Fading sweeps of yesterday's high and low

1"""Previous-day high and low sweep fade on Micro E-mini Nasdaq-100 (MNQ) 5-minute bars, regular session.2 3Rules:4  1. Yesterday's high and low are its regular-session (09:30-16:00 ET) extremes. The day must open5     inside them.6  2. After a bar trades above yesterday's high, sell the first close back below it if that close comes7     within `reclaim_bars` (3) bars, counting the bar that went above. Yesterday's low is the mirror8     image (buy). Each level gets one try a day, from 09:30 to 12:00 ET.9  3. Stop: one tick beyond the extreme of the sweep (the highest high since price went above).10  4. Target: `target_r` (2) times the risk. Trades risking under 0.05% or over 0.5% of price are skipped.11  5. Exit: the stop, the target, or flat at 15:55 ET. One trade a day.12  6. Size: about `risk_usd` dollars of risk a trade (micro contracts, rounded down, at least 1 and at13     most `max_contracts`).14"""15import qy16 17 18class Bot(qy.Strategy):19    """Fade a failed poke through yesterday's high or low."""20 21    symbol = "MNQ"22    timeframe = "5m"23    session = "rth"24    params = {"reclaim_bars": 3, "target_r": 2.0, "risk_usd": 250, "max_contracts": 50}25    max_position = 5026    entry_window = ("09:35", "12:00")27    flatten_time = "15:55"28    overnight = False29 30    def setup(self):31        self.day = None32        self.h = self.l = None33        self.yh = self.yl = None34 35    def _size(self, risk_points):36        per_contract = risk_points * self.point_value37        n = int(self.p.risk_usd // per_contract) if per_contract > 0 else 138        return max(1, min(self.p.max_contracts, n))39 40    def on_bar(self, bar):41        if bar.date != self.day:42            if self.h is not None:43                self.yh, self.yl = self.h, self.l44            self.day, self.h, self.l = bar.date, bar.high, bar.low45            self.ok = self.yh is not None and self.yl < bar.open < self.yh46            self.up = self.dn = None          # [bars since the poke, extreme]47            self.tried_up = self.tried_dn = False48        else:49            self.h, self.l = max(self.h, bar.high), min(self.l, bar.low)50        if not self.ok or self.trades_today >= 1 or not self.position.is_flat or self.orders:51            return52        t = bar.dt.hour * 60 + bar.dt.minute + 553        if t >= 720:54            return55        tick = self.tick_size56        if not self.tried_up:57            if self.up is None and bar.high > self.yh:58                self.up = [0, bar.high]59            if self.up is not None:60                self.up = [self.up[0] + 1, max(self.up[1], bar.high)]61                if bar.close < self.yh:62                    self.tried_up = True63                    self._fade(-1, bar.close, self.up[1] + tick, self.up[0] - 1)64                    return65                if self.up[0] >= self.p.reclaim_bars:66                    self.tried_up = True67        if not self.tried_dn:68            if self.dn is None and bar.low < self.yl:69                self.dn = [0, bar.low]70            if self.dn is not None:71                self.dn = [self.dn[0] + 1, min(self.dn[1], bar.low)]72                if bar.close > self.yl:73                    self.tried_dn = True74                    self._fade(1, bar.close, self.dn[1] - tick, self.dn[0] - 1)75                    return76                if self.dn[0] >= self.p.reclaim_bars:77                    self.tried_dn = True78 79    def _fade(self, d, close, stop, bars):80        risk = abs(close - stop)81        if not 0.0005 * close <= risk <= 0.005 * close:82            return83        f = risk / close * 10084        if d > 0:85            self.buy(self._size(risk), stop_price=stop, target_r=self.p.target_r, tag=f"PDL sweep long | f={f:.4f}")86        else:87            self.sell(self._size(risk), stop_price=stop, target_r=self.p.target_r, tag=f"PDH sweep short | f={f:.4f}")