diff options
Diffstat (limited to 'services/strategy-engine/strategies/bollinger_strategy.py')
| -rw-r--r-- | services/strategy-engine/strategies/bollinger_strategy.py | 40 |
1 files changed, 22 insertions, 18 deletions
diff --git a/services/strategy-engine/strategies/bollinger_strategy.py b/services/strategy-engine/strategies/bollinger_strategy.py index a195cb8..ebe7967 100644 --- a/services/strategy-engine/strategies/bollinger_strategy.py +++ b/services/strategy-engine/strategies/bollinger_strategy.py @@ -102,27 +102,31 @@ class BollingerStrategy(BaseStrategy): if price > sma: # Breakout upward conv = min(0.5 + squeeze_duration * 0.1, 1.0) - return self._apply_filters(Signal( - strategy=self.name, - symbol=candle.symbol, - side=OrderSide.BUY, - price=candle.close, - quantity=self._quantity, - conviction=conv, - reason=f"Bollinger squeeze breakout UP after {squeeze_duration} bars", - )) + return self._apply_filters( + Signal( + strategy=self.name, + symbol=candle.symbol, + side=OrderSide.BUY, + price=candle.close, + quantity=self._quantity, + conviction=conv, + reason=f"Bollinger squeeze breakout UP after {squeeze_duration} bars", + ) + ) else: # Breakout downward conv = min(0.5 + squeeze_duration * 0.1, 1.0) - return self._apply_filters(Signal( - strategy=self.name, - symbol=candle.symbol, - side=OrderSide.SELL, - price=candle.close, - quantity=self._quantity, - conviction=conv, - reason=f"Bollinger squeeze breakout DOWN after {squeeze_duration} bars", - )) + return self._apply_filters( + Signal( + strategy=self.name, + symbol=candle.symbol, + side=OrderSide.SELL, + price=candle.close, + quantity=self._quantity, + conviction=conv, + reason=f"Bollinger squeeze breakout DOWN after {squeeze_duration} bars", + ) + ) # Bandwidth filter: skip sideways markets if sma != 0 and bandwidth < self._min_bandwidth: |