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YieldsLabs · Apr 16, 2024 · bfe89fe · bfe89fe
1 parent ddf557e
commit bfe89fe
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Showing 8 changed files with 20 additions and 13 deletions.
diff --git a/strategy/generator/pulse/braid.py b/strategy/generator/pulse/braid.py
@@ -12,7 +12,7 @@
 @dataclass(frozen=True)
 class BraidPulse(Pulse):
     type: PulseType = PulseType.Braid
-    smooth_type: Parameter = StaticParameter(Smooth.LSMA)
+    smooth_type: Parameter = StaticParameter(Smooth.WMA)
     fast_period: Parameter = StaticParameter(3.0)
     slow_period: Parameter = StaticParameter(14.0)
     open_period: Parameter = StaticParameter(7.0)

diff --git a/strategy/generator/pulse/wae.py b/strategy/generator/pulse/wae.py
@@ -10,10 +10,10 @@
 class WaePulse(Pulse):
     type: PulseType = PulseType.Wae
     smooth_type: Parameter = StaticParameter(Smooth.EMA)
-    fast_period: Parameter = StaticParameter(20.0)
-    slow_period: Parameter = StaticParameter(40.0)
+    fast_period: Parameter = StaticParameter(15.0)
+    slow_period: Parameter = StaticParameter(30.0)
     smooth_bb: Parameter = StaticParameter(Smooth.SMA)
-    bb_period: Parameter = StaticParameter(20.0)
+    bb_period: Parameter = StaticParameter(15.0)
     factor: Parameter = StaticParameter(2.0)
     strength: Parameter = StaticParameter(150.0)
     atr_period: Parameter = StaticParameter(100.0)

diff --git a/strategy/generator/signal/bb/macd_bb.py b/strategy/generator/signal/bb/macd_bb.py
@@ -15,5 +15,6 @@ class MacdBbSignal(Signal):
     fast_period: Parameter = StaticParameter(8.0)
     slow_period: Parameter = StaticParameter(26.0)
     signal_period: Parameter = StaticParameter(9.0)
+    bb_smooth: Parameter = StaticParameter(Smooth.SMA)
     bb_period: Parameter = StaticParameter(9.0)
     factor: Parameter = StaticParameter(0.8)
diff --git a/strategy/generator/signal/bb/vwap_bb.py b/strategy/generator/signal/bb/vwap_bb.py
@@ -9,6 +9,6 @@
 class VwapBbSignal(Signal):
     type: SignalType = SignalType.VwapBb
     period: Parameter = StaticParameter(100.0)
-    smooth_type: Parameter = StaticParameter(Smooth.EMA)
+    bb_smooth: Parameter = StaticParameter(Smooth.EMA)
     bb_period: Parameter = StaticParameter(50.0)
     factor: Parameter = StaticParameter(2.0)
diff --git a/ta_lib/strategies/signal/src/bb/macd_bb.rs b/ta_lib/strategies/signal/src/bb/macd_bb.rs
@@ -8,6 +8,7 @@ pub struct MacdBbSignal {
     fast_period: usize,
     slow_period: usize,
     signal_period: usize,
+    bb_smooth: Smooth,
     bb_period: usize,
     factor: f32,
 }
@@ -18,6 +19,7 @@ impl MacdBbSignal {
         fast_period: f32,
         slow_period: f32,
         signal_period: f32,
+        bb_smooth: Smooth,
         bb_period: f32,
         factor: f32,
     ) -> Self {
@@ -26,6 +28,7 @@ impl MacdBbSignal {
             fast_period: fast_period as usize,
             slow_period: slow_period as usize,
             signal_period: signal_period as usize,
+            bb_smooth,
             bb_period: bb_period as usize,
             factor,
         }
@@ -48,7 +51,7 @@ impl Signal for MacdBbSignal {
             self.signal_period,
         );
 
-        let (upper_bb, _, lower_bb) = bb(&macd_line, self.smooth_type, self.bb_period, self.factor);
+        let (upper_bb, _, lower_bb) = bb(&macd_line, self.bb_smooth, self.bb_period, self.factor);
 
         (
             macd_line.cross_over(&upper_bb),

diff --git a/ta_lib/strategies/signal/src/bb/vwap_bb.rs b/ta_lib/strategies/signal/src/bb/vwap_bb.rs
@@ -5,16 +5,16 @@ use volume::vwap;
 
 pub struct VwapBbSignal {
     period: usize,
-    smooth_type: Smooth,
+    bb_smooth: Smooth,
     bb_period: usize,
     factor: f32,
 }
 
 impl VwapBbSignal {
-    pub fn new(period: f32, smooth_type: Smooth, bb_period: f32, factor: f32) -> Self {
+    pub fn new(period: f32, bb_smooth: Smooth, bb_period: f32, factor: f32) -> Self {
         Self {
             period: period as usize,
-            smooth_type,
+            bb_smooth,
             bb_period: bb_period as usize,
             factor,
         }
@@ -28,7 +28,7 @@ impl Signal for VwapBbSignal {
 
     fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let vwap = vwap(&data.hlc3(), &data.volume);
-        let (upper_bb, _, lower_bb) = bb(&vwap, self.smooth_type, self.bb_period, self.factor);
+        let (upper_bb, _, lower_bb) = bb(&vwap, self.bb_smooth, self.bb_period, self.factor);
 
         (vwap.cross_over(&upper_bb), vwap.cross_under(&lower_bb))
     }

diff --git a/ta_lib/strategies/trend_follow/src/config/signal_config.rs b/ta_lib/strategies/trend_follow/src/config/signal_config.rs
@@ -116,12 +116,13 @@ pub enum SignalConfig {
         fast_period: f32,
         slow_period: f32,
         signal_period: f32,
+        bb_smooth: f32,
         bb_period: f32,
         factor: f32,
     },
     VwapBb {
         period: f32,
-        smooth_type: f32,
+        bb_smooth: f32,
         bb_period: f32,
         factor: f32,
     },

diff --git a/ta_lib/strategies/trend_follow/src/mapper/signal_mapper.rs b/ta_lib/strategies/trend_follow/src/mapper/signal_mapper.rs
@@ -237,24 +237,26 @@ pub fn map_to_signal(config: SignalConfig) -> Box<dyn Signal> {
             fast_period,
             slow_period,
             signal_period,
+            bb_smooth,
             bb_period,
             factor,
         } => Box::new(MacdBbSignal::new(
             smooth_deserialize(smooth_type as usize),
             fast_period,
             slow_period,
             signal_period,
+            smooth_deserialize(bb_smooth as usize),
             bb_period,
             factor,
         )),
         SignalConfig::VwapBb {
             period,
-            smooth_type,
+            bb_smooth,
             bb_period,
             factor,
         } => Box::new(VwapBbSignal::new(
             period,
-            smooth_deserialize(smooth_type as usize),
+            smooth_deserialize(bb_smooth as usize),
             bb_period,
             factor,
         )),