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strategy/supertrend: use types.IntervalWindow instead of types.Interval
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@ -38,6 +38,11 @@ exchangeStrategies:
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# interval is how long do you want to update your order price and quantity
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interval: 5m
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# ATR window used by Supertrend
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window: 49
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# ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
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supertrendMultiplier: 4
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# leverage is the leverage of the orders
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leverage: 1.0
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@ -45,13 +50,6 @@ exchangeStrategies:
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fastDEMAWindow: 144
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slowDEMAWindow: 169
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# Supertrend indicator parameters
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superTrend:
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# ATR window used by Supertrend
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averageTrueRangeWindow: 49
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# ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
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averageTrueRangeMultiplier: 4
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# Use linear regression as trend confirmation
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linearRegression:
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interval: 5m
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@ -7,7 +7,7 @@ import (
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)
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type DoubleDema struct {
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Interval types.Interval `json:"interval"`
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DemaInterval types.Interval `json:"demaInterval"`
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// FastDEMAWindow DEMA window for checking breakout
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FastDEMAWindow int `json:"fastDEMAWindow"`
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@ -46,19 +46,19 @@ func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
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// setupDoubleDema initializes double DEMA indicators
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func (dd *DoubleDema) setupDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval) {
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dd.Interval = interval
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dd.DemaInterval = interval
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// DEMA
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if dd.FastDEMAWindow == 0 {
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dd.FastDEMAWindow = 144
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}
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dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
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dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.DemaInterval, Window: dd.FastDEMAWindow}}
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dd.fastDEMA.Bind(kLineStore)
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if dd.SlowDEMAWindow == 0 {
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dd.SlowDEMAWindow = 169
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}
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dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
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dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.DemaInterval, Window: dd.SlowDEMAWindow}}
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dd.slowDEMA.Bind(kLineStore)
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dd.preloadDema(kLineStore)
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@ -39,17 +39,13 @@ type Strategy struct {
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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types.IntervalWindow
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// Double DEMA
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DoubleDema
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// Interval is how long do you want to update your order price and quantity
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Interval types.Interval `json:"interval"`
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// SuperTrend indicator
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// SuperTrend SuperTrend `json:"superTrend"`
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Supertrend *indicator.Supertrend
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// SupertrendWindow ATR window for calculation of supertrend
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SupertrendWindow int `json:"supertrendWindow"`
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// SupertrendMultiplier ATR multiplier for calculation of supertrend
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SupertrendMultiplier float64 `json:"supertrendMultiplier"`
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@ -112,6 +108,7 @@ func (s *Strategy) Validate() error {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval})
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}
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// Position control
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@ -168,14 +165,14 @@ func (s *Strategy) setupIndicators() {
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s.setupDoubleDema(kLineStore, s.Interval)
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// Supertrend
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if s.SupertrendWindow == 0 {
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s.SupertrendWindow = 39
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if s.Window == 0 {
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s.Window = 39
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}
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if s.SupertrendMultiplier == 0 {
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s.SupertrendMultiplier = 3
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}
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s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
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s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}}
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s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
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s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}}
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s.Supertrend.Bind(kLineStore)
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preloadSupertrend(s.Supertrend, kLineStore)
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