TCPDashboard/strategies/utils.py

"""
Trading Strategy Utilities

This module provides utility functions for managing trading strategy
configurations and validation.
"""

from typing import Dict, Any, List, Tuple
import pandas as pd
import numpy as np


def create_default_strategies_config() -> Dict[str, Dict[str, Any]]:
    """
    Create default configuration for common trading strategies.
    
    Returns:
        Dictionary with default strategy configurations
    """
    return {
        'ema_crossover_default': {'strategy': 'ema_crossover', 'fast_period': 12, 'slow_period': 26},
        'rsi_default': {'strategy': 'rsi', 'period': 14, 'overbought': 70, 'oversold': 30},
        'macd_default': {'strategy': 'macd', 'fast_period': 12, 'slow_period': 26, 'signal_period': 9}
    }


def create_indicator_key(indicator_config: Dict[str, Any]) -> str:
    """
    Create a unique key for an indicator configuration.
    This function is shared between StrategyFactory and individual strategies
    to ensure consistency and reduce duplication.
    
    Args:
        indicator_config: Indicator configuration
        
    Returns:
        Unique string key for this indicator configuration
    """
    indicator_type = indicator_config.get('type', 'unknown')
    
    # Common parameters that should be part of the key
    key_params = []
    for param in ['period', 'fast_period', 'slow_period', 'signal_period', 'std_dev']:
        if param in indicator_config:
            key_params.append(f"{param}_{indicator_config[param]}")
    
    if key_params:
        return f"{indicator_type}_{'_'.join(key_params)}"
    else:
        return f"{indicator_type}_default"


def detect_crossover_signals_vectorized(df: pd.DataFrame, 
                                       fast_col: str, 
                                       slow_col: str) -> Tuple[pd.Series, pd.Series]:
    """
    Detect crossover signals using vectorized operations for better performance.
    
    Args:
        df: DataFrame with indicator data
        fast_col: Column name for fast line (e.g., 'ema_fast')
        slow_col: Column name for slow line (e.g., 'ema_slow')
        
    Returns:
        Tuple of (bullish_crossover_mask, bearish_crossover_mask) as boolean Series
    """
    # Get previous values using shift
    fast_prev = df[fast_col].shift(1)
    slow_prev = df[slow_col].shift(1)
    fast_curr = df[fast_col]
    slow_curr = df[slow_col]
    
    # Bullish crossover: fast was <= slow, now fast > slow
    bullish_crossover = (fast_prev <= slow_prev) & (fast_curr > slow_curr)
    
    # Bearish crossover: fast was >= slow, now fast < slow  
    bearish_crossover = (fast_prev >= slow_prev) & (fast_curr < slow_curr)
    
    # Ensure no signals on first row (index 0) where there's no previous value
    bullish_crossover.iloc[0] = False
    bearish_crossover.iloc[0] = False
    
    return bullish_crossover, bearish_crossover


def detect_threshold_signals_vectorized(df: pd.DataFrame,
                                       indicator_col: str,
                                       upper_threshold: float,
                                       lower_threshold: float) -> Tuple[pd.Series, pd.Series]:
    """
    Detect threshold crossing signals using vectorized operations (for RSI, etc.).
    
    Args:
        df: DataFrame with indicator data
        indicator_col: Column name for indicator (e.g., 'rsi')
        upper_threshold: Upper threshold (e.g., 70 for RSI overbought)
        lower_threshold: Lower threshold (e.g., 30 for RSI oversold)
        
    Returns:
        Tuple of (buy_signal_mask, sell_signal_mask) as boolean Series
    """
    # Get previous values using shift
    indicator_prev = df[indicator_col].shift(1)
    indicator_curr = df[indicator_col]
    
    # Buy signal: was <= lower_threshold, now > lower_threshold (oversold to normal)
    buy_signal = (indicator_prev <= lower_threshold) & (indicator_curr > lower_threshold)
    
    # Sell signal: was >= upper_threshold, now < upper_threshold (overbought to normal)
    sell_signal = (indicator_prev >= upper_threshold) & (indicator_curr < upper_threshold)
    
    # Ensure no signals on first row (index 0) where there's no previous value
    buy_signal.iloc[0] = False
    sell_signal.iloc[0] = False
    
    return buy_signal, sell_signal


def validate_strategy_config(config: Dict[str, Any]) -> bool:
    """
    Validate trading strategy configuration.
    
    Args:
        config: Strategy configuration dictionary
        
    Returns:
        True if configuration is valid, False otherwise
    """
    required_fields = ['strategy']
    
    # Check required fields
    for field in required_fields:
        if field not in config:
            return False
    
    # Validate strategy type
    valid_types = ['ema_crossover', 'rsi', 'macd']
    if config['strategy'] not in valid_types:
        return False
    
    # Basic validation for common parameters based on strategy type
    strategy_type = config['strategy']
    if strategy_type == 'ema_crossover':
        if not all(k in config for k in ['fast_period', 'slow_period']):
            return False
        if not (isinstance(config['fast_period'], int) and config['fast_period'] > 0 and
                isinstance(config['slow_period'], int) and config['slow_period'] > 0 and
                config['fast_period'] < config['slow_period']):
            return False
    elif strategy_type == 'rsi':
        if not all(k in config for k in ['period', 'overbought', 'oversold']):
            return False
        if not (isinstance(config['period'], int) and config['period'] > 0 and
                isinstance(config['overbought'], (int, float)) and isinstance(config['oversold'], (int, float)) and
                0 <= config['oversold'] < config['overbought'] <= 100):
            return False
    elif strategy_type == 'macd':
        if not all(k in config for k in ['fast_period', 'slow_period', 'signal_period']):
            return False
        if not (isinstance(config['fast_period'], int) and config['fast_period'] > 0 and
                isinstance(config['slow_period'], int) and config['slow_period'] > 0 and
                isinstance(config['signal_period'], int) and config['signal_period'] > 0 and
                config['fast_period'] < config['slow_period']):
            return False
            
    return True