627b2326df
Support builtin and custom generate_signals strategies with SQLite persistence, exhaustive grid scans (VectorBT comb optimization for MA crossover), professional backtest/optimize UI, and split harvester/app requirements with BuildKit pip cache.
72 lines
2.1 KiB
Python
72 lines
2.1 KiB
Python
"""Builtin strategy registry."""
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from __future__ import annotations
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import inspect
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from dataclasses import dataclass
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from typing import Any, Callable
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from strategies.builtin import ma_crossover, rsi_reversion
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SignalFn = Callable[..., tuple[Any, Any]]
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@dataclass(frozen=True)
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class BuiltinStrategy:
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key: str
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display_name: str
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description: str
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module: Any
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generate_signals: SignalFn
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default_params: dict[str, Any]
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param_grid: dict[str, list[Any]]
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source_code: str
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def optimize(self, close, init_cash: float, fees: float, metric: str, grid_override: dict | None = None):
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if self.key == "ma_crossover":
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pool = (grid_override or {}).get("window_pool", self.param_grid.get("window_pool"))
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return self.module.optimize_vectorized(
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close,
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window_pool=pool,
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init_cash=init_cash,
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fees=fees,
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metric=metric,
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)
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if self.key == "rsi_reversion":
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return self.module.optimize_grid(
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close,
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param_grid=grid_override or self.param_grid,
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init_cash=init_cash,
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fees=fees,
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metric=metric,
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)
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raise NotImplementedError(f"No optimizer for {self.key}")
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def _register(module) -> BuiltinStrategy:
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return BuiltinStrategy(
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key=module.STRATEGY_KEY,
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display_name=module.DISPLAY_NAME,
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description=module.DESCRIPTION,
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module=module,
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generate_signals=module.generate_signals,
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default_params=dict(module.DEFAULT_PARAMS),
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param_grid=dict(module.PARAM_GRID),
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source_code=inspect.getsource(module),
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)
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BUILTIN_STRATEGIES: dict[str, BuiltinStrategy] = {
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ma_crossover.STRATEGY_KEY: _register(ma_crossover),
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rsi_reversion.STRATEGY_KEY: _register(rsi_reversion),
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}
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def list_builtins() -> list[BuiltinStrategy]:
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return list(BUILTIN_STRATEGIES.values())
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def get_builtin(key: str) -> BuiltinStrategy:
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if key not in BUILTIN_STRATEGIES:
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raise KeyError(f"Unknown builtin strategy: {key}")
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return BUILTIN_STRATEGIES[key]
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