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pivotshort: add roiMinTakeProfitPercentage option and cumulatedVolume option
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c9s
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53913ede23
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@ -34,17 +34,22 @@ exchangeStrategies:
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# roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
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roiStopLossPercentage: 1%
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# roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
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# roiTakeProfitPercentage is used to force taking profit percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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roiTakeProfitPercentage: 25%
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# lowerShadowRatio is used to force taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# roiMinTakeProfitPercentage applies to lowerShadowRatio and cumulatedVolume exit options
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roiMinTakeProfitPercentage: 10%
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# lowerShadowRatio is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# you can grab a simple stats by the following SQL:
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# SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
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lowerShadowRatio: 3%
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# cumulatedVolume is used to take profit when the cumulated quote volume from the klines exceeded a threshold
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cumulatedVolume:
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minVolume: 50_000
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enabled: true
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minQuoteVolume: 90_000_000
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window: 5
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marginOrderSideEffect: repay
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@ -52,7 +57,7 @@ exchangeStrategies:
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backtest:
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sessions:
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- binance
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startTime: "2022-04-01"
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startTime: "2022-01-01"
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endTime: "2022-06-08"
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symbols:
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- ETHUSDT
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@ -1,26 +1,41 @@
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# usage:
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#
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# go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml --optimizer-config optimizer.yaml --debug
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# go run ./cmd/bbgo optimize --config config/pivotshort-ETHUSDT.yaml --optimizer-config config/pivotshort_optimizer.yaml --debug
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#
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---
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matrix:
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- type: iterate
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label: interval
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path: '/exchangeStrategies/0/pivotshort/interval'
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values: [ "5m", "30m", "1h" ]
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- type: range
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path: '/exchangeStrategies/0/pivotshort/pivotLength'
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label: pivotLength
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min: 20.0
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max: 200.0
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step: 10.0
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#- type: iterate
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# label: interval
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# path: '/exchangeStrategies/0/pivotshort/interval'
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# values: [ "5m", "30m" ]
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#- type: range
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# path: '/exchangeStrategies/0/pivotshort/pivotLength'
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# label: pivotLength
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# min: 100.0
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# max: 200.0
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# step: 20.0
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- type: range
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path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
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label: pivotLength
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label: stopEMARange
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min: 0%
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max: 10%
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step: 1%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exit/roiStopLossPercentage'
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label: roiStopLossPercentage
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min: 0.5%
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max: 3%
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step: 0.5%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exit/roiTakeProfitPercentage'
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label: roiTakeProfitPercentage
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min: 10%
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max: 50%
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step: 5%
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@ -3,6 +3,7 @@ package pivotshort
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import (
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"context"
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"fmt"
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"os"
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"sync"
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"github.com/sirupsen/logrus"
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@ -39,7 +40,11 @@ func (s *TradeStats) Add(pnl fixedpoint.Value) {
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s.MostLossTrade = fixedpoint.Min(s.MostLossTrade, pnl)
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}
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s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
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if s.NumOfLossTrade == 0 && s.NumOfProfitTrade > 0 {
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s.WinningRatio = fixedpoint.One
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} else {
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s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
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}
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}
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func (s *TradeStats) String() string {
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@ -76,12 +81,21 @@ type Entry struct {
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type CumulatedVolume struct {
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Enabled bool `json:"enabled"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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Window int `json:"window"`
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}
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type Exit struct {
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RoiStopLossPercentage fixedpoint.Value `json:"roiStopLossPercentage"`
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RoiTakeProfitPercentage fixedpoint.Value `json:"roiTakeProfitPercentage"`
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RoiStopLossPercentage fixedpoint.Value `json:"roiStopLossPercentage"`
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RoiTakeProfitPercentage fixedpoint.Value `json:"roiTakeProfitPercentage"`
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RoiMinTakeProfitPercentage fixedpoint.Value `json:"roiMinTakeProfitPercentage"`
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LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
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CumulatedVolume *CumulatedVolume `json:"cumulatedVolume"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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@ -287,36 +301,47 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// TODO: apply quantity to this formula
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roi := s.Position.AverageCost.Sub(kline.Close).Div(s.Position.AverageCost)
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if roi.Compare(s.Exit.RoiStopLossPercentage.Neg()) < 0 {
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// SL
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s.Notify("%s ROI StopLoss triggered at price %f, ROI = %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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// stop loss
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s.Notify("%s ROI StopLoss triggered at price %f: Loss %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
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s.closePosition(ctx)
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return
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} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // disable this condition temporarily
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s.Notify("%s TakeProfit triggered at price %f, ROI take profit percentage by %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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} else {
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// take profit
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if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // force take profit
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s.Notify("%s TakeProfit triggered at price %f: by ROI percentage %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
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s.closePosition(ctx)
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return
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} else if !s.Exit.RoiMinTakeProfitPercentage.IsZero() && roi.Compare(s.Exit.RoiMinTakeProfitPercentage) > 0 {
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if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: by shadow ratio %f",
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s.Symbol,
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kline.Close.Float64(),
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kline.GetLowerShadowRatio().Float64(), kline)
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s.closePosition(ctx)
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return
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} else if s.Exit.CumulatedVolume != nil && s.Exit.CumulatedVolume.Enabled {
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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var cbv = fixedpoint.Zero
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var cqv = fixedpoint.Zero
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for i := 0; i < s.Exit.CumulatedVolume.Window; i++ {
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last := (*klines)[len(*klines)-1-i]
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cqv = cqv.Add(last.QuoteVolume)
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cbv = cbv.Add(last.Volume)
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}
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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if cqv.Compare(s.Exit.CumulatedVolume.MinQuoteVolume) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: by cumulated volume (window: %d) %f > %f",
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s.Symbol,
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kline.Close.Float64(),
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s.Exit.CumulatedVolume.Window,
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cqv.Float64(),
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s.Exit.CumulatedVolume.MinQuoteVolume.Float64())
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s.closePosition(ctx)
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return
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}
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}
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}
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}
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} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: shadow ratio %f", s.Symbol, kline.Close.Float64(), kline.GetLowerShadowRatio().Float64(), kline)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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return
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}
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}
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@ -379,13 +404,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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log.Info(s.TradeStats.String())
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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wg.Done()
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})
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return nil
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}
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func (s *Strategy) closePosition(ctx context.Context) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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}
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func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
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for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
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if s.pivotLowPrices[l].Compare(price) > 0 {
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