zhutoutoutousan
26 lines
654 B
Python
26 lines
654 B
Python
"""
|
|
Dynamic adverse risk (conceptual mirror of EA InpMaxAdverseATR).
|
|
|
|
For backtests in Python: given entry price, ATR series, and bid/ask path,
|
|
exit when (entry - bid)/atr >= max_adv for long.
|
|
"""
|
|
|
|
from __future__ import annotations
|
|
|
|
import numpy as np
|
|
|
|
|
|
def adverse_hit_long(
|
|
entry: float,
|
|
low_path: np.ndarray,
|
|
atr_path: np.ndarray,
|
|
max_adverse_atr: float,
|
|
) -> int | None:
|
|
"""Return first index where adverse >= threshold, else None."""
|
|
for i in range(len(low_path)):
|
|
atr = max(atr_path[i], entry * 1e-6)
|
|
adv = (entry - low_path[i]) / atr
|
|
if adv >= max_adverse_atr:
|
|
return i
|
|
return None
|