# imre/strategies/nq_morning_gap_fill_v1/strategy.py from typing import Optional from runner.types import Bar, Signal, Trade, Direction class NQ_Morning_Gap_Fill: """Production strategy (5m NQ, RTH). Captures 9:30 open, enters 10:00–11:30 on gap-fill reversal.""" PARAM_GRID = { "distance_threshold": [40, 80], "entry_window_end": [1030, 1130], } def __init__(self, **config): self.name = "NQ_Morning_Gap_Fill" self.config_dict = { "distance_threshold": 60, "entry_window_start": 1000, "entry_window_end": 1100, "stop_points": 40, } self.config_dict.update(config) self.reset() def reset(self): self.open_price: Optional[float] = None self.traded_today: bool = False self.prev_bar: Optional[Bar] = None def on_bar(self, bar: Bar, idx: int) -> Optional[Signal]: # קפוץ 9:30 — פתח של תחילת יום if bar.hhmm == 930 and self.open_price is None: self.open_price = bar.open # ולא בשעות סגירה if bar.hhmm < 945 or bar.hhmm > 1530: return None # סחרנו כבר היום if self.traded_today: return None distance_from_open = bar.close - self.open_price if abs(distance_from_open) < self.config_dict["distance_threshold"]: return None # התחובר סיגנל אם המחיר עלה + בר קודם יורד if distance_from_open > 0: if self.prev_bar.close < self.prev_bar.open: signal = Signal( direction=Direction.SHORT, entry_price=bar.close, stop_price=bar.close + self.config_dict["stop_points"], target_price=self.open_price, bar_index=idx, bar_dt=bar.dt, ) self.traded_today = True return signal self.prev_bar = bar return None def on_trade_closed(self, trade: Trade): pass Strategy = NQ_Morning_Gap_Fill