strategies.h

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#ifndef STRATEGIES_H
#define STRATEGIES_H
 
#include "indicators.h"

 
namespace tzu {
 
template <class T, typename In>
class Strategy {
public:
    Signal update(const In& data) {
        return static_cast<T*>(this)->update(data);
    }
};

class SMACrossover: public Strategy<SMACrossover, SingleValue> {
    SMA short_sma;
    SMA long_sma;
    double threshold;
    Side last_side = Side::NONE;
public:
    SMACrossover(size_t short_period, size_t long_period,
            double threshold = 0.0) :
       short_sma(short_period), long_sma(long_period), threshold(threshold) {}
 
    Signal update(const SingleValue& data) {
        double short_value = short_sma.update(data.value);
        double long_value = long_sma.update(data.value);
        Signal signal = {data.timestamp, Side::NONE, data.value};
        if ((short_value > long_value * (1.0 + threshold))
                && (last_side != Side::BUY))
            last_side = signal.side = Side::BUY;
        else if ((short_value < long_value * (1.0 - threshold))
                && (last_side != Side::SELL))
            last_side = signal.side = Side::SELL;
        return signal;
    }
};

class RSIStrat: public Strategy<RSIStrat, Ohlcv> {
    RSI rsi;
    double oversold;
    double overbought;
    Side last_side;
public:
    RSIStrat(size_t window_size = 14, double oversold = 30.0,
            double overbought = 70.0) :
        rsi(window_size), oversold(oversold), overbought(overbought),
        last_side(Side::NONE) {}
    Signal update(const Ohlcv& data) {
        double rsi_value = rsi.update(data);
        Signal signal = {data.timestamp, Side::NONE, data.close};
        if (std::isnan(rsi_value))
            return signal;
        if ((rsi_value < oversold) && (last_side != Side::BUY))
            last_side = signal.side = Side::BUY;
        else if ((rsi_value > overbought) && (last_side != Side::SELL))
            last_side = signal.side = Side::SELL;
        return signal;
    }
};

class MACDStrat {
    MACD macd;
    double threshold;
    Side last_side;
public:
    MACDStrat(size_t short_period, size_t long_period, size_t signal_period,
            double smoothing = 2.0, double threshold = 0.0)
        : macd(short_period, long_period, signal_period, smoothing),
          threshold(threshold), last_side(Side::NONE) {}
    Signal update(const SingleValue& data) {
        MACDResult macd_value = macd.update(data.value);
        Signal signal = {data.timestamp, Side::NONE, data.value};
        if (std::isnan(macd_value.macd) || std::isnan(macd_value.signal))
            return signal;
        if ((macd_value.macd > macd_value.signal * (1.0 + threshold))
                && (last_side != Side::BUY))
            last_side = signal.side = Side::BUY;
        else if ((macd_value.macd < macd_value.signal * (1.0 - threshold))
                && (last_side != Side::SELL))
            last_side = signal.side = Side::SELL;
        return signal;
    }
};
 
} // namespace tzu
 
#endif // STRATEGIES_H