From 085e51abf1e35fa4a5e9af0db1e71820ec643aea Mon Sep 17 00:00:00 2001
From: Yuxuan Yan <yyan.tsinghua@gmail.com>
Date: Sun, 7 Jun 2026 09:26:35 +0800
Subject: [PATCH] feat: add 5-day reversal strategy

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
---
 run_example.py         |  8 ++++----
 strategies/reversal.py | 27 +++++++++++++++++++++++++++
 tests/test_reversal.py | 21 +++++++++++++++++++++
 3 files changed, 52 insertions(+), 4 deletions(-)
 create mode 100644 strategies/reversal.py
 create mode 100644 tests/test_reversal.py

diff --git a/run_example.py b/run_example.py
index dc6bfb9..2ff2ef8 100644
--- a/run_example.py
+++ b/run_example.py
@@ -1,9 +1,9 @@
 #!/usr/bin/env python3
-"""End-to-end smoke test: download data -> backtest SMA crossover -> print results."""
+"""End-to-end smoke test: download data -> backtest 5-day reversal -> print results."""
 import logging
 from backtest.config import BacktestConfig
 from backtest.runner import BacktestRunner
-from strategies.base import SmaCross
+from strategies.reversal import FiveDayReversal
 from analysis.report import print_results
 
 logging.basicConfig(level=logging.INFO, format="%(asctime)s [%(levelname)s] %(message)s")
@@ -11,14 +11,14 @@ logging.basicConfig(level=logging.INFO, format="%(asctime)s [%(levelname)s] %(me
 
 def main():
     config = BacktestConfig(
-        symbols=["sh600000"],  # 浦发银行
+        symbols=["sh600000", "sz000001", "sh600519"],  # 浦发银行, 平安银行, 贵州茅台
         start_date="2023-01-01",
         end_date="2024-12-31",
         initial_cash=1_000_000,
     )
 
     runner = BacktestRunner(config)
-    results = runner.run(SmaCross)
+    results = runner.run(FiveDayReversal)
     print_results(results, config.initial_cash)
 
 
diff --git a/strategies/reversal.py b/strategies/reversal.py
new file mode 100644
index 0000000..ab6e6c3
--- /dev/null
+++ b/strategies/reversal.py
@@ -0,0 +1,27 @@
+import backtrader as bt
+
+
+class FiveDayReversal(bt.Strategy):
+    """Buy on 5-day oversold signal, sell on bounce or time stop."""
+
+    params = (
+        ("lookback", 5),
+        ("entry_threshold", -0.05),  # buy when 5-day return < -5%
+        ("exit_threshold", 0.0),     # sell when 1-day return > 0%
+        ("max_hold", 3),             # max hold days
+    )
+
+    def __init__(self):
+        self.roc5 = bt.indicators.RateOfChange(self.data.close, period=self.params.lookback)
+        self.hold_counter = 0
+
+    def next(self):
+        if not self.position:
+            if self.roc5[0] < self.params.entry_threshold:  # RateOfChange returns a fraction, not %
+                self.buy()
+                self.hold_counter = 0
+        else:
+            self.hold_counter += 1
+            roc1 = (self.data.close[0] / self.data.close[-1] - 1) * 100
+            if roc1 > self.params.exit_threshold * 100 or self.hold_counter >= self.params.max_hold:
+                self.close()
diff --git a/tests/test_reversal.py b/tests/test_reversal.py
new file mode 100644
index 0000000..6ed7cdb
--- /dev/null
+++ b/tests/test_reversal.py
@@ -0,0 +1,21 @@
+import pytest
+from backtest.config import BacktestConfig
+from backtest.runner import BacktestRunner
+from strategies.reversal import FiveDayReversal
+
+
+def test_reversal_smoke():
+    """Smoke test: run a minimal reversal backtest and check results exist."""
+    config = BacktestConfig(
+        symbols=["sh600000"],
+        start_date="2024-01-01",
+        end_date="2024-03-31",
+        initial_cash=100_000,
+    )
+    runner = BacktestRunner(config)
+    results = runner.run(FiveDayReversal)
+    assert results is not None
+    assert len(results) == 1
+    # Check analyzers exist
+    sharpe = results[0].analyzers.sharpe.get_analysis()
+    assert "sharperatio" in sharpe