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perf: avoid smart money OBV allocation #18

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perf: avoid smart money OBV allocation #18

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19 changes: 7 additions & 12 deletions app/strategies/quant_algos/smart_money.py
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Original file line number Diff line number Diff line change
Expand Up @@ -30,17 +30,15 @@ def _atr(candles: List[dict], period: int = 14) -> float:
return sum(tr_list[-period:]) / period if len(tr_list) >= period else 0.0


def _obv_series(candles: List[dict]) -> List[float]:
obv = 0.0
out = [0.0]
for i in range(1, len(candles)):
def _obv_trending_up(candles: List[dict], lookback: int) -> bool:
obv_delta = 0.0
for i in range(len(candles) - lookback, len(candles)):
v = candles[i].get("volume", 0) or 0
if candles[i]["close"] >= candles[i - 1]["close"]:
obv += v
obv_delta += v
else:
obv -= v
out.append(obv)
return out
obv_delta -= v
return obv_delta > 0


def smart_money(
Expand Down Expand Up @@ -75,10 +73,7 @@ def smart_money(
return 0.0, "doji / flat candle"
close_pos = (close - low) / (high - low) # 0..1, 1 = at high

obv = _obv_series(candles)
obv_now = obv[-1]
obv_then = obv[-(obv_window + 1)]
obv_up = obv_now > obv_then
obv_up = _obv_trending_up(candles, obv_window)

vol_ok = vol_ratio >= vol_mult
close_ok = close_pos >= (1.0 - close_top_frac)
Expand Down