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Merge pull request #697 from andycheng123/fix/supertrend

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strategy: remove redundant code
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Yo-An Lin 2022-06-10 01:29:45 +08:00 committed by GitHub
commit 449186f460
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1 changed files with 0 additions and 76 deletions
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76
pkg/strategy/supertrend/strategy.go
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@ -9,7 +9,6 @@ import (
"github.com/c9s/bbgo/pkg/types"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"math"
"sync"
)
@ -26,81 +25,6 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type SuperTrend struct {
// AverageTrueRangeWindow ATR window for calculation of supertrend
AverageTrueRangeWindow int `json:"averageTrueRangeWindow"`
// AverageTrueRangeMultiplier ATR multiplier for calculation of supertrend
AverageTrueRangeMultiplier float64 `json:"averageTrueRangeMultiplier"`
averageTrueRange *indicator.ATR
closePrice float64
lastClosePrice float64
uptrendPrice float64
lastUptrendPrice float64
downtrendPrice float64
lastDowntrendPrice float64
trend types.Direction
lastTrend types.Direction
tradeSignal types.Direction
}
// update SuperTrend indicator
func (st *SuperTrend) update(kline types.KLine) {
highPrice := kline.GetHigh().Float64()
lowPrice := kline.GetLow().Float64()
closePrice := kline.GetClose().Float64()
// Update ATR
st.averageTrueRange.Update(highPrice, lowPrice, closePrice)
// Update last prices
st.lastUptrendPrice = st.uptrendPrice
st.lastDowntrendPrice = st.downtrendPrice
st.lastClosePrice = st.closePrice
st.lastTrend = st.trend
st.closePrice = closePrice
src := (highPrice + lowPrice) / 2
// Update uptrend
st.uptrendPrice = src - st.averageTrueRange.Last()*st.AverageTrueRangeMultiplier
if st.lastClosePrice > st.lastUptrendPrice {
st.uptrendPrice = math.Max(st.uptrendPrice, st.lastUptrendPrice)
}
// Update downtrend
st.downtrendPrice = src + st.averageTrueRange.Last()*st.AverageTrueRangeMultiplier
if st.lastClosePrice < st.lastDowntrendPrice {
st.downtrendPrice = math.Min(st.downtrendPrice, st.lastDowntrendPrice)
}
// Update trend
if st.lastTrend == types.DirectionUp && st.closePrice < st.lastUptrendPrice {
st.trend = types.DirectionDown
} else if st.lastTrend == types.DirectionDown && st.closePrice > st.lastDowntrendPrice {
st.trend = types.DirectionUp
} else {
st.trend = st.lastTrend
}
// Update signal
if st.trend == types.DirectionUp && st.lastTrend == types.DirectionDown {
st.tradeSignal = types.DirectionUp
} else if st.trend == types.DirectionDown && st.lastTrend == types.DirectionUp {
st.tradeSignal = types.DirectionDown
} else {
st.tradeSignal = types.DirectionNone
}
}
// getSignal returns SuperTrend signal
func (st *SuperTrend) getSignal() types.Direction {
return st.tradeSignal
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability