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strategy/supertrend: config switch for stop by different signals
This commit is contained in:
Andy Cheng
parent
1573a9acf3
commit
0a0e5ac4d8
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@ -36,7 +36,7 @@ exchangeStrategies:
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symbol: BTCUSDT
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# interval is how long do you want to update your order price and quantity
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interval: 1h
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interval: 5m
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# leverage is the leverage of the orders
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leverage: 1.0
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@ -48,15 +48,26 @@ exchangeStrategies:
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# Supertrend indicator parameters
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superTrend:
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# ATR window used by Supertrend
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averageTrueRangeWindow: 39
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averageTrueRangeWindow: 49
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# ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
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averageTrueRangeMultiplier: 3
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averageTrueRangeMultiplier: 4
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# Use linear regression as trend confirmation
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linearRegression:
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interval: 5m
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window: 80
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# TP according to ATR multiple, 0 to disable this
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takeProfitMultiplier: 3
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TakeProfitAtrMultiplier: 0
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# Set SL price to the low of the triggering Kline
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stopLossByTriggeringK: true
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stopLossByTriggeringK: false
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# TP/SL by reversed signals
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tpslBySignal: true
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# TP/SL by reversed supertrend signal
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stopByReversedSupertrend: false
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# TP/SL by reversed DEMA signal
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stopByReversedDema: false
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# TP/SL by reversed linear regression signal
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stopByReversedLinGre: false
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@ -22,6 +22,12 @@ const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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// TODO: SL by fixed percentage
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// TODO: limit order if possible
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// TODO: refine log
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// TODO: lingre as indicator
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// TODO: types.TradeStats
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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@ -115,20 +121,26 @@ type Strategy struct {
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// SupertrendMultiplier ATR multiplier for calculation of supertrend
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SupertrendMultiplier float64 `json:"supertrendMultiplier"`
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// Linear Regression
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LinearRegression *LinGre `json:"linearRegression"`
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// LinearRegression Use linear regression as trend confirmation
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LinearRegression *LinGre `json:"linearRegression,omitempty"`
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// Leverage
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Leverage float64 `json:"leverage"`
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// TakeProfitMultiplier TP according to ATR multiple, 0 to disable this
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TakeProfitMultiplier float64 `json:"takeProfitMultiplier"`
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// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
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TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`
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// StopLossByTriggeringK Set SL price to the low of the triggering Kline
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// StopLossByTriggeringK Set SL price to the low/high of the triggering Kline
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StopLossByTriggeringK bool `json:"stopLossByTriggeringK"`
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// TPSLBySignal TP/SL by reversed signals
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TPSLBySignal bool `json:"tpslBySignal"`
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// StopByReversedSupertrend TP/SL by reversed supertrend signal
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StopByReversedSupertrend bool `json:"stopByReversedSupertrend"`
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// StopByReversedDema TP/SL by reversed DEMA signal
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StopByReversedDema bool `json:"stopByReversedDema"`
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// StopByReversedLinGre TP/SL by reversed linear regression signal
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StopByReversedLinGre bool `json:"stopByReversedLinGre"`
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currentTakeProfitPrice fixedpoint.Value
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currentStopLossPrice fixedpoint.Value
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@ -360,10 +372,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Update indicators
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s.updateIndicators(kline)
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// Get signals
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closePrice := kline.GetClose().Float64()
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openPrice := kline.GetOpen().Float64()
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// Supertrend signal
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stSignal := s.Supertrend.GetSignal()
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// DEMA signal
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var demaSignal types.Direction
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if closePrice > s.fastDEMA.Last() && closePrice > s.slowDEMA.Last() && !(openPrice > s.fastDEMA.Last() && openPrice > s.slowDEMA.Last()) {
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demaSignal = types.DirectionUp
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@ -373,41 +388,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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demaSignal = types.DirectionNone
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}
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base := s.Position.GetBase()
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baseSign := base.Sign()
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// TP/SL if there's non-dust position
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if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
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if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
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// SL by triggering Kline low
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log.Infof("%s SL by triggering Kline low", s.Symbol)
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bbgo.Notify("%s StopLoss by triggering the kline low", s.Symbol)
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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} else if s.TakeProfitMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
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// TP by multiple of ATR
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log.Infof("%s TP by multiple of ATR", s.Symbol)
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bbgo.Notify("%s TakeProfit by multiple of ATR", s.Symbol)
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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} else if s.TPSLBySignal {
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// Use signals to TP/SL
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log.Infof("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
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bbgo.Notify("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
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if (baseSign < 0 && (stSignal == types.DirectionUp || demaSignal == types.DirectionUp)) || (baseSign > 0 && (stSignal == types.DirectionDown || demaSignal == types.DirectionDown)) {
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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}
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}
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}
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// Linear Regression
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// Linear Regression signal
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var lgSignal types.Direction
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if s.LinearRegression != nil {
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switch {
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@ -420,6 +401,43 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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base := s.Position.GetBase()
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baseSign := base.Sign()
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// TP/SL if there's non-dust position and meets the criteria
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if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
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stopNow := false
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if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
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// SL by triggering Kline low/high
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bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
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stopNow = true
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} else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
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// TP by multiple of ATR
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bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
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stopNow = true
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} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
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// Use supertrend signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
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stopNow = true
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} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
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// Use DEMA signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
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stopNow = true
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} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
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// Use linear regression signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
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stopNow = true
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}
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if stopNow {
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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}
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}
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// Open position
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var side types.SideType
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if stSignal == types.DirectionUp && demaSignal == types.DirectionUp && (s.LinearRegression == nil || lgSignal == types.DirectionUp) {
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@ -427,16 +445,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if s.StopLossByTriggeringK {
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s.currentStopLossPrice = kline.GetLow()
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}
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if s.TakeProfitMultiplier > 0 {
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s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
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if s.TakeProfitAtrMultiplier > 0 {
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s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
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}
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} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown && (s.LinearRegression == nil || lgSignal == types.DirectionDown) {
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side = types.SideTypeSell
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if s.StopLossByTriggeringK {
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s.currentStopLossPrice = kline.GetHigh()
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}
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if s.TakeProfitMultiplier > 0 {
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s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
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if s.TakeProfitAtrMultiplier > 0 {
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s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
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}
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}
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