deploy: 2026-03-20 07:49

strategy/exit_rules.py

@@ -0,0 +1,144 @@
+"""ICT exit / position management rules.
+
+Evaluates whether an open position should be closed based on
+TP, SL, CHOCH reversal, time expiry, or trailing stop.
+"""
+
+from __future__ import annotations
+
+from dataclasses import dataclass
+from datetime import datetime, timedelta
+from enum import Enum
+from typing import Optional
+
+from loguru import logger
+
+from config import settings
+from indicators.ict_engine import ICTSignals
+from indicators.multi_timeframe import TradeDirection
+
+
+class ExitReason(str, Enum):
+    TAKE_PROFIT = "TP"
+    STOP_LOSS = "SL"
+    CHOCH = "CHOCH"
+    TRAILING_STOP = "TRAILING"
+    TIME_EXIT = "TIME"
+    MANUAL = "MANUAL"
+
+
+@dataclass
+class ExitResult:
+    """Result of exit rule evaluation."""
+
+    should_exit: bool
+    reason: Optional[ExitReason] = None
+    detail: str = ""
+
+
+class ExitRules:
+    """Evaluate exit conditions for an open position.
+
+    Conditions checked (in priority order):
+        1. Stop-loss hit
+        2. Take-profit hit
+        3. CHOCH in opposite direction
+        4. Trailing stop triggered
+        5. Time-based exit (too many candles without movement)
+    """
+
+    def __init__(
+        self,
+        trailing_activation_pct: float | None = None,
+        trailing_distance_pct: float | None = None,
+        time_exit_candles: int = 48,
+    ):
+        self.trailing_activation_pct = (
+            trailing_activation_pct
+            or getattr(settings, "TRAILING_STOP_ACTIVATION_PCT", 0.01)
+        )
+        self.trailing_distance_pct = (
+            trailing_distance_pct
+            or getattr(settings, "TRAILING_STOP_DISTANCE_PCT", 0.005)
+        )
+        self.time_exit_candles = time_exit_candles
+
+    def should_exit(
+        self,
+        direction: TradeDirection,
+        entry_price: float,
+        stop_loss: float,
+        take_profit: float,
+        current_price: float,
+        signals: ICTSignals,
+        opened_at: datetime | None = None,
+        candles_since_entry: int = 0,
+        trailing_stop: float | None = None,
+    ) -> ExitResult:
+        """Evaluate all exit conditions against current market state."""
+
+        # 1. Stop-Loss
+        if direction == TradeDirection.LONG and current_price <= stop_loss:
+            return ExitResult(True, ExitReason.STOP_LOSS, f"Price {current_price} <= SL {stop_loss}")
+        if direction == TradeDirection.SHORT and current_price >= stop_loss:
+            return ExitResult(True, ExitReason.STOP_LOSS, f"Price {current_price} >= SL {stop_loss}")
+
+        # 2. Take-Profit
+        if direction == TradeDirection.LONG and current_price >= take_profit:
+            return ExitResult(True, ExitReason.TAKE_PROFIT, f"Price {current_price} >= TP {take_profit}")
+        if direction == TradeDirection.SHORT and current_price <= take_profit:
+            return ExitResult(True, ExitReason.TAKE_PROFIT, f"Price {current_price} <= TP {take_profit}")
+
+        # 3. CHOCH in opposite direction
+        choch = signals.latest_choch
+        if choch is not None:
+            if direction == TradeDirection.LONG and choch == -1:
+                return ExitResult(True, ExitReason.CHOCH, "Bearish CHOCH while LONG")
+            if direction == TradeDirection.SHORT and choch == 1:
+                return ExitResult(True, ExitReason.CHOCH, "Bullish CHOCH while SHORT")
+
+        # 4. Trailing stop
+        if trailing_stop is not None:
+            if direction == TradeDirection.LONG and current_price <= trailing_stop:
+                return ExitResult(True, ExitReason.TRAILING_STOP, f"Trailing hit {trailing_stop}")
+            if direction == TradeDirection.SHORT and current_price >= trailing_stop:
+                return ExitResult(True, ExitReason.TRAILING_STOP, f"Trailing hit {trailing_stop}")
+
+        # 5. Time-based exit
+        if candles_since_entry >= self.time_exit_candles:
+            return ExitResult(True, ExitReason.TIME_EXIT, f"Exceeded {self.time_exit_candles} candles")
+
+        return ExitResult(False)
+
+    def update_trailing_stop(
+        self,
+        direction: TradeDirection,
+        entry_price: float,
+        current_price: float,
+        current_trailing: float | None,
+    ) -> Optional[float]:
+        """Update trailing stop if price has moved enough into profit.
+
+        Returns the new trailing stop value, or None if not yet activated.
+        """
+        if direction == TradeDirection.LONG:
+            pnl_pct = (current_price - entry_price) / entry_price
+            if pnl_pct < self.trailing_activation_pct:
+                return current_trailing  # not yet in profit enough
+
+            new_trail = current_price * (1 - self.trailing_distance_pct)
+            if current_trailing is None or new_trail > current_trailing:
+                logger.debug("Trailing stop updated: {} -> {}", current_trailing, new_trail)
+                return new_trail
+            return current_trailing
+
+        else:  # SHORT
+            pnl_pct = (entry_price - current_price) / entry_price
+            if pnl_pct < self.trailing_activation_pct:
+                return current_trailing
+
+            new_trail = current_price * (1 + self.trailing_distance_pct)
+            if current_trailing is None or new_trail < current_trailing:
+                logger.debug("Trailing stop updated: {} -> {}", current_trailing, new_trail)
+                return new_trail
+            return current_trailing