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src/strategies/donchian_breakout.py

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+#src/strategies/donchian_breakout.py
+"""
+Estrategia de breakout de rango Donchian.
+"""
+from __future__ import annotations
+
+import pandas as pd
+
+from ..core.strategy import Strategy, Signal, calculate_donchian_channels, cross_above, cross_below
+
+
+class DonchianBreakout(Strategy):
+    """
+    Breakout de máximos/mínimos de N barras.
+
+    Señales:
+    - BUY: close rompe por encima del máximo Donchian previo
+    - SELL: close rompe por debajo del mínimo Donchian previo
+    """
+
+    strategy_id = "donchian_breakout"
+    strategy_family = "breakout"
+    display_name = "Donchian Breakout"
+    description = "Breakout de rango basado en máximos y mínimos rolling."
+
+    def __init__(self, donchian_window: int = 20, exit_window: int = 10):
+        params = {
+            "donchian_window": donchian_window,
+            "exit_window": exit_window,
+        }
+        super().__init__(name="Donchian Breakout", params=params)
+
+        self.donchian_window = int(donchian_window)
+        self.exit_window = int(exit_window)
+
+    @classmethod
+    def default_parameters(cls) -> dict:
+        return {
+            "donchian_window": 20,
+            "exit_window": 10,
+        }
+
+    @classmethod
+    def strategy_metadata(cls) -> dict:
+        return {
+            "strategy_id": cls.strategy_id,
+            "name": cls.display_name,
+            "family": cls.strategy_family,
+            "direction": "long_short",
+            "description": cls.description,
+        }
+
+    @classmethod
+    def strategy_definition(cls) -> dict:
+        return {
+            "meta": cls.strategy_metadata(),
+            "defaults": cls.default_parameters(),
+            "parameters_schema": cls.parameters_schema(),
+        }
+
+    @classmethod
+    def parameters_schema(cls) -> dict:
+        return {
+            "donchian_window": {
+                "type": "int",
+                "min": 2,
+                "max": 300,
+                "default": 20,
+            },
+            "exit_window": {
+                "type": "int",
+                "min": 2,
+                "max": 300,
+                "default": 10,
+            },
+        }
+
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        high = data["high"]
+        low = data["low"]
+        close = data["close"]
+
+        data["donchian_high"], data["donchian_low"] = calculate_donchian_channels(
+            high,
+            low,
+            period=self.donchian_window,
+            shift=1,
+        )
+
+        data["exit_high"], data["exit_low"] = calculate_donchian_channels(
+            high,
+            low,
+            period=self.exit_window,
+            shift=1,
+        )
+
+        data["breakout_up"] = cross_above(close, data["donchian_high"])
+        data["breakout_down"] = cross_below(close, data["donchian_low"])
+
+        data["lose_exit_low"] = cross_below(close, data["exit_low"])
+        data["lose_exit_high"] = cross_above(close, data["exit_high"])
+
+        return data
+
+    def generate_signal(self, idx: int) -> Signal:
+        if self.data is None:
+            raise ValueError("Data no establecida")
+
+        if idx < 1:
+            return Signal.HOLD
+
+        row = self.data.iloc[idx]
+
+        needed = ["donchian_high", "donchian_low", "exit_high", "exit_low"]
+        if any(pd.isna(row[c]) for c in needed):
+            return Signal.HOLD
+
+        if bool(row["breakout_up"]) and self.current_position <= 0:
+            return Signal.BUY
+
+        if bool(row["breakout_down"]) and self.current_position >= 0:
+            return Signal.SELL
+
+        if self.current_position > 0 and bool(row["lose_exit_low"]):
+            return Signal.SELL
+
+        if self.current_position < 0 and bool(row["lose_exit_high"]):
+            return Signal.BUY
+
+        return Signal.HOLD