fix/drift_stoploss

config/driftBTC.yaml

@@ -26,7 +26,7 @@ exchangeStrategies:
  
 - on: binance
   drift:
-    limitOrder: false
+    limitOrder: true
     #quantity: 0.0012
     canvasPath: "./output.png"
     symbol: BTCUSDT
@@ -34,21 +34,21 @@ exchangeStrategies:
     interval: 1m
     window: 6
     useAtr: true
-    useStopLoss: false
+    useStopLoss: true
-    stoploss: 0.04%
+    stoploss: 0.05%
     source: hl2
     predictOffset: 2
     noTrailingStopLoss: false
-    trailingStopLossType: realtime
+    trailingStopLossType: kline
     # stddev on high/low-source
-    hlVarianceMultiplier: 0.15
+    hlVarianceMultiplier: 0.14
     hlRangeWindow: 4
     smootherWindow: 3
-    fisherTransformWindow: 181
+    fisherTransformWindow: 125
     #fisherTransformWindow: 117
     atrWindow: 24
     # orders not been traded will be canceled after `pendingMinutes` minutes
-    pendingMinutes: 5
+    pendingMinutes: 10
     noRebalance: true
     trendWindow: 15
     rebalanceFilter: -0.1
@@ -57,12 +57,12 @@ exchangeStrategies:
     # when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
     #trailingActivationRatio: [0.01, 0.016, 0.05]
     #trailingActivationRatio: [0.001, 0.0081, 0.022]
-    trailingActivationRatio: [0.0004, 0.008, 0.002, 0.01]
+    trailingActivationRatio: [0.0008, 0.002, 0.01]
     #trailingActivationRatio: []
     #trailingCallbackRate: []
     #trailingCallbackRate: [0.002, 0.01, 0.1]
     #trailingCallbackRate: [0.0004, 0.0009, 0.018]
-    trailingCallbackRate: [0.00005, 0.00012, 0.0008, 0.0016]
+    trailingCallbackRate: [0.00014, 0.0003, 0.0016]
 
     generateGraph: true
     graphPNLDeductFee: false
@@ -126,7 +126,7 @@ sync:
 
 backtest:
   startTime: "2022-09-25"
-  endTime: "2022-09-30"
+  endTime: "2022-10-30"
   symbols:
     - BTCUSDT
   sessions: [binance]

pkg/strategy/drift/stoploss.go

@@ -1,15 +1,15 @@
 package drift
 
 func (s *Strategy) CheckStopLoss() bool {
-	stoploss := s.StopLoss.Float64()
-	atr := s.atr.Last()
 	if s.UseStopLoss {
+		stoploss := s.StopLoss.Float64()
 		if s.sellPrice > 0 && s.sellPrice*(1.+stoploss) <= s.highestPrice ||
 			s.buyPrice > 0 && s.buyPrice*(1.-stoploss) >= s.lowestPrice {
 			return true
 		}
 	}
 	if s.UseAtr {
+		atr := s.atr.Last()
 		if s.sellPrice > 0 && s.sellPrice+atr <= s.highestPrice ||
 			s.buyPrice > 0 && s.buyPrice-atr >= s.lowestPrice {
 			return true

pkg/strategy/drift/stoploss_test.go

@@ -0,0 +1,58 @@
+package drift
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_StopLossLong(t *testing.T) {
+	s := &Strategy{}
+	s.highestPrice = 30.
+	s.buyPrice = 30.
+	s.lowestPrice = 29.7
+	s.StopLoss = fixedpoint.NewFromFloat(0.01)
+	s.UseAtr = false
+	s.UseStopLoss = true
+	assert.True(t, s.CheckStopLoss())
+}
+
+func Test_StopLossShort(t *testing.T) {
+	s := &Strategy{}
+	s.lowestPrice = 30.
+	s.sellPrice = 30.
+	s.highestPrice = 30.3
+	s.StopLoss = fixedpoint.NewFromFloat(0.01)
+	s.UseAtr = false
+	s.UseStopLoss = true
+	assert.True(t, s.CheckStopLoss())
+}
+
+func Test_ATRLong(t *testing.T) {
+	s := &Strategy{}
+	s.highestPrice = 30.
+	s.buyPrice = 30.
+	s.lowestPrice = 28.7
+	s.UseAtr = true
+	s.UseStopLoss = false
+	s.atr = &indicator.ATR{RMA: &indicator.RMA{
+		Values: floats.Slice{1., 1.2, 1.3},
+	}}
+	assert.True(t, s.CheckStopLoss())
+}
+
+func Test_ATRShort(t *testing.T) {
+	s := &Strategy{}
+	s.highestPrice = 31.3
+	s.sellPrice = 30.
+	s.lowestPrice = 30.
+	s.UseAtr = true
+	s.UseStopLoss = false
+	s.atr = &indicator.ATR{RMA: &indicator.RMA{
+		Values: floats.Slice{1., 1.2, 1.3},
+	}}
+	assert.True(t, s.CheckStopLoss())
+}

pkg/strategy/drift/strategy.go

@@ -274,10 +274,8 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64) (int, e
 		if toCancel {
 			err := s.GeneralOrderExecutor.GracefulCancel(ctx)
 			// TODO: clean orderPendingCounter on cancel/trade
-			if err == nil {
+			for _, order := range nonTraded {
-				for _, order := range nonTraded {
+				delete(s.orderPendingCounter, order.OrderID)
-					delete(s.orderPendingCounter, order.OrderID)
-				}
 			}
 			log.Warnf("cancel all %v", err)
 			return 0, err
@@ -306,7 +304,7 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
 			}
 		} else {
 			if (s.highestPrice-s.buyPrice)/s.buyPrice > trailingActivationRatio {
-				return (s.highestPrice-price)/price > trailingCallbackRate
+				return (s.highestPrice-price)/s.buyPrice > trailingCallbackRate
 			}
 		}
 	}
@@ -352,14 +350,18 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
 			if s.lowestPrice > 0 && s.lowestPrice > pricef {
 				s.lowestPrice = pricef
 			}
+			if s.CheckStopLoss() {
+				s.positionLock.Unlock()
+				s.ClosePosition(ctx, fixedpoint.One)
+				return
+			}
 			// for trailing stoploss during the realtime
 			if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
 				s.positionLock.Unlock()
 				return
 			}
 
-			exitCondition := s.CheckStopLoss() ||
+			exitCondition := s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
-				s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
 
 			s.positionLock.Unlock()
 			if exitCondition {
@@ -683,15 +685,15 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
 			s.positionLock.Unlock()
 			return
 		}
-		/*source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
+		source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
-		if source.Compare(price) > 0 {
-			source = price
-		}*/
-		source = fixedpoint.NewFromFloat(s.ma.Last() - s.stdevLow.Last()*s.HighLowVarianceMultiplier)
 		if source.Compare(price) > 0 {
 			source = price
 		}
-		sourcef = source.Float64()
+		/*source = fixedpoint.NewFromFloat(s.ma.Last() - s.stdevLow.Last()*s.HighLowVarianceMultiplier)
+		if source.Compare(price) > 0 {
+			source = price
+		}
+		sourcef = source.Float64()*/
 		log.Infof("source in long %v %v %f", source, price, s.stdevLow.Last())
 
 		s.positionLock.Unlock()
@@ -721,15 +723,15 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
 			return
 		}
 
-		/*source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
+		source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
-		if source.Compare(price) < 0 {
-			source = price
-		}*/
-		source = fixedpoint.NewFromFloat(s.ma.Last() + s.stdevHigh.Last()*s.HighLowVarianceMultiplier)
 		if source.Compare(price) < 0 {
 			source = price
 		}
-		sourcef = source.Float64()
+		/*source = fixedpoint.NewFromFloat(s.ma.Last() + s.stdevHigh.Last()*s.HighLowVarianceMultiplier)
+		if source.Compare(price) < 0 {
+			source = price
+		}
+		sourcef = source.Float64()*/
 
 		log.Infof("source in short: %v", source)
 
@@ -845,11 +847,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			s.buyPrice = s.p.ApproximateAverageCost.Float64() //trade.Price.Float64()
 			s.sellPrice = 0
 			s.highestPrice = math.Max(s.buyPrice, s.highestPrice)
-			s.lowestPrice = 0
+			s.lowestPrice = s.buyPrice
 		} else if s.p.IsShort() {
 			s.sellPrice = s.p.ApproximateAverageCost.Float64() //trade.Price.Float64()
 			s.buyPrice = 0
-			s.highestPrice = 0
+			s.highestPrice = s.sellPrice
 			if s.lowestPrice == 0 {
 				s.lowestPrice = s.sellPrice
 			} else {

pkg/strategy/drift/strategy_test.go

@@ -0,0 +1,37 @@
+package drift
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_TrailingCheckLong(t *testing.T) {
+	s := &Strategy{}
+	s.highestPrice = 30.
+	s.buyPrice = 30.
+	s.TrailingActivationRatio = []float64{0.002, 0.01}
+	s.TrailingCallbackRate = []float64{0.0008, 0.0016}
+	assert.False(t, s.trailingCheck(31., "long"))
+	assert.False(t, s.trailingCheck(31., "short"))
+	assert.False(t, s.trailingCheck(30.96, "short"))
+	assert.False(t, s.trailingCheck(30.96, "long"))
+	assert.False(t, s.trailingCheck(30.95, "short"))
+	assert.True(t, s.trailingCheck(30.95, "long"))
+}
+
+func Test_TrailingCheckShort(t *testing.T) {
+	s := &Strategy{}
+	s.lowestPrice = 30.
+	s.sellPrice = 30.
+	s.TrailingActivationRatio = []float64{0.002, 0.01}
+	s.TrailingCallbackRate = []float64{0.0008, 0.0016}
+	assert.False(t, s.trailingCheck(29.96, "long"))
+	assert.False(t, s.trailingCheck(29.96, "short"))
+	assert.False(t, s.trailingCheck(29.99, "short"))
+	assert.False(t, s.trailingCheck(29.99, "long"))
+	assert.False(t, s.trailingCheck(29.93, "short"))
+	assert.False(t, s.trailingCheck(29.93, "long"))
+	assert.True(t, s.trailingCheck(29.96, "short"))
+	assert.False(t, s.trailingCheck(29.96, "long"))
+}