cyb50-quant/research/dragon/v2/dragon_bridge_predictive_break.py

from __future__ import annotations

from datetime import date
from typing import Optional

from dragon_strategy_config import StrategyConfig


def allow_predictive_error_reentry(
    *,
    enabled: bool,
    last_exit_predictive_break: bool,
    last_real_sell_date: Optional[date],
    row_date: date,
    a1: float,
    b1: float,
    c1: float,
) -> bool:
    if not enabled:
        return False
    if not last_exit_predictive_break:
        return False
    if last_real_sell_date is None:
        return False
    return (
        (row_date - last_real_sell_date).days <= 3
        and -0.02 < a1 < 0.01
        and b1 > -0.16
        and c1 > 50
    )


def allow_predictive_b1_break_short_exit(
    *,
    enabled: bool,
    has_sell_signal: bool,
    entry_is_glued: bool,
    holding_days: int,
    a1: float,
    b1: float,
    c1: float,
    config: StrategyConfig,
) -> bool:
    if not enabled or has_sell_signal or not entry_is_glued:
        return False
    return (
        holding_days <= config.predictive_b1_break_short_holding_days_max
        and config.predictive_b1_break_short_a1_min < a1 < config.predictive_b1_break_short_a1_max
        and b1 < config.predictive_b1_break_short_b1_max
        and config.predictive_b1_break_short_c1_low < c1 < config.predictive_b1_break_short_c1_high
    )


def allow_predictive_b1_break_long_exit(
    *,
    enabled: bool,
    has_sell_signal: bool,
    entry_is_glued: bool,
    holding_days: int,
    max_c1_since_entry: float,
    max_a1_since_entry: float,
    max_b1_since_entry: float,
    last_ql_sell_date: Optional[date],
    row_date: date,
    a1: float,
    b1: float,
    c1: float,
    config: StrategyConfig,
) -> bool:
    if not enabled or has_sell_signal or not entry_is_glued:
        return False
    if last_ql_sell_date is None:
        return False
    ql_days = (row_date - last_ql_sell_date).days
    return (
        holding_days >= config.predictive_b1_break_long_holding_days_min
        and max_c1_since_entry < config.predictive_b1_break_long_max_c1
        and max_a1_since_entry > config.predictive_b1_break_long_max_a1
        and max_b1_since_entry > config.predictive_b1_break_long_max_b1
        and 0 < ql_days <= config.predictive_b1_break_long_ql_days_max
        and config.predictive_b1_break_long_a1_min < a1 < config.predictive_b1_break_long_a1_max
        and b1 < config.predictive_b1_break_long_b1_max
        and config.predictive_b1_break_long_c1_low < c1 < config.predictive_b1_break_long_c1_high
    )