Merge pull request #799 from andycheng123/improve/supertrend-strategy

Improve supertrend strategy

config/supertrend.yaml

@@ -19,7 +19,7 @@ backtest:
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
   startTime: "2022-01-01"
-  endTime: "2022-06-18"
+  endTime: "2022-06-30"
   symbols:
   - BTCUSDT
   accounts:
@@ -36,7 +36,7 @@ exchangeStrategies:
     symbol: BTCUSDT
 
     # interval is how long do you want to update your order price and quantity
-    interval: 1h
+    interval: 5m
 
     # leverage is the leverage of the orders
     leverage: 1.0
@@ -48,15 +48,31 @@ exchangeStrategies:
     # Supertrend indicator parameters
     superTrend:
       # ATR window used by Supertrend
-      averageTrueRangeWindow: 39
+      averageTrueRangeWindow: 49
       # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
-      averageTrueRangeMultiplier: 3
+      averageTrueRangeMultiplier: 4
+
+    # Use linear regression as trend confirmation
+    linearRegression:
+      interval: 5m
+      window: 80
 
     # TP according to ATR multiple, 0 to disable this
-    takeProfitMultiplier: 3
+    TakeProfitAtrMultiplier: 0
 
     # Set SL price to the low of the triggering Kline
-    stopLossByTriggeringK: true
+    stopLossByTriggeringK: false
 
-    # TP/SL by reversed signals
+    # TP/SL by reversed supertrend signal
-    tpslBySignal: true
+    stopByReversedSupertrend: false
+
+    # TP/SL by reversed DEMA signal
+    stopByReversedDema: false
+
+    # TP/SL by reversed linear regression signal
+    stopByReversedLinGre: false
+
+    exits:
+      # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
+      - roiStopLoss:
+          percentage: 4%

doc/strategy/supertrend.md

@@ -23,12 +23,27 @@ Supertrend strategy needs margin enabled in order to submit short orders, and yo
         - The MA window of the ATR indicator used by Supertrend. 
     - `averageTrueRangeMultiplier`
         - Multiplier for calculating upper and lower bond prices, the higher, the stronger the trends are, but also makes it less sensitive.
-- `takeProfitMultiplier`
+- `linearRegression`
+    - Use linear regression as trend confirmation
+    - `interval`
+        - Time interval of linear regression
+    - `window`
+        - Window of linear regression
+- `takeProfitAtrMultiplier`
     - TP according to ATR multiple, 0 to disable this.
 - `stopLossByTriggeringK`
-    - Set SL price to the low of the triggering Kline.
+    - Set SL price to the low/high of the triggering Kline.
-- `tpslBySignal`
+- `stopByReversedSupertrend`
-    - TP/SL by reversed signals.
+    - TP/SL by reversed supertrend signal.
+- `stopByReversedDema`
+    - TP/SL by reversed DEMA signal.
+- `stopByReversedLinGre`
+    - TP/SL by reversed linear regression signal.
+- `exits`
+    - Exit methods to TP/SL
+    - `roiStopLoss`
+        - The stop loss percentage of the position ROI (currently the price change)
+        - `percentage`
 
 
 #### Examples

pkg/strategy/supertrend/double_dema.go

@@ -0,0 +1,65 @@
+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, interval types.Interval) {
+	dd.Interval = interval
+
+	// 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)
+}

pkg/strategy/supertrend/lingre.go

@@ -0,0 +1,73 @@
+package supertrend
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// LinGre is Linear Regression baseline
+type LinGre struct {
+	types.IntervalWindow
+	baseLineSlope float64
+}
+
+// Update Linear Regression baseline slope
+func (lg *LinGre) Update(klines []types.KLine) {
+	if len(klines) < lg.Window {
+		lg.baseLineSlope = 0
+		return
+	}
+
+	var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
+	end := len(klines) - 1 // The last kline
+	for i := end; i >= end-lg.Window+1; i-- {
+		val := klines[i].GetClose().Float64()
+		per := float64(end - i + 1)
+		sumX += per
+		sumY += val
+		sumXSqr += per * per
+		sumXY += val * per
+	}
+	length := float64(lg.Window)
+	slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
+	average := sumY / length
+	endPrice := average - slope*sumX/length + slope
+	startPrice := endPrice + slope*(length-1)
+	lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
+
+	log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
+}
+
+func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if lg.Interval != interval {
+		return
+	}
+
+	lg.Update(window)
+}
+
+func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
+}
+
+// GetSignal get linear regression signal
+func (lg *LinGre) GetSignal() types.Direction {
+	var lgSignal types.Direction = types.DirectionNone
+
+	switch {
+	case lg.baseLineSlope > 0:
+		lgSignal = types.DirectionUp
+	case lg.baseLineSlope < 0:
+		lgSignal = types.DirectionDown
+	}
+
+	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:])
+	}
+}

pkg/strategy/supertrend/strategy.go

@@ -3,6 +3,7 @@ package supertrend
 import (
 	"context"
 	"fmt"
+	"os"
 	"sync"
 
 	"github.com/c9s/bbgo/pkg/util"
@@ -22,6 +23,8 @@ const stateKey = "state-v1"
 
 var log = logrus.WithField("strategy", ID)
 
+// TODO: limit order for ATR TP
+
 func init() {
 	// Register the pointer of the strategy struct,
 	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@@ -37,8 +40,9 @@ type Strategy struct {
 	Market      types.Market
 
 	// persistence fields
-	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
+	Position    *types.Position    `persistence:"position"`
-	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
+	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
+	TradeStats  *types.TradeStats  `persistence:"trade_stats"`
 
 	// Order and trade
 	orderExecutor *bbgo.GeneralOrderExecutor
@@ -51,16 +55,12 @@ type Strategy struct {
 	// Symbol is the market symbol you want to trade
 	Symbol string `json:"symbol"`
 
+	// Double DEMA
+	DoubleDema
+
 	// 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
@@ -69,21 +69,33 @@ type Strategy struct {
 	// SupertrendMultiplier ATR multiplier for calculation of supertrend
 	SupertrendMultiplier float64 `json:"supertrendMultiplier"`
 
+	// LinearRegression Use linear regression as trend confirmation
+	LinearRegression *LinGre `json:"linearRegression,omitempty"`
+
 	// Leverage
 	Leverage float64 `json:"leverage"`
 
-	// TakeProfitMultiplier TP according to ATR multiple, 0 to disable this
+	// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
-	TakeProfitMultiplier float64 `json:"takeProfitMultiplier"`
+	TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`
 
-	// StopLossByTriggeringK Set SL price to the low of the triggering Kline
+	// StopLossByTriggeringK Set SL price to the low/high of the triggering Kline
 	StopLossByTriggeringK bool `json:"stopLossByTriggeringK"`
 
-	// TPSLBySignal TP/SL by reversed signals
+	// StopByReversedSupertrend TP/SL by reversed supertrend signal
-	TPSLBySignal bool `json:"tpslBySignal"`
+	StopByReversedSupertrend bool `json:"stopByReversedSupertrend"`
+
+	// StopByReversedDema TP/SL by reversed DEMA signal
+	StopByReversedDema bool `json:"stopByReversedDema"`
+
+	// StopByReversedLinGre TP/SL by reversed linear regression signal
+	StopByReversedLinGre bool `json:"stopByReversedLinGre"`
 
 	currentTakeProfitPrice fixedpoint.Value
 	currentStopLossPrice   fixedpoint.Value
 
+	// ExitMethods Exit methods
+	ExitMethods []bbgo.ExitMethod `json:"exits"`
+
 	// StrategyController
 	bbgo.StrategyController
 }
@@ -141,8 +153,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
 
 	orderForm := s.generateOrderForm(side, quantity, types.SideEffectTypeAutoRepay)
 
-	log.Infof("submit close position order %v", orderForm)
+	bbgo.Notify("submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm)
-	bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage)
 
 	_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
 	if err != nil {
@@ -153,18 +164,24 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
 	return err
 }
 
+// preloadSupertrend preloads supertrend indicator
+func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(supertrend.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64())
+		}
+	}
+}
+
 // setupIndicators initializes indicators
 func (s *Strategy) setupIndicators() {
-	if s.FastDEMAWindow == 0 {
+	// K-line store for indicators
-		s.FastDEMAWindow = 144
+	kLineStore, _ := s.session.MarketDataStore(s.Symbol)
-	}
-	s.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FastDEMAWindow}}
 
-	if s.SlowDEMAWindow == 0 {
+	// Double DEMA
-		s.SlowDEMAWindow = 169
+	s.setupDoubleDema(kLineStore, s.Interval)
-	}
-	s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
 
+	// Supertrend
 	if s.SupertrendWindow == 0 {
 		s.SupertrendWindow = 39
 	}
@@ -173,23 +190,62 @@ func (s *Strategy) setupIndicators() {
 	}
 	s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
 	s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}}
+	s.Supertrend.Bind(kLineStore)
+	preloadSupertrend(s.Supertrend, kLineStore)
 
+	// Linear Regression
+	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)
+			s.LinearRegression.preload(kLineStore)
+		}
+	}
 }
 
-// updateIndicators updates indicators
+func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool {
-func (s *Strategy) updateIndicators(kline types.KLine) {
+	stopNow := false
-	closePrice := kline.GetClose().Float64()
+	base := s.Position.GetBase()
+	baseSign := base.Sign()
 
-	// Update indicators
+	if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
-	if kline.Interval == s.fastDEMA.Interval {
+		// SL by triggering Kline low/high
-		s.fastDEMA.Update(closePrice)
+		bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
+		stopNow = true
+	} else if s.TakeProfitAtrMultiplier > 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
+		bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
+		// Use supertrend signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
+		// Use DEMA signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
+		stopNow = true
+	} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
+		// Use linear regression signal to TP/SL
+		bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
+		stopNow = true
 	}
-	if kline.Interval == s.slowDEMA.Interval {
+
-		s.slowDEMA.Update(closePrice)
+	return stopNow
-	}
+}
-	if kline.Interval == s.Supertrend.Interval {
+
-		s.Supertrend.Update(kline.GetHigh().Float64(), kline.GetLow().Float64(), closePrice)
+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) {
+		side = types.SideTypeBuy
+	} 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
+		closePrice := kline.GetClose()
-		s.updateIndicators(kline)
+		openPrice := kline.GetOpen()
+		closePrice64 := closePrice.Float64()
+		openPrice64 := openPrice.Float64()
 
-		// Get signals
+		// Supertrend signal
-		closePrice := kline.GetClose().Float64()
-		openPrice := kline.GetOpen().Float64()
 		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()) {
+		// DEMA signal
-			demaSignal = types.DirectionUp
+		demaSignal := s.getDemaSignal(openPrice64, closePrice64)
-		} else if closePrice < s.fastDEMA.Last() && closePrice < s.slowDEMA.Last() && !(openPrice < s.fastDEMA.Last() && openPrice < s.slowDEMA.Last()) {
+
-			demaSignal = types.DirectionDown
+		// Linear Regression signal
-		} else {
+		var lgSignal types.Direction
-			demaSignal = types.DirectionNone
+		if s.LinearRegression != nil {
+			lgSignal = s.LinearRegression.GetSignal()
 		}
 
-		base := s.Position.GetBase()
+		// TP/SL if there's non-dust position and meets the criteria
-		baseSign := base.Sign()
+		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
+		// Get order side
-		if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
+		side := s.getSide(stSignal, demaSignal, lgSignal)
-			if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
+		// Set TP/SL price if needed
-				// SL by triggering Kline low
+		if side == types.SideTypeBuy {
-				log.Infof("%s SL by triggering Kline low", s.Symbol)
+			if s.StopLossByTriggeringK {
-				bbgo.Notify("%s StopLoss by triggering the kline low", s.Symbol)
+				s.currentStopLossPrice = kline.GetLow()
-				if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
+			}
-					s.currentStopLossPrice = fixedpoint.Zero
+			if s.TakeProfitAtrMultiplier > 0 {
-					s.currentTakeProfitPrice = fixedpoint.Zero
+				s.currentTakeProfitPrice = closePrice.Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
-				}
+			}
-			} else if s.TakeProfitMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
+		} else if side == types.SideTypeSell {
-				// TP by multiple of ATR
+			if s.StopLossByTriggeringK {
-				log.Infof("%s TP by multiple of ATR", s.Symbol)
+				s.currentStopLossPrice = kline.GetHigh()
-				bbgo.Notify("%s TakeProfit by multiple of ATR", s.Symbol)
+			}
-				if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
+			if s.TakeProfitAtrMultiplier > 0 {
-					s.currentStopLossPrice = fixedpoint.Zero
+				s.currentTakeProfitPrice = closePrice.Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier))
-					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
-					}
-				}
 			}
 		}
 
 		// 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