27 lines
1.3 KiB
Python
27 lines
1.3 KiB
Python
 | from core.models import Signal
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from strategies.base import Strategy
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from utils.indicators import ema, rsi, atr, adx
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class RegimeRsi(Strategy):
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"""Stratégie par régime (ADX) : pullback RSI en range, reprise de momentum en tendance.
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SL et TP fixes basés sur l'ATR. Pas de martingale, pas de grille."""
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name = "regime_rsi"
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def on_bar(self, symbol, df):
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p = self.p
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f, s = ema(df.close, p["fast"]), ema(df.close, p["slow"])
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r = rsi(df.close, p["rsi_period"])
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ad, a = adx(df, 14).iloc[-1], atr(df, 14).iloc[-1]
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if ad > p["adx_max"]: # mouvement trop étendu: on ne poursuit pas
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return None
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up = f.iloc[-1] > s.iloc[-1]
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r1, r0 = r.iloc[-1], r.iloc[-2]
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if ad < p["adx_threshold"]: # marché calme / range: RSI "assoupli"
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buy = up and r1 < p["rsi_buy_range"] and r1 > r0
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sell = (not up) and r1 > p["rsi_sell_range"] and r1 < r0
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else: # tendance: reprise de momentum autour de 50
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buy = up and r0 < 50 <= r1 < p["rsi_ob"]
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sell = (not up) and r0 > 50 >= r1 > p["rsi_os"]
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if buy or sell:
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return Signal(symbol, "buy" if buy else "sell", p["sl_atr"] * a, p["tp_atr"] * a,
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self.name, "range" if ad < p["adx_threshold"] else "trend")
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