upd

core/models/side.py

@@ -8,6 +8,7 @@ class PositionSide(Enum):
     def __str__(self):
         return self.value
 
+
 class SignalSide(Enum):
     BUY = "buy"
     SELL = "sell"

quant.py

@@ -18,7 +18,7 @@
 from optimization import StrategyOptimizerFactory
 from portfolio import Portfolio
 from position import PositionActorFactory, PositionFactory
-from position.risk.volatility import PositionRiskVolatilityStrategy
+from position.risk.break_even import PositionRiskBreakEvenStrategy
 from position.size.optimal_f import PositionOptimalFSizeStrategy
 from position.take_profit.risk_reward import PositionRiskRewardTakeProfitStrategy
 from risk import RiskActorFactory
@@ -69,7 +69,7 @@ async def main():
 
     position_factory = PositionFactory(
         PositionOptimalFSizeStrategy(),
-        PositionRiskVolatilityStrategy(config_service),
+        PositionRiskBreakEvenStrategy(config_service),
         PositionRiskRewardTakeProfitStrategy(config_service),
     )
 

strategy/generator/bootstrap/_trend_follow.py

@@ -44,6 +44,8 @@
 from strategy.generator.signal.dch_two_ma import Dch2MaSignal
 from strategy.generator.signal.di_cross import DiCrossSignal
 from strategy.generator.signal.dmi_cross import DmiCrossSignal
+from strategy.generator.signal.dso_cross import DsoCrossSignal
+from strategy.generator.signal.dso_flip import DsoFlipSignal
 from strategy.generator.signal.hl import HighLowSignal
 from strategy.generator.signal.kst_cross import KstCrossSignal
 from strategy.generator.signal.ma_three_cross import Ma3CrossSignal
@@ -305,6 +307,7 @@ def _generate_signal(self, signal: TrendSignalType):
             return np.random.choice(
                 [
                     AoFlipSignal(),
+                    DsoFlipSignal(),
                     MacdFlipSignal(),
                     SupertrendFlipSignal(),
                     RocFlipSignal(),
@@ -356,6 +359,7 @@ def _generate_signal(self, signal: TrendSignalType):
                     QstickCrossSignal(),
                     VwapCrossSignal(),
                     DmiCrossSignal(),
+                    DsoCrossSignal(),
                     StochCrossSignal(),
                     KstCrossSignal(),
                     TrixCrossSignal(),

strategy/generator/signal/base.py

@@ -15,6 +15,8 @@ class SignalType(Enum):
     DiFlip = "DiFlip"
     DiCross = "DiCross"
     DmiCross = "DmiCross"
+    DsoFlip = "DsoFlip"
+    DsoCross = "DsoCross"
     HighLow = "HighLow"
     Ma3Cross = "Ma3Cross"
     MaTestingGround = "MaTestingGround"

strategy/generator/signal/dso_cross.py

@@ -0,0 +1,15 @@
+from dataclasses import dataclass
+
+from core.models.parameter import Parameter, StaticParameter
+from core.models.smooth import Smooth
+
+from .base import Signal, SignalType
+
+
+@dataclass(frozen=True)
+class DsoCrossSignal(Signal):
+    type: Signal = SignalType.DsoCross
+    smooth_type: Parameter = StaticParameter(Smooth.EMA)
+    smooth_period: Parameter = StaticParameter(13.0)
+    k_period: Parameter = StaticParameter(8.0)
+    d_period: Parameter = StaticParameter(9.0)

strategy/generator/signal/dso_flip.py

@@ -0,0 +1,15 @@
+from dataclasses import dataclass
+
+from core.models.parameter import Parameter, StaticParameter
+from core.models.smooth import Smooth
+
+from .base import Signal, SignalType
+
+
+@dataclass(frozen=True)
+class DsoFlipSignal(Signal):
+    type: Signal = SignalType.DsoFlip
+    smooth_type: Parameter = StaticParameter(Smooth.EMA)
+    smooth_period: Parameter = StaticParameter(13.0)
+    k_period: Parameter = StaticParameter(8.0)
+    d_period: Parameter = StaticParameter(9.0)

ta_lib/strategies/base/src/constants.rs

@@ -0,0 +1,2 @@
+pub const ZERO_LINE: f32 = 0.;
+pub const NEUTRALITY_LINE: f32 = 50.;

ta_lib/strategies/base/src/lib.rs

@@ -1,12 +1,14 @@
 extern crate alloc;
 
+mod constants;
 mod ffi;
 mod model;
 mod price;
 mod strategy;
 mod traits;
 
 pub mod prelude {
+    pub use crate::constants::*;
     pub use crate::ffi::*;
     pub use crate::model::{OHLCVSeries, OHLCV};
     pub use crate::price::*;

ta_lib/strategies/confirm/src/dpo.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use trend::dpo;
 
-const DPO_FILTER: f32 = 0.;
-
 pub struct DPOConfirm {
     smooth_type: Smooth,
     period: usize,
@@ -26,6 +24,6 @@ impl Confirm for DPOConfirm {
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let dpo = dpo(&data.close, self.smooth_type, self.period);
 
-        (dpo.sgt(&DPO_FILTER), dpo.slt(&DPO_FILTER))
+        (dpo.sgt(&ZERO_LINE), dpo.slt(&ZERO_LINE))
     }
 }

ta_lib/strategies/confirm/src/eom.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use volume::eom;
 
-const EOM_FILTER: f32 = 0.;
-
 pub struct EOMConfirm {
     smooth_type: Smooth,
     period: usize,
@@ -36,6 +34,6 @@ impl Confirm for EOMConfirm {
             self.divisor,
         );
 
-        (eom.sgt(&EOM_FILTER), eom.slt(&EOM_FILTER))
+        (eom.sgt(&ZERO_LINE), eom.slt(&ZERO_LINE))
     }
 }

ta_lib/strategies/confirm/src/roc.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::roc;
 
-const ROC_FILTER: f32 = 0.;
-
 pub struct ROCConfirm {
     period: usize,
 }
@@ -24,6 +22,6 @@ impl Confirm for ROCConfirm {
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let roc = roc(&data.close, self.period);
 
-        (roc.sgt(&ROC_FILTER), roc.slt(&ROC_FILTER))
+        (roc.sgt(&ZERO_LINE), roc.slt(&ZERO_LINE))
     }
 }

ta_lib/strategies/pulse/src/vo.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use volume::vo;
 
-const VO_ZERO_LINE: f32 = 0.0;
-
 pub struct VoPulse {
     smooth_type: Smooth,
     fast_period: usize,
@@ -33,6 +31,6 @@ impl Pulse for VoPulse {
             self.slow_period,
         );
 
-        (vo.sgt(&VO_ZERO_LINE), vo.sgt(&VO_ZERO_LINE))
+        (vo.sgt(&ZERO_LINE), vo.sgt(&ZERO_LINE))
     }
 }

ta_lib/strategies/signal/src/ao_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::ao;
 
-const AO_ZERO: f32 = 0.0;
-
 pub struct AOFlipSignal {
     fast_period: usize,
     slow_period: usize,
@@ -28,8 +26,8 @@ impl Signal for AOFlipSignal {
         let prev_ao = ao.shift(2);
 
         (
-            ao.cross_over(&AO_ZERO) & prev_ao.slt(&AO_ZERO),
-            ao.cross_under(&AO_ZERO) & prev_ao.sgt(&AO_ZERO),
+            ao.cross_over(&ZERO_LINE) & prev_ao.slt(&ZERO_LINE),
+            ao.cross_under(&ZERO_LINE) & prev_ao.sgt(&ZERO_LINE),
         )
     }
 }

ta_lib/strategies/signal/src/ao_saucer.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::ao;
 
-const AO_ZERO: f32 = 0.0;
-
 pub struct AOSaucerSignal {
     fast_period: usize,
     slow_period: usize,
@@ -31,17 +29,17 @@ impl Signal for AOSaucerSignal {
         let back_2_diff = diff.shift(2);
 
         (
-            ao.sgt(&AO_ZERO)
-                & diff.sgt(&AO_ZERO)
+            ao.sgt(&ZERO_LINE)
+                & diff.sgt(&ZERO_LINE)
                 & diff.sgt(&prev_diff)
-                & prev_diff.slt(&AO_ZERO)
-                & back_2_diff.slt(&AO_ZERO)
+                & prev_diff.slt(&ZERO_LINE)
+                & back_2_diff.slt(&ZERO_LINE)
                 & prev_diff.slt(&back_2_diff),
-            ao.slt(&AO_ZERO)
-                & diff.slt(&AO_ZERO)
+            ao.slt(&ZERO_LINE)
+                & diff.slt(&ZERO_LINE)
                 & diff.slt(&prev_diff)
-                & prev_diff.sgt(&AO_ZERO)
-                & back_2_diff.sgt(&AO_ZERO)
+                & prev_diff.sgt(&ZERO_LINE)
+                & back_2_diff.sgt(&ZERO_LINE)
                 & prev_diff.slt(&back_2_diff),
         )
     }

ta_lib/strategies/signal/src/apo_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::apo;
 
-const APO_ZERO: f32 = 0.0;
-
 pub struct APOFlipSignal {
     fast_period: usize,
     slow_period: usize,
@@ -26,6 +24,6 @@ impl Signal for APOFlipSignal {
     fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let apo = apo(&data.close, self.fast_period, self.slow_period);
 
-        (apo.cross_over(&APO_ZERO), apo.cross_under(&APO_ZERO))
+        (apo.cross_over(&ZERO_LINE), apo.cross_under(&ZERO_LINE))
     }
 }

ta_lib/strategies/signal/src/bop_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::bop;
 
-const BOP_ZERO: f32 = 0.0;
-
 pub struct BOPFlipSignal {
     smooth_type: Smooth,
     smooth_period: usize,
@@ -33,6 +31,6 @@ impl Signal for BOPFlipSignal {
             self.smooth_period,
         );
 
-        (bop.cross_over(&BOP_ZERO), bop.cross_under(&BOP_ZERO))
+        (bop.cross_over(&ZERO_LINE), bop.cross_under(&ZERO_LINE))
     }
 }

ta_lib/strategies/signal/src/cc_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::cc;
 
-const ZERO_LINE: f32 = 0.0;
-
 pub struct CCFlipSignal {
     fast_period: usize,
     slow_period: usize,

ta_lib/strategies/signal/src/ce_flip.rs

@@ -2,9 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use trend::ce;
 
-const ONE: f32 = 1.0;
-const MINUS_ONE: f32 = -1.0;
-
 pub struct CEFlipSignal {
     period: usize,
     atr_period: usize,

ta_lib/strategies/signal/src/cfo_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::cfo;
 
-const CFO_ZERO: f32 = 0.0;
-
 pub struct CFOFlipSignal {
     period: usize,
 }
@@ -24,6 +22,6 @@ impl Signal for CFOFlipSignal {
     fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let cfo = cfo(&data.close, self.period);
 
-        (cfo.cross_over(&CFO_ZERO), cfo.cross_under(&CFO_ZERO))
+        (cfo.cross_over(&ZERO_LINE), cfo.cross_under(&ZERO_LINE))
     }
 }

ta_lib/strategies/signal/src/di_flip.rs

@@ -2,8 +2,6 @@ use base::prelude::*;
 use core::prelude::*;
 use momentum::di;
 
-const ZERO_LINE: f32 = 0.0;
-
 pub struct DIFlipSignal {
     smooth_type: Smooth,
     period: usize,

ta_lib/strategies/signal/src/dso_cross.rs

@@ -0,0 +1,40 @@
+use base::prelude::*;
+use core::prelude::*;
+use momentum::dso;
+
+pub struct DSOCrossSignal {
+    smooth_type: Smooth,
+    smooth_period: usize,
+    k_period: usize,
+    d_period: usize,
+}
+
+impl DSOCrossSignal {
+    pub fn new(smooth_type: Smooth, smooth_period: f32, k_period: f32, d_period: f32) -> Self {
+        Self {
+            smooth_type,
+            smooth_period: smooth_period as usize,
+            k_period: k_period as usize,
+            d_period: d_period as usize,
+        }
+    }
+}
+
+impl Signal for DSOCrossSignal {
+    fn lookback(&self) -> usize {
+        let period = std::cmp::max(self.smooth_period, self.k_period);
+        std::cmp::max(period, self.d_period)
+    }
+
+    fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
+        let (k, d) = dso(
+            &data.close,
+            self.smooth_type,
+            self.smooth_period,
+            self.k_period,
+            self.d_period,
+        );
+
+        (k.cross_over(&d), k.cross_under(&d))
+    }
+}

ta_lib/strategies/signal/src/dso_flip.rs

@@ -0,0 +1,43 @@
+use base::prelude::*;
+use core::prelude::*;
+use momentum::dso;
+
+pub struct DSOFlipSignal {
+    smooth_type: Smooth,
+    smooth_period: usize,
+    k_period: usize,
+    d_period: usize,
+}
+
+impl DSOFlipSignal {
+    pub fn new(smooth_type: Smooth, smooth_period: f32, k_period: f32, d_period: f32) -> Self {
+        Self {
+            smooth_type,
+            smooth_period: smooth_period as usize,
+            k_period: k_period as usize,
+            d_period: d_period as usize,
+        }
+    }
+}
+
+impl Signal for DSOFlipSignal {
+    fn lookback(&self) -> usize {
+        let period = std::cmp::max(self.smooth_period, self.k_period);
+        std::cmp::max(period, self.d_period)
+    }
+
+    fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
+        let (k, _) = dso(
+            &data.close,
+            self.smooth_type,
+            self.smooth_period,
+            self.k_period,
+            self.d_period,
+        );
+
+        (
+            k.cross_over(&NEUTRALITY_LINE),
+            k.cross_under(&NEUTRALITY_LINE),
+        )
+    }
+}