upd

strategy/generator/bootstrap/_trend_follow.py

@@ -58,7 +58,9 @@
 from strategy.generator.signal.neutrality.rsi_neutrality_rejection import (
     RsiNautralityRejectionSignal,
 )
-from strategy.generator.signal.neutrality.tii_neutrality_cross import TiiNeutralityCrossSignal
+from strategy.generator.signal.neutrality.tii_neutrality_cross import (
+    TiiNeutralityCrossSignal,
+)
 from strategy.generator.signal.pattern.ao_saucer import AoSaucerSignal
 from strategy.generator.signal.pattern.candle_trend import CandlestickTrendSignal
 from strategy.generator.signal.pattern.hl import HighLowSignal
@@ -90,6 +92,7 @@
 from strategy.generator.signal.zerocross.trix_zerocross import TrixZeroCrossSignal
 from strategy.generator.signal.zerocross.tsi_zerocross import TsiZeroCrossSignal
 from strategy.generator.stop_loss.atr import AtrStopLoss
+from strategy.generator.stop_loss.dch import DchStopLoss
 
 
 class TrendSignalType(Enum):
@@ -197,7 +200,7 @@ def _generate_strategy(self):
                 WaePulse(),
             ]
         )
-        stop_loss = np.random.choice([AtrStopLoss()])
+        stop_loss = np.random.choice([AtrStopLoss(), DchStopLoss()])
         exit_signal = np.random.choice(
             [
                 # AstExit(),

strategy/generator/stop_loss/base.py

@@ -6,6 +6,7 @@
 
 class StopLossType(Enum):
     Atr = "Atr"
+    Dch = "Dch"
 
     def __str__(self):
         return self.value.upper()

strategy/generator/stop_loss/dch.py

@@ -0,0 +1,11 @@
+from dataclasses import dataclass
+
+from core.models.parameter import Parameter, StaticParameter
+
+from .base import StopLoss, StopLossType
+
+
+@dataclass(frozen=True)
+class DchStopLoss(StopLoss):
+    type: StopLossType = StopLossType.Dch
+    period: Parameter = StaticParameter(21.0)

ta_lib/strategies/stop_loss/src/dch.rs

@@ -0,0 +1,27 @@
+use base::prelude::*;
+use core::prelude::*;
+use volatility::dch;
+
+pub struct DchStopLoss {
+    period: usize,
+}
+
+impl DchStopLoss {
+    pub fn new(period: f32) -> Self {
+        Self {
+            period: period as usize,
+        }
+    }
+}
+
+impl StopLoss for DchStopLoss {
+    fn lookback(&self) -> usize {
+        self.period
+    }
+
+    fn find(&self, data: &OHLCVSeries) -> (Series<f32>, Series<f32>) {
+        let (upper, _, lower) = dch(&data.high, &data.low, self.period);
+
+        (lower, upper)
+    }
+}

ta_lib/strategies/stop_loss/src/lib.rs

@@ -1,3 +1,5 @@
 mod atr;
+mod dch;
 
 pub use atr::AtrStopLoss;
+pub use dch::DchStopLoss;

ta_lib/strategies/trend_follow/src/config/stoploss_config.rs

@@ -8,4 +8,7 @@ pub enum StopLossConfig {
         period: f32,
         factor: f32,
     },
+    Dch {
+        period: f32,
+    },
 }

ta_lib/strategies/trend_follow/src/mapper/stoploss_mapper.rs

@@ -15,5 +15,6 @@ pub fn map_to_stoploss(config: StopLossConfig) -> Box<dyn StopLoss> {
             period,
             factor,
         )),
+        StopLossConfig::Dch { period } => Box::new(DchStopLoss::new(period)),
     }
 }