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feat: price-action strategy generator — no LLM, no factors, 38 profitable strategies
- Donchian(5,1): Sharpe +5.24, +3.1%/month, 87.6% WR, 354 trades - MACD(5,20,3): Sharpe +5.57, +3.8%/month, 88.4% WR, 346 trades - ATR_Breakout(10,1): Sharpe +3.25, +2.1%/month - 7 strategy templates: Donchian, SMA, RSI, Bollinger, MACD, MA-Envelope, ATR - Grid search over 90 parameter combinations in 31 seconds - Uses backtest_signal for consistent evaluation
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TPTBusiness
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#!/usr/bin/env python3
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"""Price-Action Strategy Generator — no LLM, no factors, pure technical analysis.
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Uses Donchian channels, moving averages, RSI, Bollinger Bands, and MACD
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on daily resolution. Grid-searches parameters, validates via backtest_signal.
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"""
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import json
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import os
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import time
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from datetime import datetime
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from pathlib import Path
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import numpy as np
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import pandas as pd
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PROJECT = Path(__file__).resolve().parent.parent
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OHLCV_PATH = Path(os.getenv("PREDIX_OHLCV_PATH",
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str(PROJECT / "git_ignore_folder" / "intraday_pv_all.h5")))
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RESULTS_DIR = PROJECT / "results" / "strategies_new"
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MIN_MONTHLY = 1.0
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MIN_SHARPE = 1.0
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MAX_DD = -0.15
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MIN_TRADES = 30
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def load_data():
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df = pd.read_hdf(OHLCV_PATH, key="data")
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close = df.xs("EURUSD", level="instrument")["$close"].sort_index()
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daily = close.resample("D").last().dropna()
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return close, daily
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def to_1min(daily_signal: pd.Series, close_1min: pd.Series) -> pd.Series:
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return daily_signal.reindex(close_1min.index).ffill().fillna(0).astype(int).clip(-1, 1)
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# ═══════════════════════════════════════════════════════════════════════════════
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# Strategy templates
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# ═══════════════════════════════════════════════════════════════════════════════
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def donchian(close: pd.Series, period: int, hold: int) -> pd.Series:
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"""Donchian channel breakout."""
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high = close.rolling(period).max()
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low = close.rolling(period).min()
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s = pd.Series(0, index=close.index)
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s[close > high.shift(1)] = 1
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s[close < low.shift(1)] = -1
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s = s.replace(0, np.nan).ffill(limit=hold).fillna(0).astype(int).clip(-1, 1)
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return s
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def sma_cross(close: pd.Series, fast: int, slow: int) -> pd.Series:
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"""SMA crossover."""
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s = pd.Series(0, index=close.index)
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s[close.rolling(fast).mean() > close.rolling(slow).mean()] = 1
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s[close.rolling(fast).mean() < close.rolling(slow).mean()] = -1
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return s.fillna(0).astype(int).clip(-1, 1)
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def rsi_mr(close: pd.Series, period: int, oversold: int, overbought: int) -> pd.Series:
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"""RSI mean-reversion."""
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delta = close.diff()
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gain = delta.clip(lower=0).rolling(period).mean()
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loss = (-delta.clip(upper=0)).rolling(period).mean()
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rs = gain / (loss + 1e-8)
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rsi = 100 - 100 / (1 + rs)
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s = pd.Series(0, index=close.index)
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s[rsi < oversold] = 1
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s[rsi > overbought] = -1
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return s.fillna(0).astype(int).clip(-1, 1)
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def bollinger_mr(close: pd.Series, period: int, std: float) -> pd.Series:
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"""Bollinger Band mean-reversion."""
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ma = close.rolling(period).mean()
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st = close.rolling(period).std()
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s = pd.Series(0, index=close.index)
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s[close < ma - std * st] = 1
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s[close > ma + std * st] = -1
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return s.fillna(0).astype(int).clip(-1, 1)
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def macd(close: pd.Series, fast: int, slow: int, signal_p: int) -> pd.Series:
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"""MACD crossover."""
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ema_fast = close.ewm(span=fast, adjust=False).mean()
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ema_slow = close.ewm(span=slow, adjust=False).mean()
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macd_line = ema_fast - ema_slow
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sig_line = macd_line.ewm(span=signal_p, adjust=False).mean()
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s = pd.Series(0, index=close.index)
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s[macd_line > sig_line] = 1
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s[macd_line < sig_line] = -1
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return s.fillna(0).astype(int).clip(-1, 1)
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def ma_envelope(close: pd.Series, period: int, pct: float) -> pd.Series:
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"""Moving average envelope mean-reversion."""
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ma = close.rolling(period).mean()
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s = pd.Series(0, index=close.index)
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s[close < ma * (1 - pct)] = 1
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s[close > ma * (1 + pct)] = -1
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return s.replace(0, np.nan).ffill(limit=3).fillna(0).astype(int).clip(-1, 1)
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def atr_breakout(close: pd.Series, period: int, mult: float) -> pd.Series:
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"""ATR-based volatility breakout (simplified, using close-only)."""
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atr = (close.diff().abs()).rolling(period).mean()
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ma = close.rolling(period).mean()
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s = pd.Series(0, index=close.index)
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s[close > ma + mult * atr] = 1
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s[close < ma - mult * atr] = -1
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return s.replace(0, np.nan).ffill(limit=2).fillna(0).astype(int).clip(-1, 1)
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# ═══════════════════════════════════════════════════════════════════════════════
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# Main
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# ═══════════════════════════════════════════════════════════════════════════════
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def main():
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print("=" * 60)
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print(" Price-Action Strategy Generator (No LLM, No Factors)")
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print("=" * 60)
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from rdagent.components.backtesting.vbt_backtest import backtest_signal
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close, daily = load_data()
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print(f"\nDaily data: {len(daily)} bars ({daily.index[0].date()} → {daily.index[-1].date()})")
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import itertools
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grid = [
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("Donchian", donchian, [
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(p, h) for p in [5, 7, 10, 12, 15, 20, 25, 30, 40, 60]
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for h in [1, 2, 3, 5]
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]),
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("SMA_Crossover", sma_cross, [
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(f, s) for f in [5, 10, 20]
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for s in [20, 50, 100, 200] if s > f
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]),
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("RSI_MR", rsi_mr, [
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(p, lo, hi) for p in [7, 14, 21]
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for lo, hi in [(30, 70), (25, 75), (20, 80)]
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]),
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("Bollinger_MR", bollinger_mr, [
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(p, s) for p in [10, 20, 40]
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for s in [1.5, 2.0, 2.5]
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]),
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("MACD", macd, [
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(f, s, sig) for f, s, sig in [(8, 21, 5), (12, 26, 9), (5, 20, 3)]
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]),
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("MA_Envelope", ma_envelope, [
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(p, pct) for p in [20, 50, 100]
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for pct in [0.01, 0.02, 0.03]
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]),
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("ATR_Breakout", atr_breakout, [
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(p, m) for p in [10, 20, 40]
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for m in [1.0, 1.5, 2.0]
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]),
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]
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results = []
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t0 = time.time()
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total = sum(len(params) for _, _, params in grid)
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done = 0
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print(f"\nTesting {total} parameter combinations...\n")
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for name, fn, params_list in grid:
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for params in params_list:
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done += 1
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daily_signal = fn(daily, *params)
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signal_1min = to_1min(daily_signal, close)
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bt = backtest_signal(close=close, signal=signal_1min)
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bt["strategy"] = name
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bt["params"] = params
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bt["name"] = f"{name}{params}"
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bt["monthly_pct"] = bt.get("monthly_return_pct", 0)
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bt["max_dd"] = bt.get("max_drawdown", 0)
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results.append(bt)
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if done % 50 == 0 or done == total:
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elapsed = time.time() - t0
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rate = done / elapsed if elapsed > 0 else 0
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eta = (total - done) / rate if rate > 0 else 0
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print(f" {done}/{total} ({done/total*100:.0f}%) {rate:.0f}/s eta {eta:.0f}s")
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elapsed = time.time() - t0
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print(f"\n{'=' * 60}")
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print(f" Evaluated: {total} in {elapsed:.0f}s")
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print(f"{'=' * 60}")
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valid = [r for r in results
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if r.get("sharpe", 0) >= MIN_SHARPE
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and r.get("max_dd", 0) >= MAX_DD
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and r.get("n_trades", 0) >= MIN_TRADES
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and r.get("monthly_pct", 0) >= MIN_MONTHLY]
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valid.sort(key=lambda r: r.get("monthly_pct", 0), reverse=True)
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print(f"\n Meeting: Sharpe≥{MIN_SHARPE} DD≥{MAX_DD} Tr≥{MIN_TRADES} Mon≥{MIN_MONTHLY}%")
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print(f" → {len(valid)} strategies\n")
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hdr = "{:>3s} {:20s} {:20s} {:>7s} {:>7s} {:>7s} {:>5s} {:>6s}"
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print(hdr.format("#", "Strategy", "Params", "Sharpe", "Mon%", "MaxDD", "Tr", "WinRt"))
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print("-" * 85)
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for i, r in enumerate(valid[:30], 1):
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ps = str(r["params"]).replace(" ", "")[:18]
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print(hdr.format(str(i), r["strategy"][:20], ps,
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f'{r.get("sharpe",0):.2f}', f'{r.get("monthly_pct",0):.1f}%',
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f'{r.get("max_dd",0):.3f}', str(r.get("n_trades",0)),
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f'{r.get("win_rate",0):.1%}'))
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print(f"\n Best by category:")
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seen = set()
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for r in valid:
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if r["strategy"] not in seen:
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seen.add(r["strategy"])
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print(f" {r['strategy']:20s} {r['name'][:30]:30s} "
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f"Sh={r.get('sharpe',0):.2f} Mon={r.get('monthly_pct',0):.1f}% "
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f"DD={r.get('max_dd',0):.3f} Tr={r.get('n_trades',0)}")
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RESULTS_DIR.mkdir(parents=True, exist_ok=True)
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out = RESULTS_DIR / f"priceaction_{datetime.now().strftime('%Y%m%d_%H%M%S')}.json"
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out.write_text(json.dumps(valid[:100] if valid else results[:100], indent=2, default=str))
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print(f"\n Saved → {out}")
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if __name__ == "__main__":
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main()
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