upd

YieldsLabs · Apr 5, 2024 · e926a30 · e926a30
1 parent b0846a2
commit e926a30
Showing 1 changed file with 115 additions and 75 deletions.
diff --git a/strategy/generator/bootstrap/_trend_follow.py b/strategy/generator/bootstrap/_trend_follow.py
@@ -15,45 +15,84 @@
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe
 from strategy.generator.baseline.ma import MaBaseLine
-from strategy.generator.confirm.cci import CciConfirm
 from strategy.generator.confirm.dpo import DpoConfirm
+from strategy.generator.confirm.dso import DsoConfirm
 from strategy.generator.confirm.eom import EomConfirm
 from strategy.generator.confirm.roc import RocConfirm
 from strategy.generator.confirm.rsi import RsiConfirm
 from strategy.generator.confirm.stc import StcConfirm
+from strategy.generator.exit.ast import AstExit
+from strategy.generator.exit.cci import CciExit
 from strategy.generator.exit.highlow import HighLowExit
+from strategy.generator.exit.ma import MaExit
 from strategy.generator.exit.mfi import MfiExit
+from strategy.generator.exit.rsi import RsiExit
+from strategy.generator.exit.trix import TrixExit
 from strategy.generator.pulse.adx import AdxPulse
 from strategy.generator.pulse.braid import BraidPulse
 from strategy.generator.pulse.chop import ChopPulse
 from strategy.generator.pulse.nvol import NvolPulse
 from strategy.generator.pulse.tdfi import TdfiPulse
 from strategy.generator.pulse.vo import VoPulse
+from strategy.generator.signal.ao_flip import AoFlipSignal
+from strategy.generator.signal.ao_saucer import AoSaucerSignal
+from strategy.generator.signal.apo_flip import ApoFlipSignal
+from strategy.generator.signal.bop_flip import BopFlipSignal
+from strategy.generator.signal.cc_flip import CcFlipSignal
+from strategy.generator.signal.ce_flip import CeFlipSignal
+from strategy.generator.signal.cfo_flip import CfoFlipSignal
 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.hl import HighLowSignal
+from strategy.generator.signal.kst_cross import KstCrossSignal
+from strategy.generator.signal.ma_three_cross import Ma3CrossSignal
+from strategy.generator.signal.macd_bb import MacdBbSignal
+from strategy.generator.signal.macd_color_switch import MacdColorSwitchSignal
 from strategy.generator.signal.macd_cross import MacdCrossSignal
+from strategy.generator.signal.macd_flip import MacdFlipSignal
+from strategy.generator.signal.qstick_cross import QstickCrossSignal
+from strategy.generator.signal.qstick_flip import QstickFlipSignal
+from strategy.generator.signal.roc_flip import RocFlipSignal
+from strategy.generator.signal.rsi_ma_pullback import RsiMaPullbackSignal
+from strategy.generator.signal.rsi_neutrality_cross import RsiNautralityCrossSignal
+from strategy.generator.signal.rsi_neutrality_pullback import (
+    RsiNautralityPullbackSignal,
+)
 from strategy.generator.signal.rsi_neutrality_rejection import (
     RsiNautralityRejectionSignal,
 )
+from strategy.generator.signal.rsi_supertrend import RsiSupertrendSignal
+from strategy.generator.signal.rsi_two_ma import Rsi2MaSignal
 from strategy.generator.signal.rsi_v import RsiVSignal
+from strategy.generator.signal.snatr import SnatrSignal
+from strategy.generator.signal.stc_flip import StcFlipSignal
+from strategy.generator.signal.stoch_cross import StochCrossSignal
+from strategy.generator.signal.supertrend_flip import SupertrendFlipSignal
+from strategy.generator.signal.tii_cross import TiiCrossSignal
 from strategy.generator.signal.tii_v import TiiVSignal
 from strategy.generator.signal.trend_candle import TrendCandleSignal
+from strategy.generator.signal.trix_cross import TrixCrossSignal
+from strategy.generator.signal.tsi_cross import TsiCrossSignal
+from strategy.generator.signal.tsi_flip import TsiFlipSignal
 from strategy.generator.signal.vi_cross import ViCrossSignal
+from strategy.generator.signal.vwap_bb import VwapBbSignal
+from strategy.generator.signal.vwap_cross import VwapCrossSignal
 from strategy.generator.stop_loss.atr import AtrStopLoss
 
 
 class TrendSignalType(Enum):
-    # BB = auto()
+    BB = auto()
     CANDLE = auto()
     CROSS = auto()
-    # HISTOGRAM = auto()
-    # HFT = auto()
-    # FLIP = auto()
+    HISTOGRAM = auto()
+    HFT = auto()
+    FLIP = auto()
     V = auto()
     BREAKOUT = auto()
     CUSTOM = auto()
-    # PULLBACK = auto()
-    # VOLATILITY = auto()
+    PULLBACK = auto()
+    VOLATILITY = auto()
 
 
 class TrendFollowStrategyGenerator(AbstractStrategyGenerator):
@@ -132,7 +171,8 @@ def _generate_strategy(self):
                 RocConfirm(),
                 RsiConfirm(),
                 StcConfirm(),
-                CciConfirm(),
+                DsoConfirm(),
+                # CciConfirm(),
             ]
         )
         pulse = np.random.choice(
@@ -148,13 +188,13 @@ def _generate_strategy(self):
         stop_loss = np.random.choice([AtrStopLoss()])
         exit_signal = np.random.choice(
             [
-                # AstExit(),
+                AstExit(),
                 HighLowExit(),
-                # MaExit(),
-                # RsiExit(),
+                MaExit(),
+                RsiExit(),
                 MfiExit(),
-                # CciExit(),
-                # TrixExit(),
+                CciExit(),
+                TrixExit(),
             ]
         )
 
@@ -172,7 +212,7 @@ def _generate_strategy(self):
 
     def _generate_invariants(self, base_strategy: Strategy) -> List[Strategy]:
         result = [base_strategy]
-        attributes = ["pulse"]
+        attributes = []
 
         def smooth_invariants(strategy_part):
             if not hasattr(strategy_part, "smooth_type") or not hasattr(
@@ -261,64 +301,64 @@ def factor_invariants(strategy_part):
         return result
 
     def _generate_signal(self, signal: TrendSignalType):
-        # if signal == TrendSignalType.FLIP:
-        #     return np.random.choice(
-        #         [
-        #             AoFlipSignal(),
-        #             MacdFlipSignal(),
-        #             SupertrendFlipSignal(),
-        #             RocFlipSignal(),
-        #             TrixFlipSignal(),
-        #             TsiFlipSignal(),
-        #             CeFlipSignal(),
-        #             QstickFlipSignal(),
-        #             CcFlipSignal(),
-        #             CeFlipSignal(),
-        #             StcFlipSignal(),
-        #             ApoFlipSignal(),
-        #             BopFlipSignal(),
-        #             CfoFlipSignal(),
-        #         ]
-        #     )
+        if signal == TrendSignalType.FLIP:
+            return np.random.choice(
+                [
+                    AoFlipSignal(),
+                    MacdFlipSignal(),
+                    SupertrendFlipSignal(),
+                    RocFlipSignal(),
+                    TsiFlipSignal(),
+                    TsiFlipSignal(),
+                    CeFlipSignal(),
+                    QstickFlipSignal(),
+                    CcFlipSignal(),
+                    CeFlipSignal(),
+                    StcFlipSignal(),
+                    ApoFlipSignal(),
+                    BopFlipSignal(),
+                    CfoFlipSignal(),
+                ]
+            )
         if signal == TrendSignalType.V:
             return np.random.choice([TiiVSignal(), RsiVSignal()])
-        # if signal == TrendSignalType.BB:
-        #     return np.random.choice(
-        #         [
-        #             MacdBbSignal(),
-        #             VwapBbSignal(),
-        #         ]
-        #     )
+        if signal == TrendSignalType.BB:
+            return np.random.choice(
+                [
+                    MacdBbSignal(),
+                    VwapBbSignal(),
+                ]
+            )
         if signal == TrendSignalType.CANDLE:
             return np.random.choice(
                 [
                     TrendCandleSignal(),
                 ]
             )
-        # if signal == TrendSignalType.HISTOGRAM:
-        #     return np.random.choice(
-        #         [
-        #             AoSaucerSignal(),
-        #             MacdColorSwitchSignal(),
-        #         ]
-        #     )
-        # if signal == TrendSignalType.HFT:
-        #     return np.random.choice([HighLowSignal()])
+        if signal == TrendSignalType.HISTOGRAM:
+            return np.random.choice(
+                [
+                    AoSaucerSignal(),
+                    MacdColorSwitchSignal(),
+                ]
+            )
+        if signal == TrendSignalType.HFT:
+            return np.random.choice([HighLowSignal()])
         if signal == TrendSignalType.CROSS:
             return np.random.choice(
                 [
-                    # Ma3CrossSignal(),
+                    Ma3CrossSignal(),
                     MacdCrossSignal(smooth_type=StaticParameter(Smooth.ZLEMA)),
-                    # TiiCrossSignal(),
-                    # RsiNautralityCrossSignal(),
-                    # TsiCrossSignal(),
-                    # DiCrossSignal(),
-                    # QstickCrossSignal(),
-                    # VwapCrossSignal(),
+                    TiiCrossSignal(),
+                    RsiNautralityCrossSignal(),
+                    TsiCrossSignal(),
+                    DiCrossSignal(),
+                    QstickCrossSignal(),
+                    VwapCrossSignal(),
                     DmiCrossSignal(),
-                    # StochCrossSignal(),
-                    # KstCrossSignal(),
-                    # TrixCrossSignal(),
+                    StochCrossSignal(),
+                    KstCrossSignal(),
+                    TrixCrossSignal(),
                     ViCrossSignal(),
                 ]
             )
@@ -328,25 +368,25 @@ def _generate_signal(self, signal: TrendSignalType):
                     Dch2MaSignal(),
                 ]
             )
-        # if signal == TrendSignalType.PULLBACK:
-        #     return np.random.choice(
-        #         [
-        #             RsiNautralityPullbackSignal(),
-        #             RsiMaPullbackSignal(),
-        #         ]
-        #     )
-
-        # if signal == TrendSignalType.VOLATILITY:
-        #     return np.random.choice(
-        #         [
-        #             SnatrSignal(),
-        #         ]
-        #     )
+        if signal == TrendSignalType.PULLBACK:
+            return np.random.choice(
+                [
+                    RsiNautralityPullbackSignal(),
+                    RsiMaPullbackSignal(),
+                ]
+            )
+
+        if signal == TrendSignalType.VOLATILITY:
+            return np.random.choice(
+                [
+                    SnatrSignal(),
+                ]
+            )
 
         return np.random.choice(
             [
                 RsiNautralityRejectionSignal(),
-                # RsiSupertrendSignal(),
-                # Rsi2MaSignal(),
+                RsiSupertrendSignal(),
+                Rsi2MaSignal(),
             ]
         )