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Merge pull request #799 from andycheng123/improve/supertrend-strategy
Improve supertrend strategy
This commit is contained in:
commit
72f18c1057
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@ -19,7 +19,7 @@ backtest:
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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endTime: "2022-06-30"
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symbols:
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- BTCUSDT
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accounts:
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@ -36,7 +36,7 @@ exchangeStrategies:
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symbol: BTCUSDT
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# interval is how long do you want to update your order price and quantity
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interval: 1h
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interval: 5m
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# leverage is the leverage of the orders
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leverage: 1.0
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@ -48,15 +48,31 @@ exchangeStrategies:
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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: 39
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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: 3
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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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window: 80
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# TP according to ATR multiple, 0 to disable this
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takeProfitMultiplier: 3
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TakeProfitAtrMultiplier: 0
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# Set SL price to the low of the triggering Kline
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stopLossByTriggeringK: true
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stopLossByTriggeringK: false
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# TP/SL by reversed signals
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tpslBySignal: true
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# TP/SL by reversed supertrend signal
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stopByReversedSupertrend: false
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# TP/SL by reversed DEMA signal
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stopByReversedDema: false
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# TP/SL by reversed linear regression signal
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stopByReversedLinGre: false
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exits:
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# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 4%
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@ -23,12 +23,27 @@ Supertrend strategy needs margin enabled in order to submit short orders, and yo
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- The MA window of the ATR indicator used by Supertrend.
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- `averageTrueRangeMultiplier`
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- Multiplier for calculating upper and lower bond prices, the higher, the stronger the trends are, but also makes it less sensitive.
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- `takeProfitMultiplier`
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- `linearRegression`
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- Use linear regression as trend confirmation
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- `interval`
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- Time interval of linear regression
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- `window`
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- Window of linear regression
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- `takeProfitAtrMultiplier`
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- TP according to ATR multiple, 0 to disable this.
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- `stopLossByTriggeringK`
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- Set SL price to the low of the triggering Kline.
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- `tpslBySignal`
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- TP/SL by reversed signals.
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- Set SL price to the low/high of the triggering Kline.
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- `stopByReversedSupertrend`
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- TP/SL by reversed supertrend signal.
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- `stopByReversedDema`
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- TP/SL by reversed DEMA signal.
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- `stopByReversedLinGre`
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- TP/SL by reversed linear regression signal.
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- `exits`
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- Exit methods to TP/SL
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- `roiStopLoss`
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- The stop loss percentage of the position ROI (currently the price change)
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- `percentage`
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#### Examples
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65
pkg/strategy/supertrend/double_dema.go
Normal file
65
pkg/strategy/supertrend/double_dema.go
Normal file
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@ -0,0 +1,65 @@
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package supertrend
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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type DoubleDema struct {
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Interval types.Interval `json:"interval"`
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// FastDEMAWindow DEMA window for checking breakout
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FastDEMAWindow int `json:"fastDEMAWindow"`
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// SlowDEMAWindow DEMA window for checking breakout
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SlowDEMAWindow int `json:"slowDEMAWindow"`
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fastDEMA *indicator.DEMA
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slowDEMA *indicator.DEMA
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}
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// getDemaSignal get current DEMA signal
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func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
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var demaSignal types.Direction = types.DirectionNone
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if closePrice > dd.fastDEMA.Last() && closePrice > dd.slowDEMA.Last() && !(openPrice > dd.fastDEMA.Last() && openPrice > dd.slowDEMA.Last()) {
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demaSignal = types.DirectionUp
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} else if closePrice < dd.fastDEMA.Last() && closePrice < dd.slowDEMA.Last() && !(openPrice < dd.fastDEMA.Last() && openPrice < dd.slowDEMA.Last()) {
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demaSignal = types.DirectionDown
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}
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return demaSignal
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}
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// preloadDema preloads DEMA indicators
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func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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}
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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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// 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.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.Bind(kLineStore)
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dd.preloadDema(kLineStore)
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}
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73
pkg/strategy/supertrend/lingre.go
Normal file
73
pkg/strategy/supertrend/lingre.go
Normal file
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@ -0,0 +1,73 @@
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package supertrend
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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// LinGre is Linear Regression baseline
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type LinGre struct {
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types.IntervalWindow
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baseLineSlope float64
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}
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// Update Linear Regression baseline slope
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func (lg *LinGre) Update(klines []types.KLine) {
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if len(klines) < lg.Window {
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lg.baseLineSlope = 0
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return
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}
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var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
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end := len(klines) - 1 // The last kline
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for i := end; i >= end-lg.Window+1; i-- {
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val := klines[i].GetClose().Float64()
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per := float64(end - i + 1)
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sumX += per
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sumY += val
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sumXSqr += per * per
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sumXY += val * per
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}
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length := float64(lg.Window)
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slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
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average := sumY / length
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endPrice := average - slope*sumX/length + slope
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startPrice := endPrice + slope*(length-1)
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lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
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log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
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}
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func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if lg.Interval != interval {
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return
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}
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lg.Update(window)
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}
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func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
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}
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// GetSignal get linear regression signal
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func (lg *LinGre) GetSignal() types.Direction {
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var lgSignal types.Direction = types.DirectionNone
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switch {
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case lg.baseLineSlope > 0:
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lgSignal = types.DirectionUp
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case lg.baseLineSlope < 0:
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lgSignal = types.DirectionDown
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}
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return lgSignal
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}
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// preloadLinGre preloads linear regression indicator
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func (lg *LinGre) preload(kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(lg.Interval); ok {
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lg.Update((*klines)[0:])
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}
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}
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@ -3,6 +3,7 @@ package supertrend
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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/c9s/bbgo/pkg/util"
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@ -22,6 +23,8 @@ const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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// TODO: limit order for ATR TP
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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@ -37,8 +40,9 @@ type Strategy struct {
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Market types.Market
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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// Order and trade
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orderExecutor *bbgo.GeneralOrderExecutor
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@ -51,16 +55,12 @@ 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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// 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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// FastDEMAWindow DEMA window for checking breakout
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FastDEMAWindow int `json:"fastDEMAWindow"`
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// SlowDEMAWindow DEMA window for checking breakout
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SlowDEMAWindow int `json:"slowDEMAWindow"`
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fastDEMA *indicator.DEMA
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slowDEMA *indicator.DEMA
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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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@ -69,21 +69,33 @@ type Strategy struct {
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// SupertrendMultiplier ATR multiplier for calculation of supertrend
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SupertrendMultiplier float64 `json:"supertrendMultiplier"`
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// LinearRegression Use linear regression as trend confirmation
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LinearRegression *LinGre `json:"linearRegression,omitempty"`
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// Leverage
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Leverage float64 `json:"leverage"`
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// TakeProfitMultiplier TP according to ATR multiple, 0 to disable this
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TakeProfitMultiplier float64 `json:"takeProfitMultiplier"`
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// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
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TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`
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// StopLossByTriggeringK Set SL price to the low of the triggering Kline
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// StopLossByTriggeringK Set SL price to the low/high of the triggering Kline
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StopLossByTriggeringK bool `json:"stopLossByTriggeringK"`
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// TPSLBySignal TP/SL by reversed signals
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TPSLBySignal bool `json:"tpslBySignal"`
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// StopByReversedSupertrend TP/SL by reversed supertrend signal
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StopByReversedSupertrend bool `json:"stopByReversedSupertrend"`
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// StopByReversedDema TP/SL by reversed DEMA signal
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StopByReversedDema bool `json:"stopByReversedDema"`
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// StopByReversedLinGre TP/SL by reversed linear regression signal
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StopByReversedLinGre bool `json:"stopByReversedLinGre"`
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currentTakeProfitPrice fixedpoint.Value
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currentStopLossPrice fixedpoint.Value
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// ExitMethods Exit methods
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ExitMethods []bbgo.ExitMethod `json:"exits"`
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// StrategyController
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bbgo.StrategyController
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}
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@ -141,8 +153,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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orderForm := s.generateOrderForm(side, quantity, types.SideEffectTypeAutoRepay)
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log.Infof("submit close position order %v", orderForm)
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bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage)
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bbgo.Notify("submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm)
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_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
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if err != nil {
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@ -153,18 +164,24 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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return err
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}
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// preloadSupertrend preloads supertrend indicator
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func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(supertrend.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64())
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}
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}
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}
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// setupIndicators initializes indicators
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func (s *Strategy) setupIndicators() {
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if s.FastDEMAWindow == 0 {
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s.FastDEMAWindow = 144
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}
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s.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FastDEMAWindow}}
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// K-line store for indicators
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kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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if s.SlowDEMAWindow == 0 {
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s.SlowDEMAWindow = 169
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}
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s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
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// Double DEMA
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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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}
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@ -173,23 +190,62 @@ func (s *Strategy) setupIndicators() {
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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.Bind(kLineStore)
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preloadSupertrend(s.Supertrend, kLineStore)
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// Linear Regression
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if s.LinearRegression != nil {
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if s.LinearRegression.Window == 0 {
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s.LinearRegression = nil
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} else if s.LinearRegression.Interval == "" {
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s.LinearRegression = nil
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} else {
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s.LinearRegression.Bind(kLineStore)
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s.LinearRegression.preload(kLineStore)
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}
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}
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}
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// updateIndicators updates indicators
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func (s *Strategy) updateIndicators(kline types.KLine) {
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closePrice := kline.GetClose().Float64()
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func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool {
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stopNow := false
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base := s.Position.GetBase()
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baseSign := base.Sign()
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// Update indicators
|
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if kline.Interval == s.fastDEMA.Interval {
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s.fastDEMA.Update(closePrice)
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if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
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// SL by triggering Kline low/high
|
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bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
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stopNow = true
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} else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
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// TP by multiple of ATR
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bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
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stopNow = true
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} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
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// Use supertrend signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
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stopNow = true
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} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
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// Use DEMA signal to TP/SL
|
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bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
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stopNow = true
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} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
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// Use linear regression signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
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stopNow = true
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}
|
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if kline.Interval == s.slowDEMA.Interval {
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s.slowDEMA.Update(closePrice)
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}
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if kline.Interval == s.Supertrend.Interval {
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s.Supertrend.Update(kline.GetHigh().Float64(), kline.GetLow().Float64(), closePrice)
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|
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return stopNow
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}
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||||
|
||||
func (s *Strategy) getSide(stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) types.SideType {
|
||||
var side types.SideType
|
||||
|
||||
if stSignal == types.DirectionUp && demaSignal == types.DirectionUp && (s.LinearRegression == nil || lgSignal == types.DirectionUp) {
|
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side = types.SideTypeBuy
|
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} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown && (s.LinearRegression == nil || lgSignal == types.DirectionDown) {
|
||||
side = types.SideTypeSell
|
||||
}
|
||||
|
||||
return side
|
||||
}
|
||||
|
||||
func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder {
|
||||
|
@ -235,6 +291,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.Position.Strategy = ID
|
||||
s.Position.StrategyInstanceID = s.InstanceID()
|
||||
|
||||
// Profit stats
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
// Trade stats
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = &types.TradeStats{}
|
||||
}
|
||||
|
||||
// Set fee rate
|
||||
if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 {
|
||||
s.Position.SetExchangeFeeRate(s.session.ExchangeName, types.ExchangeFee{
|
||||
|
@ -243,15 +309,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
})
|
||||
}
|
||||
|
||||
// Profit
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
// Setup order executor
|
||||
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.orderExecutor.BindEnvironment(s.Environment)
|
||||
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
||||
s.orderExecutor.BindTradeStats(s.TradeStats)
|
||||
s.orderExecutor.Bind()
|
||||
|
||||
// Sync position to redis on trade
|
||||
|
@ -278,6 +340,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
// Setup indicators
|
||||
s.setupIndicators()
|
||||
|
||||
// Exit methods
|
||||
for _, method := range s.ExitMethods {
|
||||
method.Bind(session, s.orderExecutor)
|
||||
}
|
||||
|
||||
s.currentStopLossPrice = fixedpoint.Zero
|
||||
s.currentTakeProfitPrice = fixedpoint.Zero
|
||||
|
||||
|
@ -292,94 +359,66 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return
|
||||
}
|
||||
|
||||
// Update indicators
|
||||
s.updateIndicators(kline)
|
||||
closePrice := kline.GetClose()
|
||||
openPrice := kline.GetOpen()
|
||||
closePrice64 := closePrice.Float64()
|
||||
openPrice64 := openPrice.Float64()
|
||||
|
||||
// Get signals
|
||||
closePrice := kline.GetClose().Float64()
|
||||
openPrice := kline.GetOpen().Float64()
|
||||
// Supertrend signal
|
||||
stSignal := s.Supertrend.GetSignal()
|
||||
var demaSignal types.Direction
|
||||
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
|
||||
} else {
|
||||
demaSignal = types.DirectionNone
|
||||
|
||||
// DEMA signal
|
||||
demaSignal := s.getDemaSignal(openPrice64, closePrice64)
|
||||
|
||||
// Linear Regression signal
|
||||
var lgSignal types.Direction
|
||||
if s.LinearRegression != nil {
|
||||
lgSignal = s.LinearRegression.GetSignal()
|
||||
}
|
||||
|
||||
base := s.Position.GetBase()
|
||||
baseSign := base.Sign()
|
||||
// TP/SL if there's non-dust position and meets the criteria
|
||||
if !s.Market.IsDustQuantity(s.Position.GetBase().Abs(), closePrice) && s.shouldStop(kline, stSignal, demaSignal, lgSignal) {
|
||||
if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
|
||||
s.currentStopLossPrice = fixedpoint.Zero
|
||||
s.currentTakeProfitPrice = fixedpoint.Zero
|
||||
}
|
||||
}
|
||||
|
||||
// TP/SL if there's non-dust position
|
||||
if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
|
||||
if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
|
||||
// SL by triggering Kline low
|
||||
log.Infof("%s SL by triggering Kline low", s.Symbol)
|
||||
bbgo.Notify("%s StopLoss by triggering the kline low", s.Symbol)
|
||||
if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
|
||||
s.currentStopLossPrice = fixedpoint.Zero
|
||||
s.currentTakeProfitPrice = fixedpoint.Zero
|
||||
}
|
||||
} else if s.TakeProfitMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
|
||||
// TP by multiple of ATR
|
||||
log.Infof("%s TP by multiple of ATR", s.Symbol)
|
||||
bbgo.Notify("%s TakeProfit by multiple of ATR", s.Symbol)
|
||||
if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
|
||||
s.currentStopLossPrice = fixedpoint.Zero
|
||||
s.currentTakeProfitPrice = fixedpoint.Zero
|
||||
}
|
||||
} else if s.TPSLBySignal {
|
||||
// Use signals to TP/SL
|
||||
log.Infof("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
|
||||
bbgo.Notify("%s TP/SL by reverse of DEMA or Supertrend", s.Symbol)
|
||||
if (baseSign < 0 && (stSignal == types.DirectionUp || demaSignal == types.DirectionUp)) || (baseSign > 0 && (stSignal == types.DirectionDown || demaSignal == types.DirectionDown)) {
|
||||
if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
|
||||
s.currentStopLossPrice = fixedpoint.Zero
|
||||
s.currentTakeProfitPrice = fixedpoint.Zero
|
||||
}
|
||||
}
|
||||
// Get order side
|
||||
side := s.getSide(stSignal, demaSignal, lgSignal)
|
||||
// Set TP/SL price if needed
|
||||
if side == types.SideTypeBuy {
|
||||
if s.StopLossByTriggeringK {
|
||||
s.currentStopLossPrice = kline.GetLow()
|
||||
}
|
||||
if s.TakeProfitAtrMultiplier > 0 {
|
||||
s.currentTakeProfitPrice = closePrice.Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
|
||||
}
|
||||
} else if side == types.SideTypeSell {
|
||||
if s.StopLossByTriggeringK {
|
||||
s.currentStopLossPrice = kline.GetHigh()
|
||||
}
|
||||
if s.TakeProfitAtrMultiplier > 0 {
|
||||
s.currentTakeProfitPrice = closePrice.Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
|
||||
}
|
||||
}
|
||||
|
||||
// Open position
|
||||
var side types.SideType
|
||||
if stSignal == types.DirectionUp && demaSignal == types.DirectionUp {
|
||||
side = types.SideTypeBuy
|
||||
if s.StopLossByTriggeringK {
|
||||
s.currentStopLossPrice = kline.GetLow()
|
||||
}
|
||||
if s.TakeProfitMultiplier > 0 {
|
||||
s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
|
||||
}
|
||||
} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown {
|
||||
side = types.SideTypeSell
|
||||
if s.StopLossByTriggeringK {
|
||||
s.currentStopLossPrice = kline.GetHigh()
|
||||
}
|
||||
if s.TakeProfitMultiplier > 0 {
|
||||
s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
|
||||
}
|
||||
}
|
||||
|
||||
// The default value of side is an empty string. Unless side is set by the checks above, the result of the following condition is false
|
||||
if side == types.SideTypeSell || side == types.SideTypeBuy {
|
||||
log.Infof("open %s position for signal %v", s.Symbol, side)
|
||||
bbgo.Notify("open %s position for signal %v", s.Symbol, side)
|
||||
// Close opposite position if any
|
||||
if !s.Position.IsDust(kline.GetClose()) {
|
||||
if !s.Position.IsDust(closePrice) {
|
||||
if (side == types.SideTypeSell && s.Position.IsLong()) || (side == types.SideTypeBuy && s.Position.IsShort()) {
|
||||
log.Infof("close existing %s position before open a new position", s.Symbol)
|
||||
bbgo.Notify("close existing %s position before open a new position", s.Symbol)
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
} else {
|
||||
log.Infof("existing %s position has the same direction with the signal", s.Symbol)
|
||||
bbgo.Notify("existing %s position has the same direction with the signal", s.Symbol)
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
orderForm := s.generateOrderForm(side, s.calculateQuantity(kline.GetClose()), types.SideEffectTypeMarginBuy)
|
||||
orderForm := s.generateOrderForm(side, s.calculateQuantity(closePrice), types.SideEffectTypeMarginBuy)
|
||||
log.Infof("submit open position order %v", orderForm)
|
||||
_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
|
||||
if err != nil {
|
||||
|
@ -395,6 +434,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
close(s.stopC)
|
||||
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
|
||||
})
|
||||
|
||||
return nil
|
||||
|
|
Loading…
Reference in New Issue
Block a user