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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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55 lines
11 KiB
Plaintext
55 lines
11 KiB
Plaintext
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Úji•% ã ól — d dl mZ d dlmZ ddlmZ ddlmZ ddlmZ ed« G d„ d e« « Z y
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) é )Ú annotations)Údatetimeé )Úregister)ÚStrategy)ÚSmaAtrÚ
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regime_smac ó¨ ‡ — e Zd ZdZ d d ˆ fd„
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S )ÚRegimeSMAStrategyuî
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Wraps the SMA+ATR strategy with a simple regime filter.
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- 在趋势 regime（由 StrategyEngine �供）下，沿用 SmaAtr 信�。
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- 在震� regime 下，�选择��空仓或使用简�的 RSI �值回归。
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« | _ nd| _ d| _ | xs g | _ |xs i }t' di |¤Ž| _ y )NÚflatg @r ç ð?g >@g €Q@© )ÚsuperÚ__init__ÚlowerÚ
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range_modeÚfloatÚrange_rsi_highÚ
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range_rsi_lowÚrange_exit_midÚintÚtrend_min_barsÚatr_percentile_minÚbase_size_multÚ_normalize_tiersÚ
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size_tiersÚboolÚ
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htf_alignmentÚ htf_rsi_minÚ htf_rsi_maxÚ
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risk_rulesr Útrend_strategy)ÚselfÚ trend_paramsr r r r r r r r Ú
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htf_rsi_ranger" ÚloÚhiÚ __class__s €úR/Users/chuan/Documents/Projects/FX_Backtest/QuantResearch/strategies/regime_sma.pyr zRegimeSMAStrategy.__init__ s ø€ ô ‰ÑÔØ%Ò/¨×6Ñ6Ó8ˆŒÜ # NÓ 3ˆÔÜ " =Ó 1ˆÔØ #× 2Ñ 2°T×5GÑ5GÑ GÈ3Ñ NˆÔÜ ! .Ò"5°AÓ 6ˆÔØ8JÐ8RÑ"4ÔX]Ð^pÓXqˆÔ Ü # NÒ$9°cÓ :ˆÔØ ×/Ñ/°
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Ó;ˆŒÜ ! -Ó 0ˆÔÙ Ø"‰FˆB�Ü $ R›yˆDÔ Ü $ R›yˆDÕ à #ˆDÔ Ø #ˆDÔ Ø$Ò*¨ˆŒà#Ò) rˆ Ü $Ñ 4 |Ñ 4ˆÕó c óØ — | j |« }|rd|dœS |j dd« }t |j dd« xs d« }|j d« }| j j |« xs i }|j dd« }|d k( r‘| j
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« r|S | j |« } | rd| iS |j d« rddiS ddiS )NÚHOLD)ÚactionÚ
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cooldown_barsÚ regime_labelÚunknownÚregime_trend_barsr Úatr_percentiler. ÚtrendÚrangeÚENTERÚsizeÚEXITÚposition) Ú_check_risk_rulesÚgetr r# Úon_barr r Ú
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r$ ÚstateÚcooldownr0 Ú trend_streakr3 Ú base_signalr. ÚsizedÚ range_actions
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r* r< zRegimeSMAStrategy.on_bar9 s“ € Ø×)Ñ)¨%Ó0ˆÙ Ø $°xÑ@Ð @à —y‘y °Ó;ˆ ܘ5Ÿ9™9Ð%8¸!Ó<ÒAÀÓBˆ Ø Ÿ™Ð#3Ó4ˆØ×)Ñ)×0Ñ0°Ó7Ò=¸2ˆ Ø — ‘ ¨6Ó2ˆà ˜7Ò "Ø×"Ò" |°d×6IÑ6IÒ'IØ &‘ Ø×(Ñ(Ð4Ø!Ð)¨^¸d×>UÑ>UÒ-UØ#*�LؘwÒ&¨6×+<Ñ+<¸WÔ+EØ×.Ñ.¨v°uÔ=Ø#*‘Lä Ó -�EØ$(×$7Ñ$7¸ÀÓ$F�E˜&‘MØ �LØ Ò(Ø"Ð"ð ˜7Ò "Ø Ð ð × Ñ ˜VÔ $Ø Ð ð ×)Ñ)¨%Ó0ˆ Ù Ø ˜lÐ+Ð +ð �9‰9�ZÔ à ˜fÐ%Ð %ؘ&Ð!Ð!r+ c ó — | j dk7 ry |j d« }|€y |j dd« }|dk( r!|| j k\ ry|| j k ryy |dkD r|| j k\ ry|dk r|| j k ryy ) NÚ mean_revertÚrsir9 r Ú ENTER_SHORTÚ
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ENTER_LONGÚ EXIT_LONGÚ
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EXIT_SHORT)r r; r r r )r$ rB rJ r9 s r* rA z RegimeSMAStrategy._range_signalg s˜ € Ø �?‰?˜mÒ +ØØ�i‰i˜Ó ˆØ ˆ;Øà—9‘9˜Z¨Ó+ˆØ �qŠ=Ø�d×)Ñ)Ò)Ø$Ø�d×(Ñ(Ò(Ø#ð
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˜Š\˜c T×%8Ñ%8Ò 8Ø Ør+ c óþ — | j sy|j d« }|€y|j d« }|€y|dk( r||k ry|dk( r||kD ry|j d« }|� || j k s|| j kD ryy)NTÚhtf_emaFÚcloserL rK Úhtf_rsi)r r; r r! )r$ r. rB rP rQ rR s r* r> z$RegimeSMAStrategy._passes_htf_filterz s‘ € Ø×!Ò!ØØ—)‘)˜IÓ&ˆØ ˆ?ØØ— ‘ ˜'Ó"ˆØ ˆ=ØØ �\Ò ! e¨g¢oØØ �]Ò " u¨w¢ØØ—)‘)˜IÓ&ˆØ Рؘ×)Ñ)Ò)¨W°t×7GÑ7GÒ-GØ Ør+ c ó@ — |sd| j igS g }|D ]R }t |t « sŒ|j « }t |j dd« « |d< |j
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d| j i« |j d„ d¬« |S )NÚ size_multr c ó& — | j dd« S )NrT r )r; )Úts r* Ú<lambda>z4RegimeSMAStrategy._normalize_tiers.<locals>.<lambda>™ s € a§e¡e¨K¸Ô&;r+ T)ÚkeyÚreverse)r Ú
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isinstancer? Úcopyr r; ÚappendÚsort)r$ ÚtiersÚ
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normalizedÚtierÚentrys r* r z"RegimeSMAStrategy._normalize_tiers� s� € ÙØ $×"5Ñ"5Ð6Ð7Ð 7؈
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ÛˆDÜ ˜d¤DÔ)ØØ—I‘I“KˆEÜ!& u§y¡y°¸cÓ'BÓ!CˆE�+Ñ Ø × Ñ ˜eÕ $ð ñ Ø × Ñ ˜{¨D×,?Ñ,?Ð @Ô AØ�‰Ñ ;ÀTˆÔJØÐr+ c ód — t |j d« xs d« }|dk ry|j d« }|j d« }t |j dd« xs d« }| j D ]. }| j |||||« sŒ||j dd« z c S || j
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z S ) NÚ default_qtyg r r3 Útrend_strengthr2 rT r )r r; r r Ú
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_tier_matchesr )r$ r. rB Úbase_qtyÚatr_pctrd Ústreakr` s r* r@ z RegimeSMAStrategy._position_sizeœ sª € ܘŸ™ =Ó1Ò8°SÓ9ˆØ �qŠ=ØØ—)‘)Ð ,Ó-ˆØ Ÿ™Ð#3Ó4ˆÜ�U—Y‘YÐ 2°AÓ6Ò;¸!Ó<ˆØ—O”OˆDØ×!Ñ! $¨° ÀÈÕPØ $§(¡(¨;¸Ó"<Ñ<Ò<ð $ð ˜$×-Ñ-Ñ-Ð-r+ c óŒ — |j d« }|j d« }|j d« }|j d« } |j d« }
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|j d« } |�|�|t |« k ry|�|�|t |« kD ry|�|�|t |« k ry| �|t | « k ry|dk( r| du ry|d k( r|
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du ryy
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) NÚ min_atr_pctÚ max_atr_pctÚmin_trend_strengthÚmin_trend_barsÚ allow_shortÚ
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allow_longFrL rK T)r; r r ) r$ r` rg rd rh r. Úmin_atrÚmax_atrÚ min_strengthÚ
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