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Fix RSI sell logic, add crossover detection, improve VIX fallback, and add position recovery on restart

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This commit is contained in:
Justin Oros
2026-02-02 14:25:33 -07:00
parent 0939238934
commit ff87d818bb
3 changed files with 84 additions and 17 deletions
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alpaca_trader/engine.py
+70 -10
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@@ -86,7 +86,11 @@ DEFAULT_CONFIG = {
"PULLBACK_PERCENTAGE": 0.382,
"ENABLE_SHORT_SELLING": False,
"RSI_BUY_MAX": 55,
"RSI_SELL_MIN": 45
"RSI_SELL_MIN": 45,
"RSI_RANGE_OVERSOLD": 30,
"RSI_RANGE_OVERBOUGHT": 70,
"REQUIRE_MA_CROSSOVER": True,
"CROSSOVER_LOOKBACK": 5
}
if not ENV_PATH.exists():
@@ -188,6 +192,10 @@ 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_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))
CROSSOVER_LOOKBACK = int(config.get("CROSSOVER_LOOKBACK", 5))
api = AlpacaClient(
os.getenv('APCA_API_KEY_ID'),
@@ -402,11 +410,31 @@ def advanced_signal_generator(symbol):
debug_print("Calculating indicators...")
if USE_EMA:
short_ma = ema(closes, SHORT_WINDOW).iloc[-1]
long_ma = ema(closes, LONG_WINDOW).iloc[-1]
short_ma_series = ema(closes, SHORT_WINDOW)
long_ma_series = ema(closes, LONG_WINDOW)
short_ma = short_ma_series.iloc[-1]
long_ma = long_ma_series.iloc[-1]
else:
short_ma = sma(closes, SHORT_WINDOW).iloc[-1]
long_ma = sma(closes, LONG_WINDOW).iloc[-1]
short_ma_series = sma(closes, SHORT_WINDOW)
long_ma_series = sma(closes, LONG_WINDOW)
short_ma = short_ma_series.iloc[-1]
long_ma = long_ma_series.iloc[-1]
bullish_crossover = False
bearish_crossover = False
if REQUIRE_MA_CROSSOVER and len(bars) >= LONG_WINDOW + CROSSOVER_LOOKBACK:
for i in range(1, CROSSOVER_LOOKBACK + 1):
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")
break
for i in range(1, CROSSOVER_LOOKBACK + 1):
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")
break
rsi_val = rsi(closes, 14).iloc[-1]
adx_val = adx(highs, lows, closes).iloc[-1]
@@ -438,7 +466,9 @@ def advanced_signal_generator(symbol):
if regime == "trend":
if short_ma > long_ma and rsi_val < RSI_BUY_MAX:
if REQUIRE_CANDLE_PATTERN and not bullish_pattern:
if REQUIRE_MA_CROSSOVER and not bullish_crossover:
debug_print("Bullish signal rejected: no recent crossover")
elif REQUIRE_CANDLE_PATTERN and not bullish_pattern:
debug_print("Bullish signal rejected: candle pattern required")
elif REQUIRE_MACD_CONFIRMATION and macd_signal != "bullish":
debug_print("Bullish signal rejected: MACD confirmation required")
@@ -449,8 +479,10 @@ def advanced_signal_generator(symbol):
position_type = "long"
debug_print(f"BUY signal: strength={strength:.2f}, stop=${stop:.2f}")
if short_ma < long_ma and rsi_val > RSI_SELL_MIN:
if REQUIRE_CANDLE_PATTERN and not bearish_pattern:
if short_ma < long_ma and rsi_val < 80:
if REQUIRE_MA_CROSSOVER and not bearish_crossover:
debug_print("Bearish signal rejected: no recent crossover")
elif REQUIRE_CANDLE_PATTERN and not bearish_pattern:
debug_print("Bearish signal rejected: candle pattern required")
elif REQUIRE_MACD_CONFIRMATION and macd_signal != "bearish":
debug_print("Bearish signal rejected: MACD confirmation required")
@@ -462,7 +494,7 @@ def advanced_signal_generator(symbol):
debug_print(f"SELL signal: strength={strength:.2f}, stop=${stop:.2f}")
elif regime == "range":
if current_price <= lower.iloc[-1] and rsi_val < 30:
if current_price <= lower.iloc[-1] and rsi_val < RSI_RANGE_OVERSOLD:
if REQUIRE_CANDLE_PATTERN and not bullish_pattern:
debug_print("Range buy rejected: candle pattern required")
else:
@@ -472,7 +504,7 @@ def advanced_signal_generator(symbol):
position_type = "long"
debug_print(f"Range BUY signal: strength={strength:.2f}, stop=${stop:.2f}")
if current_price >= upper.iloc[-1] and rsi_val > 70:
if current_price >= upper.iloc[-1] and rsi_val > RSI_RANGE_OVERBOUGHT:
if REQUIRE_CANDLE_PATTERN and not bearish_pattern:
debug_print("Range sell rejected: candle pattern required")
else:
@@ -600,6 +632,34 @@ def main():
trades_today = 0
total_pnl = 0
try:
existing_position = api.get_position(SYMBOL)
qty = float(existing_position.qty)
if qty != 0:
position_active = True
entry_price = float(existing_position.avg_entry_price)
position_type = 'long' if qty > 0 else 'short'
bars_for_atr = get_recent_bars(SYMBOL, 50)
if bars_for_atr is not None and len(bars_for_atr) >= 14:
atr_val = atr(bars_for_atr['high'], bars_for_atr['low'], bars_for_atr['close']).iloc[-1]
if position_type == 'long':
stop_loss = entry_price - atr_val * ATR_STOP_MULTIPLIER
else:
stop_loss = entry_price + atr_val * ATR_STOP_MULTIPLIER
else:
if position_type == 'long':
stop_loss = entry_price * 0.98
else:
stop_loss = entry_price * 1.02
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")
if USE_TRAILING_STOP:
atr_based_trailing_stop.trailing_stop = stop_loss
except Exception as e:
debug_print(f"No existing position found or error during recovery: {e}")
while clock.is_open:
clock = api.get_clock()
current_equity = fetch_equity()