Adding Strategies

To add a new trading strategy (signal direction) to the backtest pipeline.

Steps

1. Add the method to SignalDirection in src/strat.py:

   @staticmethod
   def my_custom_signal(indicator: np.ndarray, signal: float) -> np.ndarray:
       """Custom signal logic. Returns array of {-1, 0, 1}."""
       position = np.zeros_like(indicator)
       position[indicator > signal] = 1
       position[indicator < -signal] = -1
       return position
   

2. Seed REFDATA — create a Liquibase changeset to insert into REFDATA.SIGNAL_TYPE:

   INSERT INTO REFDATA.SIGNAL_TYPE (
       NAME, DISPLAY_NAME, FUNC_NAME_BAND, FUNC_NAME_BOUNDED,
       USER_ID, UPDATED_AT
   ) VALUES (
       'my_custom', 'My Custom Strategy',
       'my_custom_signal', 'my_custom_bounded_signal',
       'alfcheun', now()
   );
   

3. Write tests in tests/unit/test_strat.py — verify long/short/flat positions for known inputs.

4. Run all tests: python -m pytest tests/ -v

Note

See the add-strategy skill at .github/skills/add-strategy/SKILL.md for the full checklist.