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clean: clean code, add comments, add more report on exit
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zenix
parent
0ff3d94919
commit
28d01486ee
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@ -31,6 +31,12 @@ exchangeStrategies:
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ccistochFilterHigh: 80
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# CCI Stochastic Indicator low filter
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ccistochFilterLow: 20
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# ewo change rate histogram's upperbound filter
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# set to 1 would intend to let all ewo pass
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ewoChngFilterHigh: 1.
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# ewo change rate histogram's lowerbound filter
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# set to 0 would intend to let all ewo pass
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ewoChngFilterLow: 0.0
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# print record exit point in log messages
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record: false
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@ -17,10 +17,6 @@ import (
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)
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const ID = "ewo_dgtrd"
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const ewoChangeFilterHigh = 1
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const ewoChangeFilterLow = 0.000
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const record = false
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var log = logrus.WithField("strategy", ID)
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@ -32,19 +28,21 @@ type Strategy struct {
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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Market types.Market
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Session *bbgo.ExchangeSession
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UseHeikinAshi bool `json:"useHeikinAshi"` // use heikinashi kline
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Stoploss fixedpoint.Value `json:"stoploss"`
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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UseEma bool `json:"useEma"` // use exponential ma or not
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UseSma bool `json:"useSma"` // if UseEma == false, use simple ma or not
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SignalWindow int `json:"sigWin"` // signal window
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DisableShortStop bool `json:"disableShortStop"` // disable SL on short
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DisableLongStop bool `json:"disableLongStop"` // disable SL on long
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FilterHigh float64 `json:"ccistochFilterHigh"` // high filter for CCI Stochastic indicator
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FilterLow float64 `json:"ccistochFilterLow"` // low filter for CCI Stochastic indicator
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Market types.Market
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Session *bbgo.ExchangeSession
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UseHeikinAshi bool `json:"useHeikinAshi"` // use heikinashi kline
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Stoploss fixedpoint.Value `json:"stoploss"`
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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UseEma bool `json:"useEma"` // use exponential ma or not
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UseSma bool `json:"useSma"` // if UseEma == false, use simple ma or not
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SignalWindow int `json:"sigWin"` // signal window
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DisableShortStop bool `json:"disableShortStop"` // disable SL on short
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DisableLongStop bool `json:"disableLongStop"` // disable SL on long
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FilterHigh float64 `json:"ccistochFilterHigh"` // high filter for CCI Stochastic indicator
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FilterLow float64 `json:"ccistochFilterLow"` // low filter for CCI Stochastic indicator
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EwoChangeFilterHigh float64 `json:"ewoChngFilterHigh"` // high filter for ewo histogram
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EwoChangeFilterLow float64 `json:"ewoChngFilterLow"` // low filter for ewo histogram
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Record bool `json:"record"` // print record messages on position exit point
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@ -661,17 +659,20 @@ func (s *Strategy) GetLastPrice() fixedpoint.Value {
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// Trading Rules:
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// - buy / sell the whole asset
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// - SL by atr (lastprice < buyprice - atr * 2) || (lastprice > sellprice + atr * 2)
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// - TP by cci stoch invert or ewo invert
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// - TP by (lastprice < peak price - atr * 2) || (lastprice > bottom price + atr * 2)
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// - SL by atr (lastprice < buyprice - atr) || (lastprice > sellprice + atr)
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// - TP by detecting if there's a ewo pivotHigh(1,1) -> close long, or pivotLow(1,1) -> close short
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// - TP by ma34 +- atr * 2
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// - TP by (lastprice < peak price - atr) || (lastprice > bottom price + atr)
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// - SL by s.Stoploss (Abs(price_diff / price) > s.Stoploss)
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// - entry condition on ewo(Elliott wave oscillator) Crosses ewoSignal(ma on ewo, signalWindow)
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// * buy signal on crossover
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// * sell signal on crossunder
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// * buy signal on (crossover on previous K bar and no crossunder on latest K bar)
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// * sell signal on (crossunder on previous K bar and no crossunder on latest K bar)
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// - and filtered by the following rules:
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// * buy: buy signal ON, kline Close > Open, Close > ma(Window=5), CCI Stochastic Buy signal
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// * sell: sell signal ON, kline Close < Open, Close < ma(Window=5), CCI Stochastic Sell signal
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// Cancel non-fully filled orders every s.Interval
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// * buy: buy signal ON, kline Close > Open, Close > ma5, Close > ma34, CCI Stochastic Buy signal
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// * sell: sell signal ON, kline Close < Open, Close < ma5, Close < ma34, CCI Stochastic Sell signal
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// - or entry when ma34 +- atr * 3 gets touched
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// - entry price: latestPrice +- atr / 2 (short,long), close at market price
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// Cancel non-fully filled orders on new signal (either in same direction or not)
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//
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// ps: kline might refer to heikinashi or normal ohlc
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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@ -807,9 +808,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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shortSig := s.ewo.Last() < s.ewo.Index(1) && s.ewo.Index(1) > s.ewo.Index(2)
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longSig := s.ewo.Last() > s.ewo.Index(1) && s.ewo.Index(1) < s.ewo.Index(2)
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//shortSignal := types.CrossUnder(s.ewo, s.ewoSignal)
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//longSignal := types.CrossOver(s.ewo, s.ewoSignal)
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sellOrderTPSL := func(price fixedpoint.Value) {
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lastPrice := s.GetLastPrice()
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base := s.Position.GetBase().Abs()
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@ -835,7 +833,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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base := fixedpoint.NewFromFloat(s.ma34.Last())
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// TP
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if lastPrice.Compare(s.sellPrice) < 0 && (longSig ||
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//longSignal.Last() ||
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(!atrx2.IsZero() && base.Sub(atrx2).Compare(lastPrice) >= 0)) {
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buyall = true
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takeProfit = true
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@ -946,7 +943,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// TP
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base := fixedpoint.NewFromFloat(s.ma34.Last())
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if lastPrice.Compare(s.buyPrice) > 0 && (shortSig ||
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//shortSignal.Last() ||
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(!atrx2.IsZero() && base.Add(atrx2).Compare(lastPrice) <= 0)) {
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sellall = true
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takeProfit = true
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@ -1141,11 +1137,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ewoChangeRate = math.Abs(s.ewoHistogram.Last() / ewoHighest * priceChangeRate)
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// To get the threshold for ewo
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// mean := types.Mean(types.Abs(s.ewo), 10)
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// std := types.Stdev(s.ewo, 10)
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//shortSig := s.ewo.Last() < s.ewo.Index(1) && s.ewo.Index(1) > s.ewo.Index(2)
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//longSig := s.ewo.Last() > s.ewo.Index(1) && s.ewo.Index(1) < s.ewo.Index(2)
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longSignal := types.CrossOver(s.ewo, s.ewoSignal)
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shortSignal := types.CrossUnder(s.ewo, s.ewoSignal)
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@ -1161,9 +1152,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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breakDown := clozes.Last() < s.ma5.Last() && clozes.Last() < s.ma34.Last()
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// kline breakthrough ma5, ma34 trend up, and cci Stochastic bull
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IsBull := bull && breakThrough && s.ccis.BuySignal() && s.ewoChangeRate < ewoChangeFilterHigh && s.ewoChangeRate > ewoChangeFilterLow
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IsBull := bull && breakThrough && s.ccis.BuySignal() && s.ewoChangeRate < s.EwoChangeFilterHigh && s.ewoChangeRate > s.EwoChangeFilterLow
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// kline downthrough ma5, ma34 trend down, and cci Stochastic bear
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IsBear := !bull && breakDown && s.ccis.SellSignal() && s.ewoChangeRate < ewoChangeFilterHigh && s.ewoChangeRate > ewoChangeFilterLow
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IsBear := !bull && breakDown && s.ccis.SellSignal() && s.ewoChangeRate < s.EwoChangeFilterHigh && s.ewoChangeRate > s.EwoChangeFilterLow
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if !s.Environment.IsBackTesting() {
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log.Infof("IsBull: %v, bull: %v, longSignal[1]: %v, shortSignal: %v, lastPrice: %v",
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@ -1273,6 +1264,31 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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color.HiBlue("WinRate: %f", float64(totalTP)/float64(totalTP+totalSL))
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maString := "vwema"
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if s.UseSma {
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maString = "sma"
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}
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if s.UseEma {
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maString = "ema"
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}
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color.HiYellow("----- EWO Settings -------")
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color.HiYellow("General:")
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color.HiYellow("\tuseHeikinAshi: %v", s.UseHeikinAshi)
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color.HiYellow("\tstoploss: %v", s.Stoploss)
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color.HiYellow("\tsymbol: %s", s.Symbol)
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color.HiYellow("\tinterval: %s", s.Interval)
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color.HiYellow("\tMA type: %s", maString)
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color.HiYellow("\tdisableShortStop: %v", s.DisableShortStop)
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color.HiYellow("\tdisableLongStop: %v", s.DisableLongStop)
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color.HiYellow("\trecord: %v", s.Record)
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color.HiYellow("CCI Stochastic:")
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color.HiYellow("\tccistochFilterHigh: %f", s.FilterHigh)
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color.HiYellow("\tccistochFilterLow: %f", s.FilterLow)
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color.HiYellow("Ewo && Ewo Histogram:")
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color.HiYellow("\tsigWin: %d", s.SignalWindow)
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color.HiYellow("\tewoChngFilterHigh: %f", s.EwoChangeFilterHigh)
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color.HiYellow("\tewoChngFilterLow: %f", s.EwoChangeFilterLow)
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})
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return nil
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}
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