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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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54 lines
12 KiB
Plaintext
54 lines
12 KiB
Plaintext
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Úji•% ã ól • S SK Jr S SKJr SSKJr SSKJr SSKJr \" S5 " S S \5 5 r g
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) é )Ú annotations)Údatetimeé )Úregister)ÚStrategy)ÚSmaAtrÚ
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regime_smac óÄ ^ • \ rS rSrSr S
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SU 4S jjjrSS jrSS jrSS jrSS jr SS jr
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SS jr SS
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jr S r
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S rU =r$ )ÚRegimeSMAStrategyé uÞ
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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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c ó„ >• [ TU ] 5 U=( d SR 5 U l [ U5 U l [ U5 U l U R
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U R - S- U l [ U=( d S5 U l Uc UO
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[ U5 U l
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[ U=( d S5 U l U R U5 U l
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[ U 5 U l U
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( a% U
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u pÍ[ U 5 U l [ U
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5 U l OSU l SU l U =( d / U l U=( d 0 n[' S0 UD6U l g )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 ÚRegimeSMAStrategy.__init__ s ø€ ô ‰ÑÔØ%×/¨×6Ñ6Ó8ˆŒÜ # NÓ 3ˆÔÜ " =Ó 1ˆÔØ #× 2Ñ 2°T×5GÑ5GÑ GÈ3Ñ NˆÔÜ ! .×"5°AÓ 6ˆÔØ8JÑ8RÑ"4ÔX]Ð^pÓXqˆÔ Ü # N×$9°cÓ :ˆÔØ ×/Ñ/°
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Ó;ˆŒÜ ! -Ó 0ˆÔÞ Ø"‰FˆBÜ $ R›yˆDÔ Ü $ R›yˆDÕ à #ˆDÔ Ø #ˆDÔ Ø$×*¨ˆŒà#×) rˆ Ü $Ñ 4 |Ñ 4ˆÕó c ó: • U R U5 nU( a SUS.$ UR SS5 n[ UR SS5 =( d S5 nUR S5 nU R R U5 =( d 0 nUR SS5 nUS :X a¢ U R
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( a X@R
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: a S
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nO!U R b Ub XPR : a S
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nUS :X aP UR S 5 ( a: U R Xq5 ( d S
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nO)[ U5 nU R Xq5 US ' U$ US :X a U$ US :X a U$ UR S
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5 ( a U$ U R U5 n U ( a SU 0$ UR S5 ( a SS0$ SS0$ )NÚHOLD)ÚactionÚ
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cooldown_barsÚ regime_labelÚunknownÚregime_trend_barsr Úatr_percentiler0 ÚtrendÚrangeÚENTERÚsizeÚEXITÚposition) Ú_check_risk_rulesÚgetr r$ Úon_barr r Ú
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startswithÚ_passes_htf_filterÚdictÚ_position_sizeÚ
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_range_signal)
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r% ÚstateÚcooldownr2 Ú trend_streakr5 Ú base_signalr0 ÚsizedÚ range_actions
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r+ r> ÚRegimeSMAStrategy.on_bar9 s— € Ø×)Ñ)¨%Ó0ˆÞ Ø $°xÑ@Ð @à —y‘y °Ó;ˆ ܘ5Ÿ9™9Ð%8¸!Ó<×AÀÓBˆ Ø Ÿ™Ð#3Ó4ˆØ×)Ñ)×0Ñ0°Ó7×=¸2ˆ Ø — ‘ ¨6Ó2ˆà ˜7Ó "Ø×"×" |×6IÑ6IÓ'IØ &‘ Ø×(Ñ(Ñ4Ø!Ñ)¨^×>UÑ>UÓ-UØ#*�LؘwÓ&¨6×+<Ñ+<¸W×+EÑ+EØ×.Ñ.¨v×=Ñ=Ø#*‘Lä Ó -�EØ$(×$7Ñ$7¸Ó$F�E˜&‘MØ �LØ Ó(Ø"Ð"ð ˜7Ó "Ø Ð ð × Ñ ˜V× $Ñ $Ø Ð ð ×)Ñ)¨%Ó0ˆ Þ Ø ˜lÐ+Ð +ð �9‰9�Z× Ñ à ˜fÐ%Ð %ؘ&Ð!Ð!r- c ó • U R S:w a g UR S5 nUc g UR SS5 nUS:X a" X R :¼ a gX R :: a g g US:” a X R :¼ a gUS: a X R :: a gg ) NÚ mean_revertÚrsir; r Ú ENTER_SHORTÚ
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ENTER_LONGÚ EXIT_LONGÚ
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EXIT_SHORT)r r= r r r )r% rD rM r; s r+ rC Ú RegimeSMAStrategy._range_signalg s• € Ø �?‰?˜mÓ +ØØ�i‰i˜Ó ˆØ ‰;Øà—9‘9˜Z¨Ó+ˆØ �q‹=Ø×)Ñ)Ó)Ø$Ø×(Ñ(Ó(Ø#ð )ð 𠘋\˜c×%8Ñ%8Ó 8Ø Ø
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˜‹\˜c×%8Ñ%8Ó 8Ø Ør- c ó • U R ( d gUR S5 nUc gUR S5 nUc gUS:X a XC: a gUS:X a XC:” a gUR S5 nUb XPR : d XPR :” a gg)NTÚhtf_emaFÚcloserO rN Úhtf_rsi)r r= r! r" )r% r0 rD rT rU rV s r+ r@ Ú$RegimeSMAStrategy._passes_htf_filterz s‰ € Ø×!×!ØØ—)‘)˜IÓ&ˆØ ‰?ØØ— ‘ ˜'Ó"ˆØ ‰=ØØ �\Ó ! e£oØØ �]Ó " u£ØØ—)‘)˜IÓ&ˆØ Ñ Ø×)Ñ)Ó)¨W×7GÑ7GÓ-GØ Ør- c ó^ • U( d SU R 0/$ / nU HY n[ U[ 5 ( d M UR 5 n[ UR SS5 5 US' UR
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U5 M[ U( d UR
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SU R 05 UR S SS9 U$ )NÚ size_multr c ó& • U R SS5 $ )NrY r )r= )Úts r+ Ú<lambda>Ú4RegimeSMAStrategy._normalize_tiers.<locals>.<lambda>™ s € a§e¡e¨K¸Ô&;r- T)ÚkeyÚreverse)r Ú
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isinstancerA Úcopyr r= ÚappendÚsort)r% ÚtiersÚ
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normalizedÚtierÚentrys r+ r Ú"RegimeSMAStrategy._normalize_tiers� s € ÞØ $×"5Ñ"5Ð6Ð7Ð 7؈
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ÛˆDÜ ˜d¤D×)Ñ)ÙØ—I‘I“KˆEÜ!& u§y¡y°¸cÓ'BÓ!CˆE�+Ñ Ø × Ñ ˜eÖ $ñ ö Ø × Ñ ˜{¨D×,?Ñ,?Ð @Ô AØ�‰Ñ ;ÀTˆÑJØÐr- c ó€ • [ UR S5 =( d S5 nUS:: a gUR S5 nUR S5 n[ UR SS5 =( d S5 nU R H1 nU R XtXVU5 ( d M X7R SS5 - s $ X0R
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- $ ) NÚ default_qtyg r r5 Útrend_strengthr4 rY r )r r= r r Ú
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_tier_matchesr )r% r0 rD Úbase_qtyÚatr_pctrk Ústreakrf s r+ rB Ú RegimeSMAStrategy._position_sizeœ s¥ € ܘŸ™ =Ó1×8°SÓ9ˆØ �q‹=ØØ—)‘)Ð ,Ó-ˆØ Ÿ™Ð#3Ó4ˆÜ�U—Y‘YÐ 2°AÓ6×;¸!Ó<ˆØ—O”OˆDØ×!Ñ! $° È×PÓPØ §(¡(¨;¸Ó"<Ñ<Ò<ñ $ð ×-Ñ-Ñ-Ð-r- c óª • UR S5 nUR S5 nUR S5 nUR S5 n UR S5 n
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UR S5 n Ub Ub U[ U5 : a gUb Ub U[ U5 :” a gUb Ub U[ U5 : a gU b U[ U 5 : a gUS:X a U SL a gUS :X a U
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SL a gg
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) NÚ min_atr_pctÚ max_atr_pctÚmin_trend_strengthÚmin_trend_barsÚ allow_shortÚ
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allow_longFrO rN T)r= r r ) r% rf rn rk ro r0 Úmin_atrÚmax_atrÚ min_strengthÚ
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min_streakrv rw s r+ rl Ú RegimeSMAStrategy._tier_matches¨ sá € Ø—(‘(˜=Ó)ˆØ—(‘(˜=Ó)ˆØ—x‘xÐ 4Ó5ˆ Ø—X‘XÐ .Ó/ˆ
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Ø—h‘h˜}Ó-ˆ Ø—X‘X˜lÓ+ˆ
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