feat: Enhance trading system with new e_min_chg_pct parameter and related logic
Changes: - Introduced the `e_min_chg_pct` parameter to define the minimum price change percentage compared to the previous day's close, enhancing the momentum trading strategy. - Updated various functions and classes to incorporate this new parameter, ensuring it is utilized in both backtesting and live trading scenarios. - Improved documentation and comments to clarify the purpose and usage of the new parameter across the codebase. Impact: - This addition allows for more precise control over trading conditions, potentially increasing the effectiveness of the momentum strategy while maintaining system integrity and performance.
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@@ -42,6 +42,7 @@ MOMENTUM_CONFIG_KEYS = frozenset({
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"MOMENTUM_TRIGGER_REQUIRE_BULL_BAR",
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"MOMENTUM_USE_VOL_TRIGGER",
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"MOMENTUM_USE_RSI_FILTER",
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"MOMENTUM_E_MIN_CHG_PCT",
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"MOMENTUM_PATTERN_BREAKOUT",
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"MOMENTUM_PATTERN_PULLBACK",
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"MOMENTUM_CHASE_LOOKBACK_MIN",
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@@ -169,6 +170,8 @@ def params_to_momentum_env_patch(p: Dict[str, Any]) -> Dict[str, str]:
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_set("MOMENTUM_VOL_MULT", p["mom_vol_mult"])
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if "mom_vol_win" in p:
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_set("MOMENTUM_VOL_WIN", p["mom_vol_win"])
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if "e_min_chg_pct" in p:
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_set("MOMENTUM_E_MIN_CHG_PCT", p["e_min_chg_pct"])
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if "mom_time_end_hm" in p:
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_set("MOMENTUM_TIME_END_HM", int(float(p["mom_time_end_hm"])))
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if "mom_max_from_open_pct" in p:
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