DaM
f85c522f22
- Implemented portfolio engine with risk-based allocation (50/50) - Added equity-based metrics for system-level evaluation - Validated portfolio against standalone strategies - Reduced max drawdown and volatility at system level - Quantitative decision closed before paper trading phase
96 lines
2.4 KiB
Python
96 lines
2.4 KiB
Python
# src/strategies/mean_reversion.py
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import pandas as pd
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import numpy as np
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from src.strategies.base import Strategy
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from src.core.strategy import Signal
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class RSIMeanReversion(Strategy):
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"""
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Estrategia de reversión a la media basada en RSI.
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Idea:
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- Compra cuando el mercado está sobrevendido
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- Vende cuando el precio rebota hacia la media
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Señales:
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- BUY: RSI cruza por debajo de oversold
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- SELL: RSI cruza por encima de overbought
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- HOLD: en cualquier otro caso
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Parámetros:
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period: periodo del RSI
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oversold: nivel de sobreventa
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overbought: nivel de sobrecompra
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Valores típicos:
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period = 14
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oversold = 30
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overbought = 70
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"""
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def __init__(
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self,
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period: int = 14,
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oversold: float = 30.0,
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overbought: float = 70.0,
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):
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super().__init__(
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name="RSI_MeanReversion",
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params={
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"period": period,
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"oversold": oversold,
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"overbought": overbought,
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},
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)
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self.period = period
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self.oversold = oversold
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self.overbought = overbought
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# --------------------------------------------------
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def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
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"""
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Calcula el RSI clásico (Wilder).
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Añade:
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- data["rsi"]
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"""
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delta = data["close"].diff()
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gain = delta.clip(lower=0)
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loss = -delta.clip(upper=0)
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avg_gain = gain.ewm(alpha=1 / self.period, adjust=False).mean()
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avg_loss = loss.ewm(alpha=1 / self.period, adjust=False).mean()
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rs = avg_gain / avg_loss
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rsi = 100 - (100 / (1 + rs))
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data["rsi"] = rsi
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return data
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# --------------------------------------------------
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def generate_signal(self, idx: int) -> Signal:
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"""
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Genera señales de trading basadas en cruces del RSI.
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"""
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if idx == 0:
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return Signal.HOLD
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rsi_prev = self.data["rsi"].iloc[idx - 1]
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rsi_curr = self.data["rsi"].iloc[idx]
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# BUY → cruce hacia abajo de oversold
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if rsi_prev > self.oversold and rsi_curr <= self.oversold:
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return Signal.BUY
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# SELL → cruce hacia arriba de overbought
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if rsi_prev < self.overbought and rsi_curr >= self.overbought:
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return Signal.SELL
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return Signal.HOLD
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