c9ae507bb7
- Introduced a comprehensive framework for incremental trading strategies, including modules for strategy execution, backtesting, and data processing. - Added key components such as `IncTrader`, `IncBacktester`, and various trading strategies (e.g., `MetaTrendStrategy`, `BBRSStrategy`, `RandomStrategy`) to facilitate real-time trading and backtesting. - Implemented a robust backtesting framework with configuration management, parallel execution, and result analysis capabilities. - Developed an incremental indicators framework to support real-time data processing with constant memory usage. - Enhanced documentation to provide clear usage examples and architecture overview, ensuring maintainability and ease of understanding for future development. - Ensured compatibility with existing strategies and maintained a focus on performance and scalability throughout the implementation.
91 lines
2.0 KiB
Python
91 lines
2.0 KiB
Python
"""
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Incremental Indicators Framework
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This module provides incremental indicator implementations for real-time trading strategies.
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All indicators maintain constant memory usage and provide identical results to traditional
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batch calculations.
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Available Indicators:
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- Base classes: IndicatorState, SimpleIndicatorState, OHLCIndicatorState
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- Moving Averages: MovingAverageState, ExponentialMovingAverageState
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- Volatility: ATRState, SimpleATRState
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- Trend: SupertrendState, SupertrendCollection
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- Bollinger Bands: BollingerBandsState, BollingerBandsOHLCState
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- RSI: RSIState, SimpleRSIState
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Example:
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from IncrementalTrader.strategies.indicators import SupertrendState, ATRState
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# Create indicators
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atr = ATRState(period=14)
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supertrend = SupertrendState(period=10, multiplier=3.0)
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# Update with OHLC data
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ohlc = {'open': 100, 'high': 105, 'low': 98, 'close': 103}
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atr_value = atr.update(ohlc)
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st_result = supertrend.update(ohlc)
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"""
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# Base indicator classes
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from .base import (
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IndicatorState,
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SimpleIndicatorState,
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OHLCIndicatorState,
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)
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# Moving average indicators
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from .moving_average import (
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MovingAverageState,
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ExponentialMovingAverageState,
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)
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# Volatility indicators
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from .atr import (
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ATRState,
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SimpleATRState,
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)
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# Trend indicators
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from .supertrend import (
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SupertrendState,
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SupertrendCollection,
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)
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# Bollinger Bands indicators
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from .bollinger_bands import (
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BollingerBandsState,
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BollingerBandsOHLCState,
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)
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# RSI indicators
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from .rsi import (
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RSIState,
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SimpleRSIState,
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)
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__all__ = [
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# Base classes
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"IndicatorState",
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"SimpleIndicatorState",
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"OHLCIndicatorState",
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# Moving averages
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"MovingAverageState",
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"ExponentialMovingAverageState",
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# Volatility indicators
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"ATRState",
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"SimpleATRState",
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# Trend indicators
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"SupertrendState",
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"SupertrendCollection",
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# Bollinger Bands
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"BollingerBandsState",
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"BollingerBandsOHLCState",
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# RSI indicators
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"RSIState",
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"SimpleRSIState",
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] |