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Add crossover tracking, fix entry_time recovery, add RSI_SELL_MAX config, and improve scale-out persistence

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Justin Oros
2026-02-02 14:34:15 -07:00
parent ff87d818bb
commit 4ccc101fbf
2 changed files with 28 additions and 5 deletions
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alpaca_trader/config.json
+1
View File
@@ -44,6 +44,7 @@
"ENABLE_SHORT_SELLING": true,
"RSI_BUY_MAX": 55,
"RSI_SELL_MIN": 45,
"RSI_SELL_MAX": 70,
"RSI_RANGE_OVERSOLD": 30,
"RSI_RANGE_OVERBOUGHT": 70,
"REQUIRE_MA_CROSSOVER": false,
alpaca_trader/engine.py
+27 -5
View File
@@ -87,6 +87,7 @@ DEFAULT_CONFIG = {
"ENABLE_SHORT_SELLING": False,
"RSI_BUY_MAX": 55,
"RSI_SELL_MIN": 45,
"RSI_SELL_MAX": 70,
"RSI_RANGE_OVERSOLD": 30,
"RSI_RANGE_OVERBOUGHT": 70,
"REQUIRE_MA_CROSSOVER": True,
@@ -192,6 +193,7 @@ PULLBACK_PERCENTAGE = float(config["PULLBACK_PERCENTAGE"])
ENABLE_SHORT_SELLING = bool(config.get("ENABLE_SHORT_SELLING", False))
RSI_BUY_MAX = float(config.get("RSI_BUY_MAX", 55))
RSI_SELL_MIN = float(config.get("RSI_SELL_MIN", 45))
RSI_SELL_MAX = float(config.get("RSI_SELL_MAX", 70))
RSI_RANGE_OVERSOLD = float(config.get("RSI_RANGE_OVERSOLD", 30))
RSI_RANGE_OVERBOUGHT = float(config.get("RSI_RANGE_OVERBOUGHT", 70))
REQUIRE_MA_CROSSOVER = bool(config.get("REQUIRE_MA_CROSSOVER", True))
@@ -424,16 +426,29 @@ def advanced_signal_generator(symbol):
bearish_crossover = False
if REQUIRE_MA_CROSSOVER and len(bars) >= LONG_WINDOW + CROSSOVER_LOOKBACK:
if not hasattr(advanced_signal_generator, 'last_bullish_crossover_bar'):
advanced_signal_generator.last_bullish_crossover_bar = -999
if not hasattr(advanced_signal_generator, 'last_bearish_crossover_bar'):
advanced_signal_generator.last_bearish_crossover_bar = -999
current_bar_index = len(bars) - 1
for i in range(1, CROSSOVER_LOOKBACK + 1):
bar_index = current_bar_index - i
if short_ma_series.iloc[-i-1] <= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] > long_ma_series.iloc[-i]:
bullish_crossover = True
debug_print(f"Bullish crossover detected {i} bars ago")
if bar_index > advanced_signal_generator.last_bullish_crossover_bar:
bullish_crossover = True
advanced_signal_generator.last_bullish_crossover_bar = bar_index
debug_print(f"Bullish crossover detected {i} bars ago")
break
for i in range(1, CROSSOVER_LOOKBACK + 1):
bar_index = current_bar_index - i
if short_ma_series.iloc[-i-1] >= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] < long_ma_series.iloc[-i]:
bearish_crossover = True
debug_print(f"Bearish crossover detected {i} bars ago")
if bar_index > advanced_signal_generator.last_bearish_crossover_bar:
bearish_crossover = True
advanced_signal_generator.last_bearish_crossover_bar = bar_index
debug_print(f"Bearish crossover detected {i} bars ago")
break
rsi_val = rsi(closes, 14).iloc[-1]
@@ -479,7 +494,7 @@ def advanced_signal_generator(symbol):
position_type = "long"
debug_print(f"BUY signal: strength={strength:.2f}, stop=${stop:.2f}")
if short_ma < long_ma and rsi_val < 80:
if short_ma < long_ma and rsi_val < RSI_SELL_MAX:
if REQUIRE_MA_CROSSOVER and not bearish_crossover:
debug_print("Bearish signal rejected: no recent crossover")
elif REQUIRE_CANDLE_PATTERN and not bearish_pattern:
@@ -655,6 +670,13 @@ def main():
logger.info(f"🔄 Recovered existing {position_type.upper()} position: {abs(qty)} shares @ ${entry_price:.2f}, stop=${stop_loss:.2f}")
debug_print(f"Position recovered from previous session")
entry_time = datetime.now(EASTERN)
unrealized_plpc = float(existing_position.unrealized_plpc) if hasattr(existing_position, 'unrealized_plpc') else 0
if unrealized_plpc > 0.01:
scale_out_profit_taking.target_1_hit = True
debug_print("Assuming target 1 already hit based on positive P&L")
if USE_TRAILING_STOP:
atr_based_trailing_stop.trailing_stop = stop_loss
except Exception as e: