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strategy/supertrend: pull double dema into a single file

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This commit is contained in:
Andy Cheng 2022-07-06 16:45:19 +08:00
parent c62e7bbb58
commit 6c93c42ef6
3 changed files with 78 additions and 55 deletions
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62
pkg/strategy/supertrend/double_dema.go Normal file
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@ -0,0 +1,62 @@
package supertrend
import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
type DoubleDema struct {
Interval types.Interval `json:"interval"`
// FastDEMAWindow DEMA window for checking breakout
FastDEMAWindow int `json:"fastDEMAWindow"`
// SlowDEMAWindow DEMA window for checking breakout
SlowDEMAWindow int `json:"slowDEMAWindow"`
fastDEMA *indicator.DEMA
slowDEMA *indicator.DEMA
}
// getDemaSignal get current DEMA signal
func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
var demaSignal types.Direction = types.DirectionNone
if closePrice > dd.fastDEMA.Last() && closePrice > dd.slowDEMA.Last() && !(openPrice > dd.fastDEMA.Last() && openPrice > dd.slowDEMA.Last()) {
demaSignal = types.DirectionUp
} else if closePrice < dd.fastDEMA.Last() && closePrice < dd.slowDEMA.Last() && !(openPrice < dd.fastDEMA.Last() && openPrice < dd.slowDEMA.Last()) {
demaSignal = types.DirectionDown
}
return demaSignal
}
// preloadDema preloads DEMA indicators
func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
for i := 0; i < len(*klines); i++ {
dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
}
}
if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
for i := 0; i < len(*klines); i++ {
dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
}
}
}
// setupDoubleDema initializes double DEMA indicators
func (dd *DoubleDema) setupDoubleDema(kLineStore *bbgo.MarketDataStore) {
// DEMA
if dd.FastDEMAWindow == 0 {
dd.FastDEMAWindow = 144
}
dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
dd.fastDEMA.Bind(kLineStore)
if dd.SlowDEMAWindow == 0 {
dd.SlowDEMAWindow = 169
}
dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
dd.slowDEMA.Bind(kLineStore)
dd.preloadDema(kLineStore)
}

8
pkg/strategy/supertrend/lingre.go
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@ -1,6 +1,7 @@
package supertrend
import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
@ -63,3 +64,10 @@ func (lg *LinGre) GetSignal() types.Direction {
return lgSignal
}
// preloadLinGre preloads linear regression indicator
func (lg *LinGre) preload(kLineStore *bbgo.MarketDataStore) {
if klines, ok := kLineStore.KLinesOfInterval(lg.Interval); ok {
lg.Update((*klines)[0:])
}
}

63
pkg/strategy/supertrend/strategy.go
View File

@ -59,13 +59,6 @@ type Strategy struct {
// Interval is how long do you want to update your order price and quantity
Interval types.Interval `json:"interval"`
// FastDEMAWindow DEMA window for checking breakout
FastDEMAWindow int `json:"fastDEMAWindow"`
// SlowDEMAWindow DEMA window for checking breakout
SlowDEMAWindow int `json:"slowDEMAWindow"`
fastDEMA *indicator.DEMA
slowDEMA *indicator.DEMA
// SuperTrend indicator
// SuperTrend SuperTrend `json:"superTrend"`
Supertrend *indicator.Supertrend
@ -74,6 +67,9 @@ type Strategy struct {
// SupertrendMultiplier ATR multiplier for calculation of supertrend
SupertrendMultiplier float64 `json:"supertrendMultiplier"`
// Double DEMA
DoubleDema
// LinearRegression Use linear regression as trend confirmation
LinearRegression *LinGre `json:"linearRegression,omitempty"`
@ -169,20 +165,6 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
return err
}
// preloadDema preloads DEMA indicators
func preloadDema(fastDEMA *indicator.DEMA, slowDEMA *indicator.DEMA, kLineStore *bbgo.MarketDataStore) {
if klines, ok := kLineStore.KLinesOfInterval(fastDEMA.Interval); ok {
for i := 0; i < len(*klines); i++ {
fastDEMA.Update((*klines)[i].GetClose().Float64())
}
}
if klines, ok := kLineStore.KLinesOfInterval(slowDEMA.Interval); ok {
for i := 0; i < len(*klines); i++ {
slowDEMA.Update((*klines)[i].GetClose().Float64())
}
}
}
// preloadSupertrend preloads supertrend indicator
func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.MarketDataStore) {
if klines, ok := kLineStore.KLinesOfInterval(supertrend.Interval); ok {
@ -192,31 +174,13 @@ func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.Market
}
}
// preloadLinGre preloads linear regression indicator
func preloadLinGre(linearRegression *LinGre, kLineStore *bbgo.MarketDataStore) {
if klines, ok := kLineStore.KLinesOfInterval(linearRegression.Interval); ok {
linearRegression.Update((*klines)[0:])
}
}
// setupIndicators initializes indicators
func (s *Strategy) setupIndicators() {
// K-line store for indicators
kLineStore, _ := s.session.MarketDataStore(s.Symbol)
// DEMA
if s.FastDEMAWindow == 0 {
s.FastDEMAWindow = 144
}
s.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FastDEMAWindow}}
s.fastDEMA.Bind(kLineStore)
if s.SlowDEMAWindow == 0 {
s.SlowDEMAWindow = 169
}
s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
s.slowDEMA.Bind(kLineStore)
preloadDema(s.fastDEMA, s.slowDEMA, kLineStore)
// Double DEMA
s.setupDoubleDema(kLineStore)
// Supertrend
if s.SupertrendWindow == 0 {
@ -234,26 +198,15 @@ func (s *Strategy) setupIndicators() {
if s.LinearRegression != nil {
if s.LinearRegression.Window == 0 {
s.LinearRegression = nil
} else if s.LinearRegression.Interval == "" {
s.LinearRegression = nil
} else {
s.LinearRegression.Bind(kLineStore)
preloadLinGre(s.LinearRegression, kLineStore)
s.LinearRegression.preload(kLineStore)
}
}
}
// getDemaSignal get current DEMA signal
func (s *Strategy) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
var demaSignal types.Direction = types.DirectionNone
if closePrice > s.fastDEMA.Last() && closePrice > s.slowDEMA.Last() && !(openPrice > s.fastDEMA.Last() && openPrice > s.slowDEMA.Last()) {
demaSignal = types.DirectionUp
} else if closePrice < s.fastDEMA.Last() && closePrice < s.slowDEMA.Last() && !(openPrice < s.fastDEMA.Last() && openPrice < s.slowDEMA.Last()) {
demaSignal = types.DirectionDown
}
return demaSignal
}
func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool {
stopNow := false
base := s.Position.GetBase()