Initial public release

hydra/strategy/signal.py

@@ -0,0 +1,57 @@
+# hydra/strategy/signal.py
+import time
+from dataclasses import dataclass
+
+_EMA_FAST = "EMA_9"
+_EMA_SLOW = "EMA_20"
+_RSI = "RSI_14"
+
+_RSI_OVERSOLD = 30.0
+_RSI_OVERBOUGHT = 70.0
+_TREND_UP_RSI_LOW = 45.0
+_TREND_UP_RSI_HIGH = 75.0
+_TREND_DOWN_RSI_LOW = 25.0
+_TREND_DOWN_RSI_HIGH = 55.0
+
+
+@dataclass
+class Signal:
+    signal: str    # "BUY" | "SELL" | "HOLD"
+    reason: str
+    price: float
+    ts: int
+
+
+class SignalGenerator:
+    def generate(self, indicators: dict, regime: str, close: float) -> Signal:
+        ema9 = indicators.get(_EMA_FAST)
+        ema20 = indicators.get(_EMA_SLOW)
+        rsi = indicators.get(_RSI)
+        ts = int(time.time() * 1000)
+
+        if regime == "volatile":
+            return Signal(signal="HOLD", reason="volatile: skip", price=close, ts=ts)
+
+        if regime == "trending_up":
+            if ema9 is not None and ema20 is not None and ema9 > ema20:
+                if rsi is not None and _TREND_UP_RSI_LOW < rsi < _TREND_UP_RSI_HIGH:
+                    return Signal(signal="BUY", reason="trend_up: ema_cross+rsi",
+                                  price=close, ts=ts)
+            return Signal(signal="HOLD", reason="trend_up: no_entry", price=close, ts=ts)
+
+        if regime == "trending_down":
+            if ema9 is not None and ema20 is not None and ema9 < ema20:
+                if rsi is not None and _TREND_DOWN_RSI_LOW < rsi < _TREND_DOWN_RSI_HIGH:
+                    return Signal(signal="SELL", reason="trend_down: ema_cross+rsi",
+                                  price=close, ts=ts)
+            return Signal(signal="HOLD", reason="trend_down: no_entry", price=close, ts=ts)
+
+        # ranging (default)
+        if rsi is not None:
+            if rsi < _RSI_OVERSOLD:
+                return Signal(signal="BUY", reason="ranging: rsi_oversold",
+                              price=close, ts=ts)
+            if rsi > _RSI_OVERBOUGHT:
+                return Signal(signal="SELL", reason="ranging: rsi_overbought",
+                              price=close, ts=ts)
+        return Signal(signal="HOLD", reason="ranging: neutral", price=close, ts=ts)