldown_barsÚexit_buffer_pctÚ allow_shortr ç )
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ÚsuperÚ__init__Úfloatr ÚintÚmaxr r Úboolr Ú
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_prev_fastÚ
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_prev_slowÚ _block_until)Úselfr r r r Ú __class__s €ÚT/Users/chuan/Documents/Projects/FX_Backtest/QuantResearch/strategies/ma_crossover.pyr Ú MovingAverageCrossover.__init__ s| ø€ ô ‰ÑØ Ø'Ø +Ø#ð ñ
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: a SS0$ U R nU R U5 n Xg:* =( a X#:„ n
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Xg:¬ =( a X#: n U
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( a X@R - U l S U S
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.$ U ( a) U R ( a X@R - U l S U S
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.$ US U- - n US U-
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US:” a X-: a SS
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0$ US: a X,:” d U R ( d SS0$ SS0$ )NÚsma_fastÚsma_slowÚbar_idxr Úposition_unitsr ÚactionÚHOLDÚ
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ENTER_LONG)r& ÚsizeÚ ENTER_SHORTç ð?Ú EXIT_LONGÚ
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EXIT_SHORT)
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Úgetr r r r r r Ú_position_sizer r )r ÚstateÚfastÚslowr$ ÚpositionÚ prev_fastÚ prev_slowÚbufferr) Ú
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crossed_upÚ crossed_downÚslow_with_bufferÚ
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à �a‹<˜DÓ -Ø ˜kÐ*Ð *à �a‹<˜TÓ 4¸D×<L×<LØ ˜lÐ+Ð +à˜&Ð!Ð!r c ó\ • UR S5 nUc g [ U5 U R - $ )NÚ default_qty)r. r r )r r0 r> s r r/ Ú%MovingAverageCrossover._position_sizeZ s- € Ø—i‘i
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Ó.ˆ Ø Ñ ØÜ�[Ó! D§N¡NÑ2Ð2r )r r r r r r r )r+ r r T)
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r r r r r r r r ÚreturnÚNone)r0 úDict[str, Any]r@ rB )r0 rB r@ z float | None)
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