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YieldsLabs · Apr 22, 2024 · d3d4318 · d3d4318
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commit d3d4318
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Showing 3 changed files with 89 additions and 7 deletions.
diff --git a/config.default.ini b/config.default.ini
@@ -12,23 +12,23 @@ window_size = 2
 
 [position]
 risk_reward_ratio = 1.618
-trade_duration = 1800
-twap_duration = 60
+trade_duration = 900
+twap_duration = 180
 max_order_slice = 13
 order_expiration_time = 8
 max_order_breach = 3
 stop_loss_threshold = 0.5
 risk_factor = 0.618
 tp_factor = 2.236
-sl_factor = 1.618
-trl_factor = 0.618
+sl_factor = 2.236
+trl_factor = 1.236
 depth = 80
 
 [portfolio]
-risk_per_trade = 0.0005
+risk_per_trade = 0.005
 account_size = 1000
 cagr_threshold = 0.01
-sharpe_ratio_threshold = 0.3
+sharpe_ratio_threshold = 0.236
 total_trades_threshold = 8
 
 [system]

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)
-    bb_smooth: Parameter = StaticParameter(Smooth.EMA)
+    bb_smooth: Parameter = StaticParameter(Smooth.SMA)
     bb_period: Parameter = StaticParameter(50.0)
     factor: Parameter = StaticParameter(2.0)
diff --git a/ta_lib/strategies/signal/src/reversal/dmi_reversal.rs b/ta_lib/strategies/signal/src/reversal/dmi_reversal.rs
@@ -38,3 +38,85 @@ impl Signal for DmiReversalSignal {
         )
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use core::prelude::*;
+    use std::collections::VecDeque;
+
+    #[test]
+    fn test_signal_dmi_reversal() {
+        let signal = DmiReversalSignal::new(Smooth::SMMA, 3.0, 3.0);
+        let data = VecDeque::from([
+            OHLCV {
+                open: 0.010631,
+                high: 0.010655,
+                low: 0.010612,
+                close: 0.010651,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010651,
+                high: 0.010671,
+                low: 0.010596,
+                close: 0.010665,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010665,
+                high: 0.010720,
+                low: 0.010661,
+                close: 0.010693,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010693,
+                high: 0.010711,
+                low: 0.010651,
+                close: 0.010698,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010698,
+                high: 0.010761,
+                low: 0.010675,
+                close: 0.010688,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010688,
+                high: 0.010688,
+                low: 0.010614,
+                close: 0.010625,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010625,
+                high: 0.010629,
+                low: 0.010533,
+                close: 0.010548,
+                volume: 100.0,
+            },
+            OHLCV {
+                open: 0.010548,
+                high: 0.010563,
+                low: 0.010501,
+                close: 0.010515,
+                volume: 100.0,
+            },
+        ]);
+        let series = OHLCVSeries::from_data(&data);
+
+        let (dip, dim) = signal.generate(&series);
+
+        let expected_long_signal = vec![false, false, false, false, false, false, false, false];
+        let expected_short_signal = vec![false, false, false, false, false, true, false, false];
+
+        let result_long_signal: Vec<bool> = dip.into();
+        let result_short_signal: Vec<bool> = dim.into();
+
+        assert_eq!(result_long_signal, expected_long_signal);
+        assert_eq!(result_short_signal, expected_short_signal);
+    }
+}