spb/sp-wallet

1"""Donchian channel breakout: enter on a new N-bar high, leave on a new M-bar low."""23import numpy as np45META = {6    "name": "donchian_breakout",7    "version": "2",8    "universe": ["ETH", "LINK", "AAVE"],9    "interval": "1h",10    "lookback": 2200,11    "params": {"entry": 480, "exit": 240},12}131415def _is_long(df, entry, exit_):16    """Replay the channel over the window: long if the most recent event is an upside breakout."""17    close = df["close"]18    upper = df["high"].rolling(entry).max().shift(1)   # highest high of the previous `entry` bars19    lower = df["low"].rolling(exit_).min().shift(1)    # lowest low of the previous `exit_` bars20    up = np.nonzero((close > upper).to_numpy())[0]21    down = np.nonzero((close < lower).to_numpy())[0]22    if len(up) == 0:23        return False24    return len(down) == 0 or up[-1] > down[-1]252627def target_weights(data, params):28    entry, exit_ = int(params["entry"]), int(params["exit"])29    n = len(data)30    weights = {}31    for symbol, df in data.items():32        if len(df) <= max(entry, exit_) or entry < 1 or exit_ < 1:33            weights[symbol] = 0.034            continue35        weights[symbol] = 1.0 / n if _is_long(df, entry, exit_) else 0.036    return weights37