""" Strategy factory for creating strategy instances with their parameters. Centralizes strategy creation and parameter configuration. """ from dataclasses import dataclass, field from typing import Any import numpy as np from strategies.base import BaseStrategy @dataclass class StrategyConfig: """ Configuration for a strategy including default and grid parameters. Attributes: strategy_class: The strategy class to instantiate default_params: Parameters for single backtest runs grid_params: Parameters for grid search optimization """ strategy_class: type[BaseStrategy] default_params: dict[str, Any] = field(default_factory=dict) grid_params: dict[str, Any] = field(default_factory=dict) def _build_registry() -> dict[str, StrategyConfig]: """ Build the strategy registry lazily to avoid circular imports. Returns: Dictionary mapping strategy names to their configurations """ # Import here to avoid circular imports from strategies.examples import MaCrossStrategy, RsiStrategy from strategies.supertrend import MetaSupertrendStrategy from strategies.regime_strategy import RegimeReversionStrategy return { "rsi": StrategyConfig( strategy_class=RsiStrategy, default_params={ 'period': 14, 'rsi_lower': 30, 'rsi_upper': 70 }, grid_params={ 'period': np.arange(10, 25, 2), 'rsi_lower': [20, 30, 40], 'rsi_upper': [60, 70, 80] } ), "macross": StrategyConfig( strategy_class=MaCrossStrategy, default_params={ 'fast_window': 10, 'slow_window': 20 }, grid_params={ 'fast_window': np.arange(5, 20, 5), 'slow_window': np.arange(20, 60, 10) } ), "meta_st": StrategyConfig( strategy_class=MetaSupertrendStrategy, default_params={ 'period1': 12, 'multiplier1': 3.0, 'period2': 10, 'multiplier2': 1.0, 'period3': 11, 'multiplier3': 2.0 }, grid_params={ 'multiplier1': [2.0, 3.0, 4.0], 'period1': [10, 12, 14], 'period2': 11, 'multiplier2': 2.0, 'period3': 12, 'multiplier3': 1.0 } ), "regime": StrategyConfig( strategy_class=RegimeReversionStrategy, default_params={ # Optimal from walk-forward research (research/horizon_optimization_results.csv) 'horizon': 102, # 4.25 days - best Net PnL 'z_window': 24, # 24h rolling Z-score window 'z_entry_threshold': 1.0, # Enter when |Z| > 1.0 'profit_target': 0.005, # 0.5% target for ML labels 'stop_loss': 0.06, # 6% stop loss 'take_profit': 0.05, # 5% take profit 'train_ratio': 0.7, # 70% train / 30% test 'trend_window': 0, # Disabled SMA filter 'use_funding_filter': True, # Enabled Funding filter 'funding_threshold': 0.005 # 0.005% threshold (Proven profitable) }, grid_params={ 'horizon': [84, 96, 102, 108, 120], 'z_entry_threshold': [0.8, 1.0, 1.2], 'stop_loss': [0.04, 0.06, 0.08], 'funding_threshold': [0.005, 0.01, 0.02] } ) } # Module-level cache for the registry _REGISTRY_CACHE: dict[str, StrategyConfig] | None = None def get_registry() -> dict[str, StrategyConfig]: """Get the strategy registry, building it on first access.""" global _REGISTRY_CACHE if _REGISTRY_CACHE is None: _REGISTRY_CACHE = _build_registry() return _REGISTRY_CACHE def get_strategy_names() -> list[str]: """ Get list of available strategy names. Returns: List of strategy name strings """ return list(get_registry().keys()) def get_strategy(name: str, is_grid: bool = False) -> tuple[BaseStrategy, dict[str, Any]]: """ Create a strategy instance with appropriate parameters. Args: name: Strategy identifier (e.g., 'rsi', 'macross', 'meta_st') is_grid: If True, return grid search parameters Returns: Tuple of (strategy instance, parameters dict) Raises: KeyError: If strategy name is not found in registry """ registry = get_registry() if name not in registry: available = ", ".join(registry.keys()) raise KeyError(f"Unknown strategy '{name}'. Available: {available}") config = registry[name] strategy = config.strategy_class() params = config.grid_params if is_grid else config.default_params return strategy, params.copy()