optimized backtesting effiency

backend/strategies/categorical_strategy.py

@@ -0,0 +1,75 @@
+class CategoricalStrategy:
+    def __init__(self, lookback=20, range_threshold=0.4, atr_multiplier=0.5):
+        self.lookback = lookback
+        self.range_threshold = range_threshold
+        self.atr_multiplier = atr_multiplier
+
+    def get_atr1(self, candle):
+        return candle.high - candle.low
+
+    def classify(self, history):
+        if len(history) < self.lookback:
+            return None
+
+        window = history[-self.lookback:]
+        highest = max(c.high for c in window)
+        lowest = min(c.low for c in window)
+        full_range = highest - lowest
+
+        # Check how much of the range was used early vs late
+        first_half = window[:len(window) // 2]
+        second_half = window[len(window) // 2:]
+
+        first_high = max(c.high for c in first_half)
+        first_low = min(c.low for c in first_half)
+        second_high = max(c.high for c in second_half)
+        second_low = min(c.low for c in second_half)
+
+        # If second half is expanding beyond first half range, it's direction
+        expansion = 0
+        if second_high > first_high:
+            expansion += second_high - first_high
+        if second_low < first_low:
+            expansion += first_low - second_low
+
+        avg_candle = sum(self.get_atr1(c) for c in window) / len(window)
+
+        if expansion > avg_candle * self.range_threshold:
+            return "direction"
+        return "consolidation"
+
+    def check_signal(self, history):
+        if len(history) < self.lookback + 1:
+            return None
+
+        category = self.classify(history)
+        if category is None:
+            return None
+
+        window = history[-self.lookback:]
+        highest = max(c.high for c in window)
+        lowest = min(c.low for c in window)
+        mid = (highest + lowest) / 2
+        candle = history[-1]
+        prev = history[-2]
+
+        atr = self.get_atr1(candle)
+        bracket = atr * self.atr_multiplier
+
+        if category == "consolidation":
+            # Near top of range and candle turning down: sell
+            if candle.close > mid and candle.close < prev.close:
+                return "SELL"
+            # Near bottom of range and candle turning up: buy
+            if candle.close < mid and candle.close > prev.close:
+                return "BUY"
+
+        elif category == "direction":
+            # Price pushing up: follow
+            if candle.close > prev.close and candle.close > mid:
+                return "BUY"
+            # Price pushing down: follow
+            if candle.close < prev.close and candle.close < mid:
+                return "SELL"
+
+        return None