28 lines
1 KiB
Python
28 lines
1 KiB
Python
 | from core.models import Signal
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from strategies.base import Strategy
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from utils.indicators import atr
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class SessionBreakout(Strategy):
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name = "session_breakout"
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def __init__(self, timeframe, params):
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super().__init__(timeframe, params)
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self.traded_day = {}
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def on_bar(self, symbol, df):
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p = self.p
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last = df.iloc[-1]
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day, h = last.time.date(), last.time.hour
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if not (p["range_end"] <= h < p["trade_until"]) or self.traded_day.get(symbol) == day:
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return None
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today = df[df.time.dt.date == day]
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rng = today[(today.time.dt.hour >= p["range_start"]) & (today.time.dt.hour < p["range_end"])]
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if len(rng) < 4:
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return None
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hi, lo = rng.high.max(), rng.low.min()
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a = atr(df, 14).iloc[-1]
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side = "buy" if last.close > hi else "sell" if last.close < lo else None
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if side:
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self.traded_day[symbol] = day
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sl = p["sl_atr"] * a
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return Signal(symbol, side, sl, sl * p["rr"], self.name, "Range breakout")
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