upd

strategy/generator/bootstrap/_trend_follow.py

@@ -23,6 +23,7 @@
 from strategy.generator.confirm.rsi_neutrality import RsiNeutralityConfirm
 from strategy.generator.confirm.rsi_signalline import RsiSignalLineConfirm
 from strategy.generator.confirm.stc import StcConfirm
+from strategy.generator.confirm.vi import ViConfirm
 from strategy.generator.exit.ast import AstExit
 from strategy.generator.exit.cci import CciExit
 from strategy.generator.exit.highlow import HighLowExit
@@ -43,6 +44,7 @@
 from strategy.generator.signal.flip.supertrend_flip import SupertrendFlipSignal
 from strategy.generator.signal.ma.ma2_rsi import Ma2RsiSignal
 from strategy.generator.signal.ma.ma3_cross import Ma3CrossSignal
+from strategy.generator.signal.ma.ma_cross import MaCrossSignal
 from strategy.generator.signal.ma.ma_testing_ground import MaTestingGroundSignal
 from strategy.generator.signal.ma.vwap_cross import VwapCrossSignal
 from strategy.generator.signal.neutrality.dso_neutrality_cross import (
@@ -181,6 +183,7 @@ def _generate_strategy(self):
                 StcConfirm(),
                 DsoConfirm(),
                 CciConfirm(),
+                ViConfirm(),
             ]
         )
         pulse = np.random.choice(
@@ -374,7 +377,7 @@ def _generate_signal(self, signal: TrendSignalType):
                     MaTestingGroundSignal(),
                     # MaQuadrupleSignal(),
                     # MaSurpassSignal(),
-                    # MaCrossSignal(),
+                    MaCrossSignal(),
                 ]
             )
         if signal == TrendSignalType.BREAKOUT:

strategy/generator/confirm/base.py

@@ -14,6 +14,7 @@ class ConfirmType(Enum):
     RsiSignalLine = "RsiSignalLine"
     RsiNeutrality = "RsiNeutrality"
     Stc = "Stc"
+    Vi = "Vi"
 
     def __str__(self):
         return self.value.upper()

strategy/generator/confirm/vi.py

@@ -0,0 +1,11 @@
+from dataclasses import dataclass
+
+from core.models.parameter import Parameter, StaticParameter
+from strategy.generator.confirm.base import Confirm, ConfirmType
+
+
+@dataclass(frozen=True)
+class ViConfirm(Confirm):
+    type: ConfirmType = ConfirmType.Vi
+    atr_period: Parameter = StaticParameter(1.0)
+    period: Parameter = StaticParameter(14.0)

ta_lib/strategies/confirm/src/vi.rs

@@ -0,0 +1,34 @@
+use base::prelude::*;
+use core::prelude::*;
+use trend::vi;
+
+pub struct ViConfirm {
+    atr_period: usize,
+    period: usize,
+}
+
+impl ViConfirm {
+    pub fn new(atr_period: f32, period: f32) -> Self {
+        Self {
+            atr_period: atr_period as usize,
+            period: period as usize,
+        }
+    }
+}
+
+impl Confirm for ViConfirm {
+    fn lookback(&self) -> usize {
+        std::cmp::max(self.atr_period, self.period)
+    }
+
+    fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
+        let (vip, vim) = vi(
+            &data.high,
+            &data.low,
+            &data.atr(self.atr_period, Smooth::SMMA),
+            self.period,
+        );
+
+        (vip.sgt(&vim), vip.slt(&vim))
+    }
+}

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

@@ -49,4 +49,8 @@ pub enum ConfirmConfig {
         k_period: f32,
         d_period: f32,
     },
+    Vi {
+        atr_period: f32,
+        period: f32,
+    },
 }

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

@@ -66,6 +66,7 @@ pub fn map_to_confirm(config: ConfirmConfig) -> Box<dyn Confirm> {
             threshold,
         )),
         ConfirmConfig::Roc { period } => Box::new(RocConfirm::new(period)),
+        ConfirmConfig::Vi { atr_period, period } => Box::new(ViConfirm::new(atr_period, period)),
         ConfirmConfig::Stc {
             smooth_type,
             fast_period,