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

from __future__ import annotations

from dataclasses import dataclass, field, replace


@dataclass(frozen=True)
class StrategyConfig:
    disabled_rules: frozenset[str] = field(default_factory=frozenset)

    post_exit_confirmation_window_days: int = 10
    aux_sell_same_side_once_per_cycle: bool = True
    aux_sell_duplicate_cooldown_days: int = 5
    aux_sell_high_zone_kdj_only_block_c1: float = 85.0
    aux_sell_high_zone_kdj_only_block_b1: float = -0.02
    aux_sell_high_zone_warning_c1: float = 80.0
    aux_sell_strong_break_c1: float = 60.0
    aux_sell_strong_break_b1: float = -0.05
    aux_sell_stronger_c1_delta: float = 8.0
    aux_sell_stronger_b1_delta: float = 0.05
    aux_sell_high_zone_rearm_c1_delta: float = 2.0

    state_crash_followthrough_window_days: int = 5
    state_crash_followthrough_repeat_cooldown_days: int = 4
    state_crash_followthrough_c1_max: float = 80.0
    state_crash_followthrough_a1_max: float = 0.01
    state_crash_followthrough_b1_max: float = -0.15

    glued_high_weak_rebound_high_c1: float = 68.0
    glued_high_weak_rebound_high_b1: float = -0.08
    glued_high_weak_rebound_mid_c1: float = 50.0
    glued_high_weak_rebound_mid_b1: float = -0.15
    glued_high_weak_rebound_ql_c1_low: float = 35.0
    glued_high_weak_rebound_ql_c1_high: float = 55.0
    glued_high_weak_rebound_ql_b1: float = -0.06
    glued_high_weak_rebound_ql_a1: float = -0.013
    glued_followthrough_pending_enabled: bool = False
    glued_followthrough_confirm_window_bars: int = 3
    glued_followthrough_allow_mid_zone_very_weak_b1: bool = False
    glued_followthrough_allow_high_zone_weak_b1: bool = False
    glued_followthrough_allow_ql_rebound_weak_followthrough: bool = False
    glued_followthrough_require_ql_buy_reconfirm: bool = True
    glued_followthrough_require_close_break_signal_close: bool = True
    glued_followthrough_require_b1_repair: bool = True
    glued_followthrough_b1_repair_min: float = 0.02
    glued_followthrough_exit_hold_kdj_only_enabled: bool = False
    glued_followthrough_exit_hold_kdj_only_days_max: int = 12
    glued_followthrough_exit_hold_kdj_only_c1_low: float = 55.0
    glued_followthrough_exit_hold_kdj_only_c1_high: float = 60.0
    glued_followthrough_exit_hold_kdj_only_a1_min: float = 0.0
    glued_followthrough_exit_hold_kdj_only_b1_min: float = -0.02
    glued_selective_hot_c1_min: float = 0.0
    glued_selective_hot_c1_max: float = 999.0
    glued_selective_hot_b1_min: float = 1.0
    glued_selective_low_c1_min: float = 0.0
    glued_selective_low_c1_max: float = 0.0
    glued_selective_low_b1_max: float = -999.0

    deep_oversold_filter1_c1_low: float = 13.0
    deep_oversold_filter1_c1_high: float = 15.0
    deep_oversold_filter1_a1_min: float = -0.04
    deep_oversold_filter1_b1_max: float = -0.08
    deep_oversold_filter2_c1_low: float = 13.0
    deep_oversold_filter2_c1_high: float = 14.5
    deep_oversold_filter2_a1_min: float = -0.04
    deep_oversold_filter2_b1_min: float = -0.06
    deep_oversold_entry_c1_max: float = 16.0
    deep_oversold_entry_a1_min: float = -0.09
    deep_oversold_entry_b1_min: float = -0.10
    deep_oversold_shallow_ql_fallback: bool = True
    deep_oversold_positive_b1_fallback_a1_min: float = -0.02
    deep_oversold_block_positive_b1_rebound: bool = False
    deep_oversold_block_shallow_false_start_without_ql: bool = False
    deep_oversold_confirm_weak_with_ql: bool = False
    deep_oversold_confirm_window_bars: int = 2
    deep_oversold_selective_positive_b1_c1_max: float = 0.0
    deep_oversold_selective_shallow_c1_min: float = 0.0
    deep_oversold_selective_shallow_b1_min: float = 1.0
    deep_oversold_selective_mixed_c1_max: float = 0.0
    deep_oversold_selective_mixed_require_no_ql: bool = False

    oversold_recovery_c1_low: float = 18.0
    oversold_recovery_c1_high: float = 22.0
    oversold_recovery_a1_min: float = -0.03
    oversold_recovery_a1_max: float = 0.0
    oversold_recovery_b1_min: float = -0.02

    oversold_reversal_after_ql_block_c1_low: float = 23.0
    oversold_reversal_after_ql_block_c1_high: float = 26.0
    oversold_reversal_after_ql_block_b1_min: float = -0.12
    oversold_reversal_after_ql_block_a1_min: float = -0.035
    oversold_reversal_after_ql_entry_c1_low: float = 20.0
    oversold_reversal_after_ql_entry_c1_high: float = 26.0
    oversold_reversal_after_ql_entry_a1_min: float = -0.04
    oversold_reversal_after_ql_entry_a1_max: float = 0.0
    oversold_reversal_after_ql_entry_b1_min: float = -0.22
    oversold_reversal_after_ql_entry_b1_max: float = 0.0

    post_sell_rebound_block_high_c1: float = 22.0
    post_sell_rebound_block_high_a1_min: float = -0.035
    post_sell_rebound_block_high_b1_max: float = -0.07
    post_sell_rebound_block_low_c1: float = 15.0
    post_sell_rebound_block_low_a1_min: float = -0.04
    post_sell_rebound_block_low_b1_max: float = -0.095
    post_sell_rebound_entry1_c1_low: float = 18.0
    post_sell_rebound_entry1_c1_high: float = 30.0
    post_sell_rebound_entry1_a1_min: float = -0.045
    post_sell_rebound_entry1_a1_max: float = 0.0
    post_sell_rebound_entry1_b1_low: float = -0.09
    post_sell_rebound_entry1_b1_high: float = -0.04
    post_sell_rebound_entry2_c1_high: float = 19.0
    post_sell_rebound_entry2_a1_min: float = -0.04
    post_sell_rebound_entry2_a1_max: float = 0.0
    post_sell_rebound_entry2_b1_low: float = -0.13
    post_sell_rebound_entry2_b1_high: float = -0.09

    predictive_b1_break_short_holding_days_max: int = 2
    predictive_b1_break_short_a1_min: float = -0.02
    predictive_b1_break_short_a1_max: float = 0.0
    predictive_b1_break_short_b1_max: float = -0.13
    predictive_b1_break_short_c1_low: float = 50.0
    predictive_b1_break_short_c1_high: float = 70.0
    predictive_b1_break_long_holding_days_min: int = 40
    predictive_b1_break_long_max_c1: float = 80.0
    predictive_b1_break_long_max_a1: float = 0.15
    predictive_b1_break_long_max_b1: float = 0.30
    predictive_b1_break_long_ql_days_max: int = 7
    predictive_b1_break_long_a1_min: float = -0.02
    predictive_b1_break_long_a1_max: float = 0.0
    predictive_b1_break_long_b1_max: float = -0.12
    predictive_b1_break_long_c1_low: float = 60.0
    predictive_b1_break_long_c1_high: float = 65.0

    enable_knife_take_profit_2_wait_ql: bool = True

    def with_updates(self, **kwargs) -> "StrategyConfig":
        if "disabled_rules" in kwargs and not isinstance(kwargs["disabled_rules"], frozenset):
            kwargs["disabled_rules"] = frozenset(kwargs["disabled_rules"])
        return replace(self, **kwargs)