Momentum

• ✓Shines when the market has a clear direction and breakouts follow through
• ⚠Gets chopped up by whipsaws and false breakouts in sideways markets

Backtest curve is an example on a deterministic simulated price path — not real returns.

"""动量（Momentum）—— Donchian 通道突破 + 移动止损。

思路：价格突破近 lookback 期高点（再加 breakout 缓冲）说明趋势已确立，顺势入场；入场后记录最高价，
回撤超过 3×breakout 移动止损离场。源自海龟交易法则（Donchian channel breakout）这一最经典的开源
动量范式（各开源量化系统均有同型实现；此处为独立重写）。
参数：lookback（通道周期）、breakout（突破缓冲，比例）、size（目标数量）。
适用：单边趋势行情；震荡市会被假突破反复止损，靠移动止损限制单次亏损。
"""
from __future__ import annotations

from ..base import StrategyBase
from ..context import StrategyContext
from ..registry import register


@register("动量")
class Momentum(StrategyBase):
    description = "Donchian 通道突破入场、移动止损离场：跟随已确立趋势。"
    params = {"lookback": 40, "breakout": 0.01, "size": 5.0}

    def __init__(self, lookback: int = 40, breakout: float = 0.01, size: float = 5.0) -> None:
        self.lookback = int(lookback)
        self.breakout = float(breakout)
        self.size = float(size)
        self._peak: float | None = None  # 入场以来最高价（移动止损参考）

    async def on_tick(self, ctx: StrategyContext) -> None:
        sym = ctx.conn_symbol()
        hist = await ctx.history(sym, self.lookback + 1)
        if len(hist) < self.lookback + 1:
            return
        px = hist[-1]
        prior_high = max(hist[:-1])
        pos = await ctx.position(sym)
        band = self.size * 0.1
        if pos <= band:
            self._peak = None
            if px > prior_high * (1.0 + self.breakout):
                await ctx.target(sym, self.size, band=band)
                self._peak = px
        else:
            self._peak = max(self._peak or px, px)
            if px < self._peak * (1.0 - 3.0 * self.breakout):
                await ctx.target(sym, 0.0, band=band)
                self._peak = None

The full SDK and all strategies are MIT-licensed open source — backtest, paper-trade, or fork them directly.