strategies.h File Reference

#include "types.h"
#include "data.h"
#include "indicators.h"

Go to the source code of this file.

Data Structures
struct	WU_Strategy
struct	WU_CrossOverStrat
	WU_CrossOverStrat is a simple crossover strategy that generates buy and sell signals based on the crossover of two moving averages. More...
struct	WU_PairsTradingStrat
	WU_PairsTradingStrat implements a classic pairs trading strategy that trades the spread between two correlated assets (statistical arbitrage). More...

Macros
#define	WU_STRATEGY(strategy)
#define	wu_strategy_update(strategy, inputs)
#define	wu_strategy_delete(strategy)
#define	wu_strategy_num_inputs(strategy)
#define	wu_strategy_input_type(strategy, idx)
#define	wu_strategy_num_outputs(strategy)
#define	wu_strategy_output_symbol(strategy, idx)

Functions
WU_CrossOverStrat	wu_crossover_strat_new (int short_window, int long_window, double threshold)
WU_PairsTradingStrat	wu_pairs_trading_strat_new (int window, double threshold, double ratio)
	Creates a new pairs trading strategy.

Macro Definition Documentation

WU_STRATEGY

#define WU_STRATEGY

(

strategy

)

Value:

((WU_Strategy)(strategy))

Definition at line 19 of file strategies.h.

wu_strategy_delete

#define wu_strategy_delete

(

strategy

)

Value:

    do { \
    if ((strategy)->delete) \
        (strategy)->delete((WU_Strategy)(strategy)); \
} while(0)

Definition at line 24 of file strategies.h.

wu_strategy_input_type

#define wu_strategy_input_type	(		strategy,
			idx )

Value:

((strategy)->input_types[idx])

Definition at line 30 of file strategies.h.

wu_strategy_num_inputs

#define wu_strategy_num_inputs

(

strategy

)

Value:

((strategy)->num_inputs)

Definition at line 29 of file strategies.h.

wu_strategy_num_outputs

#define wu_strategy_num_outputs

(

strategy

)

Value:

((strategy)->num_outputs)

Definition at line 31 of file strategies.h.

wu_strategy_output_symbol

#define wu_strategy_output_symbol	(		strategy,
			idx )

Value:

((strategy)->output_symbols[idx])

Definition at line 32 of file strategies.h.

wu_strategy_update

#define wu_strategy_update	(		strategy,
			inputs )

Value:

((strategy)->update((strategy), (inputs)))

Definition at line 21 of file strategies.h.

Function Documentation

wu_crossover_strat_new()

WU_CrossOverStrat wu_crossover_strat_new	(	int	short_window,
		int	long_window,
		double	threshold )

Definition at line 43 of file crossover.c.

wu_pairs_trading_strat_new()

WU_PairsTradingStrat wu_pairs_trading_strat_new	(	int	window,
		double	threshold,
		double	ratio )

Creates a new pairs trading strategy.

Parameters

window	Lookback period for spread statistics
threshold	Number of standard deviations for entry (e.g., 2.0)
ratio	Hedge ratio between assets

Returns

New pairs trading strategy instance

Definition at line 106 of file pairs_trading.c.