fd5a59fc39
- Introduced a new `strategies` package containing the core structure for trading strategies, including `BaseStrategy`, `StrategyFactory`, and various strategy implementations (EMA, RSI, MACD). - Added utility functions for signal detection and validation in `strategies/utils.py`, enhancing modularity and maintainability. - Updated `pyproject.toml` to include the new `strategies` package in the build configuration. - Implemented comprehensive unit tests for the strategy foundation components, ensuring reliability and adherence to project standards. These changes establish a solid foundation for the strategy engine, aligning with project goals for modularity, performance, and maintainability.
72 lines
1.9 KiB
Python
72 lines
1.9 KiB
Python
"""
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Strategy Data Types and Signal Definitions
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This module provides data types for strategy calculations, signals,
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and results in a standardized format.
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"""
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from dataclasses import dataclass
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from datetime import datetime
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from typing import Dict, Optional, Any, List
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from enum import Enum
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class SignalType(str, Enum):
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"""
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Types of trading signals that strategies can generate.
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"""
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BUY = "buy"
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SELL = "sell"
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HOLD = "hold"
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ENTRY_LONG = "entry_long"
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EXIT_LONG = "exit_long"
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ENTRY_SHORT = "entry_short"
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EXIT_SHORT = "exit_short"
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STOP_LOSS = "stop_loss"
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TAKE_PROFIT = "take_profit"
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@dataclass
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class StrategySignal:
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"""
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Container for individual strategy signals.
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Attributes:
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timestamp: Signal timestamp (right-aligned with candle)
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symbol: Trading symbol
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timeframe: Candle timeframe
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signal_type: Type of signal (buy/sell/hold etc.)
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price: Price at which signal was generated
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confidence: Signal confidence score (0.0 to 1.0)
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metadata: Additional signal metadata (e.g., indicator values)
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"""
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timestamp: datetime
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symbol: str
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timeframe: str
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signal_type: SignalType
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price: float
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confidence: float = 1.0
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metadata: Optional[Dict[str, Any]] = None
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@dataclass
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class StrategyResult:
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"""
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Container for strategy calculation results.
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Attributes:
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timestamp: Candle timestamp (right-aligned)
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symbol: Trading symbol
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timeframe: Candle timeframe
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strategy_name: Name of the strategy that generated this result
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signals: List of signals generated for this timestamp
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indicators_used: Dictionary of indicator values used in calculation
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metadata: Additional calculation metadata
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"""
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timestamp: datetime
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symbol: str
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timeframe: str
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strategy_name: str
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signals: List[StrategySignal]
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indicators_used: Dict[str, float]
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metadata: Optional[Dict[str, Any]] = None |