mirror of
https://github.com/B-Wear/QuantumEdge.git
synced 2026-08-19 18:08:05 +00:00
B-Wear
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import numpy as np
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import pandas as pd
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from typing import Dict, List, Optional, Tuple
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import logging
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from datetime import datetime
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from dataclasses import dataclass
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import json
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import os
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from .technical_analysis import TechnicalAnalyzer
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from .machine_learning import MachineLearningModel
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from .risk_management import RiskManager
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from .sentiment_analysis import SentimentAnalyzer
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logger = logging.getLogger(__name__)
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@dataclass
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class TradeSignal:
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"""Data class to store trade signals"""
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symbol: str
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action: str # 'buy', 'sell', or 'hold'
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confidence: float
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price: float
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stop_loss: float
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take_profit: float
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position_size: float
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timestamp: datetime
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technical_score: float
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ml_score: float
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sentiment_score: float
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risk_score: float
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class TradingStrategy:
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def __init__(self, config: Dict):
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self.config = config
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self.technical_analyzer = TechnicalAnalyzer(config)
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self.ml_model = MachineLearningModel(config)
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self.risk_manager = RiskManager(config)
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self.sentiment_analyzer = SentimentAnalyzer(config)
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# Initialize state
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self.active_trades = {}
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self.trade_history = []
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self.performance_metrics = {}
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def analyze_market(self, symbol: str, data: pd.DataFrame) -> TradeSignal:
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"""
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Analyze market conditions and generate trading signals
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"""
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try:
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# Technical analysis
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technical_signals = self.technical_analyzer.generate_signals(data)
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technical_score = technical_signals['signal']
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# Machine learning prediction
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ml_predictions = self.ml_model.predict(data)
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ml_score = ml_predictions[-1] if ml_predictions is not None else 0
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# Sentiment analysis
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sentiment_score = self.sentiment_analyzer.get_combined_sentiment(symbol)
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if sentiment_score is None:
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sentiment_score = 0
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# Risk assessment
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risk_score = self.risk_manager.calculate_risk_metrics()
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# Combine signals
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combined_score = (
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technical_score * self.config['signal_weights']['technical'] +
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ml_score * self.config['signal_weights']['ml'] +
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sentiment_score * self.config['signal_weights']['sentiment'] +
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risk_score * self.config['signal_weights']['risk']
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)
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# Generate trading signal
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current_price = data['close'].iloc[-1]
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# Calculate stop loss and take profit levels
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stop_loss = self._calculate_stop_loss(current_price, combined_score)
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take_profit = self._calculate_take_profit(current_price, combined_score)
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# Calculate position size
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position_size, required_margin = self.risk_manager.calculate_position_size(
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current_price,
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stop_loss,
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self.risk_manager.current_capital
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)
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# Determine action
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if combined_score > self.config['signal_thresholds']['buy']:
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action = 'buy'
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elif combined_score < self.config['signal_thresholds']['sell']:
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action = 'sell'
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else:
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action = 'hold'
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# Create trade signal
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signal = TradeSignal(
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symbol=symbol,
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action=action,
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confidence=abs(combined_score),
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price=current_price,
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stop_loss=stop_loss,
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take_profit=take_profit,
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position_size=position_size,
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timestamp=datetime.now(),
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technical_score=technical_score,
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ml_score=ml_score,
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sentiment_score=sentiment_score,
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risk_score=risk_score
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)
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return signal
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except Exception as e:
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logger.error(f"Error analyzing market: {str(e)}")
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return None
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def execute_trade(self, signal: TradeSignal) -> bool:
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"""
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Execute a trade based on the signal
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"""
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try:
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# Validate trade
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if not self.risk_manager.validate_trade(
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signal.symbol,
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signal.position_size,
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signal.price,
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signal.stop_loss,
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signal.take_profit
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):
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return False
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# Execute trade
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if signal.action in ['buy', 'sell']:
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# Update position
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pnl = self.risk_manager.update_position(
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signal.symbol,
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signal.price,
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signal.price,
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signal.position_size,
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signal.action
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)
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if pnl is not None:
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# Record trade
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self.trade_history.append({
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'symbol': signal.symbol,
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'action': signal.action,
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'entry_price': signal.price,
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'exit_price': signal.price,
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'position_size': signal.position_size,
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'pnl': pnl,
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'entry_time': signal.timestamp,
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'exit_time': datetime.now()
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})
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# Update performance metrics
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self._update_performance_metrics()
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return True
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return False
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except Exception as e:
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logger.error(f"Error executing trade: {str(e)}")
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return False
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def update_positions(self, current_prices: Dict[str, float]):
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"""
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Update all open positions with current prices
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"""
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try:
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for symbol, price in current_prices.items():
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if symbol in self.risk_manager.positions:
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position = self.risk_manager.positions[symbol]
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pnl = self.risk_manager.update_position(
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symbol,
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position['entry_price'],
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price,
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position['position_size'],
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position['position_type']
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)
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if pnl is not None:
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# Record trade
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self.trade_history.append({
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'symbol': symbol,
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'action': 'close',
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'entry_price': position['entry_price'],
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'exit_price': price,
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'position_size': position['position_size'],
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'pnl': pnl,
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'entry_time': position['entry_time'],
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'exit_time': datetime.now()
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})
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# Update performance metrics
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self._update_performance_metrics()
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except Exception as e:
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logger.error(f"Error updating positions: {str(e)}")
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def _calculate_stop_loss(self, price: float, signal: float) -> float:
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"""
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Calculate stop loss level based on signal strength
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"""
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# Adjust stop loss distance based on signal strength
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base_stop_loss = self.config['stop_loss_pct']
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signal_factor = abs(signal)
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stop_loss_distance = base_stop_loss * (1 + signal_factor)
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if signal > 0: # Buy signal
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return price * (1 - stop_loss_distance)
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else: # Sell signal
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return price * (1 + stop_loss_distance)
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def _calculate_take_profit(self, price: float, signal: float) -> float:
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"""
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Calculate take profit level based on signal strength
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"""
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# Adjust take profit distance based on signal strength
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base_take_profit = self.config['take_profit_pct']
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signal_factor = abs(signal)
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take_profit_distance = base_take_profit * (1 + signal_factor)
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if signal > 0: # Buy signal
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return price * (1 + take_profit_distance)
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else: # Sell signal
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return price * (1 - take_profit_distance)
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def _update_performance_metrics(self):
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"""
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Update performance metrics based on trade history
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"""
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if not self.trade_history:
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return
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# Convert trade history to DataFrame
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df = pd.DataFrame(self.trade_history)
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# Calculate metrics
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self.performance_metrics = {
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'total_trades': len(df),
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'winning_trades': len(df[df['pnl'] > 0]),
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'losing_trades': len(df[df['pnl'] < 0]),
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'win_rate': len(df[df['pnl'] > 0]) / len(df),
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'total_pnl': df['pnl'].sum(),
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'avg_pnl': df['pnl'].mean(),
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'max_drawdown': self.risk_manager.risk_metrics.max_drawdown if self.risk_manager.risk_metrics else 0,
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'sharpe_ratio': self.risk_manager.risk_metrics.sharpe_ratio if self.risk_manager.risk_metrics else 0,
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'profit_factor': self.risk_manager.risk_metrics.profit_factor if self.risk_manager.risk_metrics else 0
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}
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def should_stop_trading(self) -> bool:
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"""
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Check if trading should be stopped based on risk metrics
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"""
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return self.risk_manager.should_stop_trading()
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def save_state(self, filepath: str):
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"""
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Save trading strategy state
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"""
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try:
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state = {
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'active_trades': self.active_trades,
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'trade_history': self.trade_history,
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'performance_metrics': self.performance_metrics,
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'risk_metrics': self.risk_manager.risk_metrics.__dict__ if self.risk_manager.risk_metrics else None
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}
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with open(filepath, 'w') as f:
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json.dump(state, f, default=str)
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logger.info(f"Trading strategy state saved to {filepath}")
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return True
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except Exception as e:
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logger.error(f"Error saving state: {str(e)}")
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return False
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def load_state(self, filepath: str):
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"""
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Load trading strategy state
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"""
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try:
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with open(filepath, 'r') as f:
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state = json.load(f)
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self.active_trades = state['active_trades']
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self.trade_history = state['trade_history']
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self.performance_metrics = state['performance_metrics']
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if state['risk_metrics']:
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self.risk_manager.risk_metrics = RiskMetrics(**state['risk_metrics'])
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logger.info(f"Trading strategy state loaded from {filepath}")
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return True
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except Exception as e:
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logger.error(f"Error loading state: {str(e)}")
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return False
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