News straddle strategy

News Straddle & Event Trading Strategy

import pandas as pd, numpy as np

class NewsStraddleStrategy:

    @staticmethod
    def pre_news_straddle(current_price: float, atr: float, spread_pips: float) -> dict:
        """Place pending orders both sides before high-impact news."""
        buffer = atr * 0.5
        return {
            "strategy": "pre_news_straddle",
            "buy_stop": round(current_price + buffer, 5),
            "sell_stop": round(current_price - buffer, 5),
            "buy_sl": round(current_price, 5),
            "sell_sl": round(current_price, 5),
            "buy_tp": round(current_price + buffer + atr * 2, 5),
            "sell_tp": round(current_price - buffer - atr * 2, 5),
            "timing": "Place 2-5 minutes before news release",
            "cancel_unfilled": "Remove unfilled order immediately after news hits",
            "WARNING": "Spread widens massively during news. Slippage is real. Use limit orders where possible.",
            "risk": "HIGH — only use with 0.5% risk max",
        }

    @staticmethod
    def spike_fade(spike_direction: str, spike_high: float, spike_low: float, atr: float) -> dict:
        """Fade the initial news spike after it overextends."""
        if spike_direction == "up":
            entry = round(spike_high - atr * 0.3, 5)
            sl = round(spike_high + atr * 0.5, 5)
            tp = round(spike_high - atr * 1.5, 5)
        else:
            entry = round(spike_low + atr * 0.3, 5)
            sl = round(spike_low - atr * 0.5, 5)
            tp = round(spike_low + atr * 1.5, 5)
        return {
            "strategy": "spike_fade",
            "entry": entry, "sl": sl, "tp": tp,
            "direction": "SELL" if spike_direction == "up" else "BUY",
            "timing": "Wait 5-15 minutes after spike for momentum to exhaust",
            "confirmation": "Look for rejection candle (pin bar, engulfing) at spike extreme",
            "win_rate": "~55-60% historically — initial spikes retrace 50-70% of the move",
        }

    @staticmethod
    def news_momentum(data_surprise: float, direction: str, atr: float, entry_price: float) -> dict:
        """Ride the momentum when data significantly beats/misses expectations."""
        if abs(data_surprise) < 0.5:
            return {"signal": "NO TRADE — data in line with expectations, no directional edge"}
        strength = "STRONG" if abs(data_surprise) > 2 else "MODERATE"
        return {
            "strategy": "news_momentum",
            "surprise_magnitude": round(data_surprise, 2),
            "direction": direction,
            "strength": strength,
            "entry": round(entry_price, 5),
            "sl": round(entry_price - atr * 1.5, 5) if direction == "BUY" else round(entry_price + atr * 1.5, 5),
            "tp": round(entry_price + atr * 3, 5) if direction == "BUY" else round(entry_price - atr * 3, 5),
            "hold": "30 min to 4 hours depending on follow-through",
        }

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