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strategy: pivot: add shadow TP

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strategy: pivot: add shadow TP
This commit is contained in:
austin362667 2022-05-10 12:52:58 +08:00 committed by Austin Liu
parent 04ae49263d
commit 1a441425b5
2 changed files with 10 additions and 3 deletions
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3
config/pivot.yaml
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@ -13,6 +13,7 @@ exchangeStrategies:
quantity: 0.95
stopLossRatio: 0.8%
catBounceRatio: 3%
shadowTPRatio: 2.5%
backtest:
sessions:
@ -28,4 +29,4 @@ backtest:
binance:
balances:
BTC: 1.0
BUSD: 5_000.0
BUSD: 1_000.0

10
pkg/strategy/pivot/strategy.go
View File

@ -11,6 +11,7 @@ import (
const ID = "pivot"
var fifteen = fixedpoint.NewFromInt(15)
var three = fixedpoint.NewFromInt(3)
var log = logrus.WithField("strategy", ID)
@ -32,13 +33,13 @@ type Strategy struct {
Position *types.Position `json:"position,omitempty"`
StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
activeMakerOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
session *bbgo.ExchangeSession
book *types.StreamOrderBook
//pivotHigh *PIVOTHIGH
pivot *Pivot
@ -139,11 +140,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
} else {
lastLow = fixedpoint.Zero
// SL || TP
if kline.Close.Div(s.Position.AverageCost).Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 || kline.Close.Div(s.Position.AverageCost).Compare(fixedpoint.One.Sub(s.StopLossRatio.Mul(fixedpoint.NewFromInt(15)))) < 0 {
R := kline.Close.Div(s.Position.AverageCost)
if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 || R.Compare(fixedpoint.One.Sub(s.StopLossRatio.Mul(fifteen))) < 0 {
if s.Position.GetBase().Compare(s.Quantity.Neg()) <= 0 {
s.ClosePosition(ctx, fixedpoint.One)
s.tradeCollector.Process()
}
// shadow TP
} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
s.ClosePosition(ctx, fixedpoint.One)
s.tradeCollector.Process()
}
}
if !lastLow.IsZero() {