Strategy¶

Strategy (ABC)¶

Abstract base class. Implement on_bar() to create a strategy.

from replaybt import Strategy, MarketOrder, Side

class MyStrategy(Strategy):
    def configure(self, config):
        self._state = None

    def on_bar(self, bar, indicators, positions):
        return None  # or Order

Methods¶

Method	Signature	Description
`configure`	`(config: dict) -> None`	Called once before first bar
`on_bar`	`(bar, indicators, positions) -> Order \\| List[Order] \\| None`	Required. Emit signals
`on_fill`	`(fill: Fill) -> Optional[Order]`	After entry/merge fill
`on_exit`	`(fill: Fill, trade: Trade) -> Order \\| CancelPendingLimitsOrder \\| None`	After position close
`check_exits`	`(bar: Bar, positions: List[Position]) -> List[Tuple]`	Custom exit logic

on_bar Return Types¶

Return	Behavior
`None`	No action
`MarketOrder`	Replaces pending market order
`LimitOrder`	Appends to pending limit queue
`StopOrder`	Appends to pending stop queue
`List[Order]`	Last MarketOrder wins; LimitOrders stack

check_exits Return Format¶

# Full close
[(position_index, exit_price, reason_string)]

# Partial close
[(position_index, exit_price, reason_string, close_fraction)]

DeclarativeStrategy¶

JSON-config strategy. No Python subclassing needed.

from replaybt import DeclarativeStrategy

# From JSON file
strategy = DeclarativeStrategy.from_json("config.json")

# From dict
strategy = DeclarativeStrategy.from_config(config_dict)

Class Methods¶

Method	Returns	Description
`from_json(path)`	`DeclarativeStrategy`	Load from JSON file
`from_config(config)`	`DeclarativeStrategy`	Create from dict

Instance Methods¶

Method	Returns	Description
`indicator_config()`	`Dict`	Indicator config for engine
`on_bar(bar, indicators, positions)`	`Optional[Order]`	Execute declarative logic

Condition Types¶

Type	Fields	Description
`crossover`	`fast`, `slow`	fast > slow AND prev_fast <= prev_slow
`crossunder`	`fast`, `slow`	fast < slow AND prev_fast >= prev_slow
`above`	`left`, `right`	left > right
`below`	`left`, `right`	left < right
`above_threshold`	`indicator`, `threshold`	value >= threshold
`below_threshold`	`indicator`, `threshold`	value <= threshold
`crosses_above`	`indicator`, `threshold`	now > threshold AND prev <= threshold
`crosses_below`	`indicator`, `threshold`	now < threshold AND prev >= threshold

StrategyConfig¶

Per-symbol configuration with defaults and overrides.

from replaybt import StrategyConfig

config = StrategyConfig(
    defaults={"tp": 0.06, "sl": 0.03},
    overrides={"ETH": {"tp": 0.08, "sl": 0.04}},
)

Constructor¶

StrategyConfig(
    defaults: Optional[Dict[str, Any]] = None,
    overrides: Optional[Dict[str, Dict[str, Any]]] = None,
)

Methods¶

Method	Returns	Description
`get(key, symbol, default)`	`Any`	Get value, checking overrides first
`for_symbol(symbol)`	`Dict[str, Any]`	Merged config for a symbol
`symbols()`	`list`	Symbols with overrides