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(feat) refactor bollinger v1

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This commit is contained in:
cardosofede
2023-10-03 16:34:06 -03:00
parent f0f0c0e944
commit 9205863af1
1 changed files with 9 additions and 13 deletions
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22
quants_lab/controllers/bollinger_v1.py
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@@ -1,3 +1,4 @@
import time
from typing import Optional
import pandas as pd
@@ -9,18 +10,17 @@ from hummingbot.smart_components.strategy_frameworks.directional_trading import
from pydantic import Field
class BollingerConf(DirectionalTradingControllerConfigBase):
strategy_name = "bollinger"
bb_length: int = Field(default=100, ge=2, le=1000)
bb_std: float = Field(default=2.0, ge=0.5, le=4.0)
bb_long_threshold: float = Field(default=0.0, ge=-3.0, le=0.5)
bb_short_threshold: float = Field(default=1.0, ge=0.5, le=3.0)
std_span: Optional[int] = Field(default=100, ge=100, le=400)
class BollingerV1Conf(DirectionalTradingControllerConfigBase):
strategy_name = "bollinger_v1"
bb_length: int = Field(default=100, ge=100, le=400)
bb_std: float = Field(default=2.0, ge=2.0, le=3.0)
bb_long_threshold: float = Field(default=0.0, ge=-1.0, le=0.2)
bb_short_threshold: float = Field(default=1.0, ge=0.8, le=2.0)
class Bollinger(DirectionalTradingControllerBase):
class BollingerV1(DirectionalTradingControllerBase):
def __init__(self, config: BollingerConf):
def __init__(self, config: BollingerV1Conf):
super().__init__(config)
self.config = config
@@ -54,10 +54,6 @@ class Bollinger(DirectionalTradingControllerBase):
df["signal"] = 0
df.loc[long_condition, "signal"] = 1
df.loc[short_condition, "signal"] = -1
# Optional: Generate spread multiplier
if self.config.std_span:
df["target"] = df["close"].rolling(self.config.std_span).std() / df["close"]
return df
def extra_columns_to_show(self):