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Merge pull request #953 from zenixls2/fix/drift
fix: drift minus weight, preloaded kline not enough
This commit is contained in:
Yo-An Lin
GitHub
commit
3230088f9f
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@ -26,42 +26,42 @@ exchangeStrategies:
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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: 15m
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interval: 4m
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window: 1
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stoploss: 1.2%
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source: close
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stoploss: 0.22%
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source: hl2
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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trailingStopLossType: realtime
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# stddev on high/low-source
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hlVarianceMultiplier: 0.1
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hlVarianceMultiplier: 0.01
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hlRangeWindow: 5
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smootherWindow: 1
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fisherTransformWindow: 34
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smootherWindow: 2
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fisherTransformWindow: 27
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window1m: 58
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smootherWindow1m: 118
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fisherTransformWindow1m: 319
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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: 10
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pendingMinutes: 2
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noRebalance: true
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trendWindow: 576
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rebalanceFilter: 0
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driftFilterPos: 1.8
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driftFilterNeg: -1.8
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ddriftFilterPos: 0.5
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ddriftFilterNeg: -0.5 #-1.6
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driftFilterPos: 0.6
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driftFilterNeg: -0.6
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ddriftFilterPos: 0.00008
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ddriftFilterNeg: -0.00008
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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: [0.0012, 0.01]
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trailingActivationRatio: [0.0012, 0.0016, 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: [0.0006, 0.0049]
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trailingCallbackRate: [0.0003, 0.0006, 0.0019]
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generateGraph: true
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graphPNLDeductFee: false
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@ -125,7 +125,7 @@ sync:
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backtest:
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startTime: "2022-09-01"
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endTime: "2022-09-15"
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endTime: "2022-09-30"
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symbols:
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- BTCUSDT
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sessions: [binance]
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@ -23,19 +23,23 @@ type WeightedDrift struct {
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}
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func (inc *WeightedDrift) Update(value float64, weight float64) {
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win := 10
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if inc.Window > win {
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win = inc.Window
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}
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if inc.chng == nil {
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inc.SeriesBase.Series = inc
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if inc.MA == nil {
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inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
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}
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inc.Weight = types.NewQueue(10)
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inc.Weight = types.NewQueue(win)
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inc.chng = types.NewQueue(inc.Window)
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inc.LastValue = value
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inc.Weight.Update(weight)
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return
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}
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inc.Weight.Update(weight)
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base := inc.Weight.Lowest(10)
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base := inc.Weight.Lowest(win)
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multiplier := int(weight / base)
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var chng float64
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if value == 0 {
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@ -119,7 +123,7 @@ func (inc *WeightedDrift) Length() int {
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var _ types.SeriesExtend = &Drift{}
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func (inc *WeightedDrift) PushK(k types.KLine) {
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inc.Update(k.Close.Float64(), k.Volume.Float64())
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inc.Update(k.Close.Float64(), k.Volume.Abs().Float64())
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}
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func (inc *WeightedDrift) CalculateAndUpdate(allKLines []types.KLine) {
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@ -126,7 +126,13 @@ func (s *Strategy) InstanceID() string {
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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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bbgo.KLinePreloadLimit = int64((s.Interval.Minutes()*s.Window/1000 + 1) * 1000)
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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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Interval: types.Interval1m,
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})
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@ -218,7 +224,7 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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s.ma.Update(source)
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s.stdevHigh.Update(high - s.ma.Last())
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s.stdevLow.Update(s.ma.Last() - low)
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s.drift.Update(source, kline.Volume.Float64())
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s.drift.Update(source, kline.Volume.Abs().Float64())
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s.trendLine.Update(source)
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s.atr.PushK(kline)
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s.priceLines.Update(source)
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@ -233,7 +239,7 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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}
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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.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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@ -411,9 +417,15 @@ func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
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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("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("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("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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@ -556,7 +568,7 @@ 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.Float64())
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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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@ -575,6 +587,11 @@ 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
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}
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drift := s.drift1m.Array(2)
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if len(drift) < 2 {
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s.positionLock.Unlock()
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return
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}
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numPending := 0
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var err error
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@ -617,17 +634,10 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.priceLines.Update(sourcef)
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s.ma.Update(sourcef)
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s.trendLine.Update(sourcef)
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s.drift.Update(sourcef, kline.Volume.Float64())
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s.drift.Update(sourcef, kline.Volume.Abs().Float64())
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s.atr.PushK(kline)
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drift = s.drift.Array(2)
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if len(drift) < 2 || len(drift) < s.PredictOffset {
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return
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}
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ddrift := s.drift.drift.Array(2)
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if len(ddrift) < 2 || len(ddrift) < s.PredictOffset {
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return
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}
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driftPred = s.drift.Predict(s.PredictOffset)
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ddriftPred := s.drift.drift.Predict(s.PredictOffset)
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atr = s.atr.Last()
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@ -639,6 +649,14 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.stdevLow.Update(lowdiff)
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highdiff := highf - s.ma.Last()
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s.stdevHigh.Update(highdiff)
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drift = s.drift.Array(2)
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if len(drift) < 2 || len(drift) < s.PredictOffset {
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return
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}
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ddrift := s.drift.drift.Array(2)
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if len(ddrift) < 2 || len(ddrift) < s.PredictOffset {
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return
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}
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if s.Status != types.StrategyStatusRunning {
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return
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@ -646,7 +664,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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stoploss := s.StopLoss.Float64()
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s.positionLock.Lock()
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log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
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log.Infof("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
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if s.lowestPrice > 0 && lowf < s.lowestPrice {
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s.lowestPrice = lowf
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}
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