strat meanRevert + diagramme

auto_trading/strat/meanRevert.py

@@ -0,0 +1,27 @@
+from ..interfaces import Strategy, Portfolio
+import numpy as np
+
+class meanRevert(Strategy):
+    """Just all in the greatest result"""
+
+    def __init__(self):
+        """Initialise the anti strat"""
+
+    def run(self, ptf: Portfolio, result: dict, current_conversion_rate: dict) -> None:
+        """Run the strategy"""
+        # first sell all the stocks
+        money = 0
+        for stock, amount in ptf.content().items():
+            #print(f"{stock}: {amount}")
+            if amount > 0:
+                money += current_conversion_rate[stock]*amount
+                ptf.widraw(amount, stock)
+        
+        # after get the greatest result
+        result = {k:-1 if np.isnan(v) else v for k,v in result.items() }
+        epsilon = 1e-6
+        greatest = max(result, key=lambda k: result[k]-(np.inf if current_conversion_rate[k]<epsilon else 0))
+        
+        # then buy all the greatest result
+        to_add = money/current_conversion_rate[greatest]
+        ptf.deposit(to_add, greatest)