diff --git a/quants_lab/controllers/supertrend.py b/quants_lab/controllers/supertrend.py new file mode 100644 index 0000000..6da96c4 --- /dev/null +++ b/quants_lab/controllers/supertrend.py @@ -0,0 +1,52 @@ +import time + +import pandas as pd +from pydantic import Field + +from hummingbot.smart_components.executors.position_executor.position_executor import PositionExecutor +from hummingbot.smart_components.strategy_frameworks.data_types import OrderLevel +from hummingbot.smart_components.strategy_frameworks.directional_trading.directional_trading_controller_base import ( + DirectionalTradingControllerBase, + DirectionalTradingControllerConfigBase, +) + + +class SuperTrendConfig(DirectionalTradingControllerConfigBase): + strategy_name: str = "supertrend" + length: int = Field(default=20, ge=5, le=200) + multiplier: float = Field(default=4.0, ge=2.0, le=7.0) + percentage_threshold: float = Field(default=0.01, ge=0.005, le=0.05) + + +class SuperTrend(DirectionalTradingControllerBase): + def __init__(self, config: SuperTrendConfig): + super().__init__(config) + self.config = config + + def early_stop_condition(self, executor: PositionExecutor, order_level: OrderLevel) -> bool: + # If an executor has an active position, should we close it based on a condition. This feature is not available + # for the backtesting yet + return False + + def cooldown_condition(self, executor: PositionExecutor, order_level: OrderLevel) -> bool: + # After finishing an order, the executor will be in cooldown for a certain amount of time. + # This prevents the executor from creating a new order immediately after finishing one and execute a lot + # of orders in a short period of time from the same side. + if executor.close_timestamp and executor.close_timestamp + order_level.cooldown_time > time.time(): + return True + return False + + def get_processed_data(self) -> pd.DataFrame: + df = self.candles[0].candles_df + df.ta.supertrend(length=self.config.length, multiplier=self.config.multiplier, append=True) + df["percentage_distance"] = abs(df["close"] - df[f"SUPERT_{self.config.length}_{self.config.multiplier}"]) / df["close"] + + # Generate long and short conditions + long_condition = (df[f"SUPERTd_{self.config.length}_{self.config.multiplier}"] == 1) & (df["percentage_distance"] < self.config.percentage_threshold) + short_condition = (df[f"SUPERTd_{self.config.length}_{self.config.multiplier}"] == -1) & (df["percentage_distance"] < self.config.percentage_threshold) + + # Choose side + df['signal'] = 0 + df.loc[long_condition, 'signal'] = 1 + df.loc[short_condition, 'signal'] = -1 + return df