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feature: implement Elliott Wave Oscilla

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zenix 2022-04-07 19:25:02 +09:00
parent 339c72a554
commit 017dd4175a
2 changed files with 205 additions and 0 deletions
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103
pkg/strategy/ewo_dgtrd/2 Normal file
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package ewo_dgtrd
import (
"context"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "ewo_dgtrd"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
Threshold float64 `json:"threshold"` // strength threshold
UseEma bool `json:"useEma"` // use exponential ma or simple ma
SignalWindow int `json:"sigWin"` // signal window
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
log.Infof("subscribe %s", s.Symbol)
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
type EwoSignal interface {
types.Series
Update(value float64)
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
store, ok := session.MarketDataStore(s.Symbol)
if !ok {
log.Errorf("cannot find symbol %s", s.Symbol)
return
}
klineWindow, ok := store.KLinesOfInterval(s.Interval)
if !ok {
log.Errorf("cannot find kline window of %v", s.Interval)
return
}
indicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
log.Errorf("cannot get indicatorSet of %s", s.Symbol)
return
}
var ma5, ma34 Series
if s.UseEma {
ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
ma34 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 34})
} else {
ma5 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 5})
ma34 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 34})
}
var ewoSignal EwoSignal
if s.UseEma {
ewoSignal := &indicator.EWMA{types.IntervalWindow{s.Interval, s.SignalWindow}}
} else {
ewoSignal := &indicator.SMA{types.IntervalWindow{s.Interval, s.SignalWindow}}
}
for _, kline := range klineWindow {
ewoSignal.Update(kline)
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
var ewo
if kline.Symbol != s.Symbol {
return
}
ewo = types.Mul(types.Minus(types.Div(ma5, ma34), 1.0), 100.)
ewoSignal.Update(ewo.Last())
if s.UseEma {
ewoSignal = indicator.EWMA(ewo, s.SignalWindow)
} else {
ewoSignal = sma(ewo, s.SignalWindow)
}
if CrossOver(ewo, ewoSignal).Last() {
if ewo.Last() < -s.Threshold {
// strong long
} else {
// Long
}
} else if CrossUnder(ewo, ewoSignal).Last() {
if ewo.Last() > s.Threshold {
// Strong short
} else {
// short
}
}
}

102
pkg/strategy/ewo_dgtrd/strategy.go Normal file
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package ewo_dgtrd
import (
"context"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "ewo_dgtrd"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
Threshold float64 `json:"threshold"` // strength threshold
UseEma bool `json:"useEma"` // use exponential ma or simple ma
SignalWindow int `json:"sigWin"` // signal window
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
log.Infof("subscribe %s", s.Symbol)
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
type EwoSignal interface {
types.Series
Update(value float64)
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
indicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
log.Errorf("cannot get indicatorSet of %s", s.Symbol)
return nil
}
var ma5, ma34, ewo types.Series
if s.UseEma {
ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
ma34 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 34})
} else {
ma5 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 5})
ma34 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 34})
}
ewo = types.Mul(types.Minus(types.Div(ma5, ma34), 1.0), 100.)
var ewoSignal EwoSignal
if s.UseEma {
ewoSignal = &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
} else {
ewoSignal = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.Symbol {
return
}
if ewoSignal.Length() == 0 {
// lazy init
ewoVals := types.ToReverseArray(ewo)
for _, ewoValue := range ewoVals {
ewoSignal.Update(ewoValue)
}
} else {
ewoSignal.Update(ewo.Last())
}
lastPrice, ok := session.LastPrice(s.Symbol)
if !ok {
return
}
if types.CrossOver(ewo, ewoSignal).Last() {
if ewo.Last() < -s.Threshold {
// strong long
log.Infof("strong long at %v", lastPrice)
} else {
log.Infof("long at %v", lastPrice)
// Long
}
} else if types.CrossUnder(ewo, ewoSignal).Last() {
if ewo.Last() > s.Threshold {
// Strong short
log.Infof("strong short at %v", lastPrice)
} else {
// short
log.Infof("short at %v", lastPrice)
}
}
})
return nil
}