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Merge pull request #970 from zenixls2/fix/drift_position
refactor: extract stoploss, fix highest/lowest in trailingExit
This commit is contained in:
Yo-An Lin
GitHub
commit
294a58cbfd
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@ -26,35 +26,31 @@ exchangeStrategies:
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canvasPath: "./output.png"
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symbol: ETHBUSD
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limitOrder: false
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quantity: 0.01
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# kline interval for indicators
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interval: 2m
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window: 6
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interval: 1m
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window: 1
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useAtr: true
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useStopLoss: true
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stoploss: 0.23%
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source: ohlc4
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.03
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hlVarianceMultiplier: 0.13
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hlRangeWindow: 4
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smootherWindow: 3
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fisherTransformWindow: 117
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window1m: 42
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smootherWindow1m: 118
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fisherTransformWindow1m: 319
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smootherWindow: 19
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fisherTransformWindow: 73
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 3
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pendingMinutes: 5
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 2
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trailingActivationRatio: [0.0015, 0.002, 0.004, 0.01]
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trailingCallbackRate: [0.0001, 0.00012, 0.001, 0.002]
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#driftFilterPos: 0.4
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#driftFilterNeg: -0.42
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#ddriftFilterPos: 0
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#ddriftFilterNeg: 0
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generateGraph: true
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graphPNLDeductFee: true
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@ -92,7 +88,7 @@ sync:
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- ETHBUSD
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backtest:
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startTime: "2022-09-01"
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startTime: "2022-09-25"
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endTime: "2022-09-30"
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symbols:
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- ETHBUSD
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@ -102,5 +98,5 @@ backtest:
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makerFeeRate: 0.0000
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takerFeeRate: 0.0000
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balances:
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ETH: 0
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BUSD: 1000.0
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ETH: 0.03
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BUSD: 0
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@ -27,46 +27,42 @@ exchangeStrategies:
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- on: binance
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drift:
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limitOrder: false
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quantity: 0.001
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#quantity: 0.0012
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canvasPath: "./output.png"
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symbol: BTCUSDT
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# kline interval for indicators
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interval: 1m
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window: 4
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stoploss: 0.02%
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window: 6
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useAtr: true
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useStopLoss: false
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stoploss: 0.04%
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source: hl2
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: realtime
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# stddev on high/low-source
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hlVarianceMultiplier: 0.2
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hlVarianceMultiplier: 0.15
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hlRangeWindow: 4
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smootherWindow: 31
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fisherTransformWindow: 80
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window1m: 8
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smootherWindow1m: 4
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fisherTransformWindow1m: 320
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atrWindow: 14
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smootherWindow: 3
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fisherTransformWindow: 181
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#fisherTransformWindow: 117
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atrWindow: 24
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 3
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pendingMinutes: 5
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noRebalance: true
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trendWindow: 185
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rebalanceFilter: 1.2
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#driftFilterPos: 0.5
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#driftFilterNeg: -0.5
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#ddriftFilterPos: 0.0008
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#ddriftFilterNeg: -0.0008
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trendWindow: 15
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rebalanceFilter: -0.1
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# ActivationRatio should be increasing order
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# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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#trailingActivationRatio: [0.01, 0.016, 0.05]
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#trailingActivationRatio: [0.001, 0.0081, 0.022]
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trailingActivationRatio: [0.0007, 0.0016, 0.008, 0.01]
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trailingActivationRatio: [0.0004, 0.008, 0.002, 0.01]
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#trailingActivationRatio: []
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#trailingCallbackRate: []
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#trailingCallbackRate: [0.002, 0.01, 0.1]
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#trailingCallbackRate: [0.0004, 0.0009, 0.018]
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trailingCallbackRate: [0.0003, 0.0005, 0.0010, 0.0016]
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trailingCallbackRate: [0.00005, 0.00012, 0.0008, 0.0016]
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generateGraph: true
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graphPNLDeductFee: false
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@ -129,7 +125,7 @@ sync:
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- BTCUSDT
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backtest:
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startTime: "2022-09-26"
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startTime: "2022-09-25"
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endTime: "2022-09-30"
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symbols:
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- BTCUSDT
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@ -140,4 +136,4 @@ backtest:
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takerFeeRate: 0.000
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balances:
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BTC: 0
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USDT: 50
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USDT: 49
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@ -207,7 +207,7 @@ type OpenPositionOptions struct {
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Leverage fixedpoint.Value `json:"leverage,omitempty" modifiable:"true"`
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// Quantity will be used first, it will override the leverage if it's given
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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Quantity fixedpoint.Value `json:"quantity,omitempty" modifiable:"true"`
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// LimitOrder set to true to open a position with a limit order
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// default is false, and will send MarketOrder
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19
pkg/strategy/drift/stoploss.go
Normal file
19
pkg/strategy/drift/stoploss.go
Normal file
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@ -0,0 +1,19 @@
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package drift
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func (s *Strategy) CheckStopLoss() bool {
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stoploss := s.StopLoss.Float64()
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atr := s.atr.Last()
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if s.UseStopLoss {
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if s.sellPrice > 0 && s.sellPrice*(1.+stoploss) <= s.highestPrice ||
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s.buyPrice > 0 && s.buyPrice*(1.-stoploss) >= s.lowestPrice {
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return true
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}
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}
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if s.UseAtr {
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if s.sellPrice > 0 && s.sellPrice+atr <= s.highestPrice ||
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s.buyPrice > 0 && s.buyPrice-atr >= s.lowestPrice {
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return true
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}
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}
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return false
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}
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@ -73,7 +73,6 @@ type Strategy struct {
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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drift *DriftMA
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drift1m *DriftMA
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex `ignore:"true"`
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@ -86,6 +85,8 @@ type Strategy struct {
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beta float64
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UseStopLoss bool `json:"useStopLoss" modifiable:"true"`
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UseAtr bool `json:"useAtr" modifiable:"true"`
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StopLoss fixedpoint.Value `json:"stoploss" modifiable:"true"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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@ -93,9 +94,6 @@ type Strategy struct {
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NoTrailingStopLoss bool `json:"noTrailingStopLoss" modifiable:"true"`
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TrailingStopLossType string `json:"trailingStopLossType" modifiable:"true"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
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HLRangeWindow int `json:"hlRangeWindow"`
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Window1m int `json:"window1m"`
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FisherTransformWindow1m int `json:"fisherTransformWindow1m"`
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SmootherWindow1m int `json:"smootherWindow1m"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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@ -106,11 +104,6 @@ type Strategy struct {
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TrailingCallbackRate []float64 `json:"trailingCallbackRate" modifiable:"true"`
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TrailingActivationRatio []float64 `json:"trailingActivationRatio" modifiable:"true"`
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DriftFilterNeg float64 //`json:"driftFilterNeg" modifiable:"true"`
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DriftFilterPos float64 //`json:"driftFilterPos" modifiable:"true"`
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DDriftFilterNeg float64 //`json:"ddriftFilterNeg" modifiable:"true"`
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DDriftFilterPos float64 //`json:"ddriftFilterPos" modifiable:"true"`
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buyPrice float64 `persistence:"buy_price"`
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sellPrice float64 `persistence:"sell_price"`
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highestPrice float64 `persistence:"highest_price"`
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@ -143,10 +136,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// by default, bbgo only pre-subscribe 1000 klines.
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// this is not enough if we're subscribing 30m intervals using SerialMarketDataStore
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maxWindow := (s.Window + s.SmootherWindow + s.FisherTransformWindow) * s.Interval.Minutes()
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maxWindow1m := s.Window1m + s.SmootherWindow1m + s.FisherTransformWindow1m
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if maxWindow < maxWindow1m {
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maxWindow = maxWindow1m
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}
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bbgo.KLinePreloadLimit = int64((maxWindow/1000 + 1) * 1000)
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log.Errorf("set kLinePreloadLimit to %d, %d %d", bbgo.KLinePreloadLimit, s.Interval.Minutes(), maxWindow)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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@ -163,6 +152,8 @@ func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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const closeOrderRetryLimit = 5
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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order := s.p.NewMarketCloseOrder(percentage)
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if order == nil {
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@ -170,19 +161,20 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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}
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order.Tag = "close"
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order.TimeInForce = ""
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balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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price := s.getLastPrice()
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if order.Side == types.SideTypeBuy {
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quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
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if order.Quantity.Compare(quoteAmount) > 0 {
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order.Quantity = quoteAmount
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}
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} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
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order.Quantity = baseBalance
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}
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order.MarginSideEffect = types.SideEffectTypeAutoRepay
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for {
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for i := 0; i < closeOrderRetryLimit; i++ {
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price := s.getLastPrice()
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balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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if order.Side == types.SideTypeBuy {
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quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
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if order.Quantity.Compare(quoteAmount) > 0 {
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order.Quantity = quoteAmount
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}
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} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
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order.Quantity = baseBalance
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}
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if s.Market.IsDustQuantity(order.Quantity, price) {
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return nil
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}
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@ -193,6 +185,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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}
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return nil
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}
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return errors.New("exceed retry limit")
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}
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func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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@ -212,20 +205,6 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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},
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}
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s.drift.SeriesBase.Series = s.drift
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s.drift1m = &DriftMA{
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drift: &indicator.WeightedDrift{
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MA: &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: s.Window1m}},
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IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: s.Window1m},
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},
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ma1: &indicator.EWMA{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow1m},
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},
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ma2: &indicator.FisherTransform{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow1m},
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},
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}
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s.drift1m.SeriesBase.Series = s.drift1m
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
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s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}
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@ -256,13 +235,6 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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return errors.New("klines not exists")
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}
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log.Infof("loaded %d klines1m", klinesLength)
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for _, kline := range *klines {
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source := s.GetSource(&kline).Float64()
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s.drift1m.Update(source, kline.Volume.Abs().Float64())
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if s.drift1m.Last() != s.drift1m.Last() {
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panic(fmt.Sprintf("%f %v %f %f", source, s.drift1m.drift.Values.Index(1), s.drift1m.ma2.Last(), s.drift1m.drift.LastValue))
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}
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}
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if s.kline1m != nil && klines != nil {
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s.kline1m.Set(&(*klines)[len(*klines)-1])
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}
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@ -278,18 +250,12 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64) (int, e
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}
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toCancel := false
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drift := s.drift1m.Array(2)
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for _, order := range nonTraded {
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if order.Status != types.OrderStatusNew && order.Status != types.OrderStatusPartiallyFilled {
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continue
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}
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log.Warnf("%v | counter: %d, system: %d", order, s.orderPendingCounter[order.OrderID], s.minutesCounter)
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if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
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if order.Side == types.SideTypeBuy && drift[1] < drift[0] {
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continue
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} else if order.Side == types.SideTypeSell && drift[1] > drift[0] {
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continue
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}
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toCancel = true
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} else if order.Side == types.SideTypeBuy {
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// 75% of the probability
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@ -328,6 +294,9 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
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s.lowestPrice = price
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}
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isShort := direction == "short"
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if isShort && s.sellPrice == 0 || !isShort && s.buyPrice == 0 {
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return false
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}
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for i := len(s.TrailingCallbackRate) - 1; i >= 0; i-- {
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trailingCallbackRate := s.TrailingCallbackRate[i]
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trailingActivationRatio := s.TrailingActivationRatio[i]
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@ -389,17 +358,12 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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return
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}
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stoploss := s.StopLoss.Float64()
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exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= pricef ||
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s.trailingCheck(pricef, "short"))
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exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= pricef ||
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s.trailingCheck(pricef, "long"))
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exitCondition := s.CheckStopLoss() ||
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s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
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s.positionLock.Unlock()
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if exitShortCondition || exitLongCondition {
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if exitCondition {
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s.ClosePosition(ctx, fixedpoint.One)
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log.Infof("close position by orderbook changes")
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}
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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@ -432,21 +396,16 @@ func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
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highestPrice := s.priceLines.Minus(mean).Abs().Highest(Length)
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highestDrift := s.drift.Abs().Highest(Length)
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hi := s.drift.drift.Abs().Highest(Length)
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h1m := s.drift1m.Abs().Highest(Length * s.Interval.Minutes())
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ratio := highestPrice / highestDrift
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//canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
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canvas.Plot("ma", s.ma, time, Length)
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//canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
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canvas.Plot("pos", types.NumberSeries(s.DriftFilterPos*ratio+mean), time, Length)
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canvas.Plot("neg", types.NumberSeries(s.DriftFilterNeg*ratio+mean), time, Length)
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fmt.Printf("%f %f\n", highestPrice, hi)
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canvas.Plot("ppos", types.NumberSeries(s.DDriftFilterPos*(highestPrice/hi)+mean), time, Length)
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canvas.Plot("nneg", types.NumberSeries(s.DDriftFilterNeg*(highestPrice/hi)+mean), time, Length)
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canvas.Plot("trend", s.trendLine, time, Length)
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canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
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canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
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canvas.Plot("drift1m", s.drift1m.Mul(highestPrice/h1m).Add(mean), time, Length*s.Interval.Minutes(), types.Interval1m)
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canvas.Plot("zero", types.NumberSeries(mean), time, Length)
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canvas.Plot("price", s.priceLines, time, Length)
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return canvas
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@ -586,7 +545,6 @@ func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
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func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
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s.kline1m.Set(&kline)
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s.drift1m.Update(s.GetSource(&kline).Float64(), kline.Volume.Abs().Float64())
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if s.Status != types.StrategyStatusRunning {
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return
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}
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@ -594,7 +552,6 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
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atr := s.atr.Last()
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price := s.getLastPrice()
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pricef := price.Float64()
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stoploss := s.StopLoss.Float64()
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lowf := math.Min(kline.Low.Float64(), pricef)
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highf := math.Max(kline.High.Float64(), pricef)
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@ -605,11 +562,6 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
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if s.highestPrice > 0 && highf > s.highestPrice {
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s.highestPrice = highf
|
||||
}
|
||||
drift := s.drift1m.Array(2)
|
||||
if len(drift) < 2 {
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
|
||||
numPending := 0
|
||||
var err error
|
||||
|
|
@ -628,13 +580,9 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
//log.Infof("d1m: %f, hf: %f, lf: %f", s.drift1m.Last(), highf, lowf)
|
||||
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf ||
|
||||
s.trailingCheck(highf, "short") /* || s.drift1m.Last() > 0*/)
|
||||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
|
||||
s.trailingCheck(lowf, "long") /* || s.drift1m.Last() < 0*/)
|
||||
exitCondition := s.CheckStopLoss() || s.trailingCheck(highf, "short") || s.trailingCheck(lowf, "long")
|
||||
s.positionLock.Unlock()
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if exitCondition {
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
}
|
||||
|
|
@ -677,7 +625,6 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
}
|
||||
stoploss := s.StopLoss.Float64()
|
||||
|
||||
s.positionLock.Lock()
|
||||
log.Infof("highdiff: %3.2f ma: %.2f, open: %8v, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Open, kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
|
||||
|
|
@ -704,18 +651,6 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
s.Market.QuoteCurrency,
|
||||
balances[s.Market.QuoteCurrency].String(),
|
||||
)
|
||||
s.DriftFilterPos = s.drift.Filter(func(i int, v float64) bool {
|
||||
return v >= 0
|
||||
}, 50).Mean(50)
|
||||
s.DriftFilterNeg = s.drift.Filter(func(i int, v float64) bool {
|
||||
return v <= 0
|
||||
}, 50).Mean(50)
|
||||
s.DDriftFilterPos = s.drift.drift.Filter(func(i int, v float64) bool {
|
||||
return v >= 0
|
||||
}, 50).Mean(50)
|
||||
s.DDriftFilterNeg = s.drift.drift.Filter(func(i int, v float64) bool {
|
||||
return v <= 0
|
||||
}, 50).Mean(50)
|
||||
|
||||
shortCondition := drift[1] >= 0 && drift[0] <= 0 || (drift[1] >= drift[0] && drift[1] <= 0) || ddrift[1] >= 0 && ddrift[0] <= 0 || (ddrift[1] >= ddrift[0] && ddrift[1] <= 0)
|
||||
longCondition := drift[1] <= 0 && drift[0] >= 0 || (drift[1] <= drift[0] && drift[1] >= 0) || ddrift[1] <= 0 && ddrift[0] >= 0 || (ddrift[1] <= ddrift[0] && ddrift[1] >= 0)
|
||||
|
|
@ -726,12 +661,9 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
shortCondition = false
|
||||
}
|
||||
}
|
||||
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf ||
|
||||
s.trailingCheck(pricef, "short"))
|
||||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
|
||||
s.trailingCheck(pricef, "long"))
|
||||
exitCondition := s.CheckStopLoss() || s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
|
||||
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if exitCondition {
|
||||
s.positionLock.Unlock()
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
|
|
@ -918,7 +850,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.sellPrice = s.p.ApproximateAverageCost.Float64() //trade.Price.Float64()
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = math.Min(s.lowestPrice, s.sellPrice)
|
||||
if s.lowestPrice == 0 {
|
||||
s.lowestPrice = s.sellPrice
|
||||
} else {
|
||||
s.lowestPrice = math.Min(s.lowestPrice, s.sellPrice)
|
||||
}
|
||||
}
|
||||
bbgo.Notify("tag: %s, sp: %.4f bp: %.4f hp: %.4f lp: %.4f, trade: %s, pos: %s", tag, s.sellPrice, s.buyPrice, s.highestPrice, s.lowestPrice, trade.String(), s.p.String())
|
||||
})
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user