Merge pull request #633 from zenixls2/fix/ewo_entry

Fix/ewo entry, backtest

apps/backtest-report/components/TradingViewChart.tsx

@@ -155,7 +155,7 @@ const ordersToMarkets = (interval: string, orders: Array<Order> | void): Array<M
   // var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }];
   for (let i = 0; i < orders.length; i++) {
     let order = orders[i];
-    let t = order.update_time.getTime() / 1000.0;
+    let t = (order.update_time || order.time).getTime() / 1000.0;
     let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null;
     if (lastMarker) {
       let remainder = lastMarker.time % intervalSecs;
@@ -264,7 +264,7 @@ const positionBaseHistoryToLineData = (interval: string, hs: Array<PositionHisto
     }
 
     // ignore duplicated entry
-    if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
+    if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
       continue
     }
 
@@ -296,7 +296,7 @@ const positionAverageCostHistoryToLineData = (interval: string, hs: Array<Positi
     }
 
     // ignore duplicated entry
-    if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
+    if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
       continue
     }
 

config/ewo_dgtrd.yaml

@@ -10,20 +10,29 @@ exchangeStrategies:
 - on: binance
   ewo_dgtrd:
     symbol: MATICUSDT
-    interval: 2h
+    # kline interval for indicators
+    interval: 15m
+    # use ema as MA
     useEma: false
+    # use sma as MA, used when ema is false
+    # if both sma and ema are false, use EVMA
     useSma: false
-    sigWin: 8
+    # ewo signal line window size
-    stoploss: 10%
+    sigWin: 5
+    # SL percentage from entry price
+    stoploss: 2%
+    # use HeikinAshi klines instead of normal OHLC
     useHeikinAshi: true
+    # disable SL when short
     disableShortStop: false
-    #stops:
+    # disable SL when long
-    #- trailingStop:
+    disableLongStop: false
-    #    callbackRate: 5.1%
+    # CCI Stochastic Indicator high filter
-    #    closePosition: 20%
+    ccistochFilterHigh: 80
-    #    minProfit: 1%
+    # CCI Stochastic Indicator low filter
-    #    interval: 1m
+    ccistochFilterLow: 20
-    #    virtual: true
+    # print record exit point in log messages
+    record: false
 
 sync:
   userDataStream:
@@ -36,7 +45,7 @@ sync:
 
 backtest:
   startTime: "2022-05-01"
-  endTime: "2022-05-11"
+  endTime: "2022-05-27"
   symbols:
     - MATICUSDT
   sessions: [binance]
@@ -45,5 +54,5 @@ backtest:
       #makerFeeRate: 0
       #takerFeeRate: 15
       balances:
-        MATIC: 5000.0
+        MATIC: 000.0
-        USDT: 10000
+        USDT: 15000.0

pkg/backtest/exchange.go

@@ -281,11 +281,11 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
 	return e.markets, nil
 }
 
-func (e Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
+func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
 	return nil, nil
 }
 
-func (e Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
+func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
 	return nil, nil
 }
 

pkg/backtest/matching.go

@@ -410,6 +410,15 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
 func (m *SimplePriceMatching) processKLine(kline types.KLine) {
 	m.CurrentTime = kline.EndTime.Time()
 	m.LastKLine = kline
+	if m.LastPrice.IsZero() {
+		m.LastPrice = kline.Open
+	} else {
+		if m.LastPrice.Compare(kline.Open) > 0 {
+			m.SellToPrice(kline.Open)
+		} else {
+			m.BuyToPrice(kline.Open)
+		}
+	}
 
 	switch kline.Direction() {
 	case types.DirectionDown:

pkg/service/backtest.go

@@ -34,7 +34,6 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
 		if err := s.BatchInsert(klines); err != nil {
 			return err
 		}
-		
 		count += len(klines)
 	}
 	log.Debugf("inserted klines %s %s data: %d", symbol, interval.String(), count)
@@ -321,8 +320,11 @@ func (s *BacktestService) BatchInsert(kline []types.KLine) error {
 	sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
 		" values (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
 
-	_, err := s.DB.NamedExec(sql, kline)
+	tx := s.DB.MustBegin()
+	if _, err := tx.NamedExec(sql, kline); err != nil {
 		return err
+	}
+	return tx.Commit()
 }
 
 func (s *BacktestService) _deleteDuplicatedKLine(k types.KLine) error {

pkg/strategy/ewoDgtrd/heikinashi.go

@@ -0,0 +1,86 @@
+package ewoDgtrd
+
+import (
+	"fmt"
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type Queue struct {
+	arr  []float64
+	size int
+}
+
+func NewQueue(size int) *Queue {
+	return &Queue{
+		arr:  make([]float64, 0, size),
+		size: size,
+	}
+}
+
+func (inc *Queue) Last() float64 {
+	if len(inc.arr) == 0 {
+		return 0
+	}
+	return inc.arr[len(inc.arr)-1]
+}
+
+func (inc *Queue) Index(i int) float64 {
+	if len(inc.arr)-i-1 < 0 {
+		return 0
+	}
+	return inc.arr[len(inc.arr)-i-1]
+}
+
+func (inc *Queue) Length() int {
+	return len(inc.arr)
+}
+
+func (inc *Queue) Update(v float64) {
+	inc.arr = append(inc.arr, v)
+	if len(inc.arr) > inc.size {
+		inc.arr = inc.arr[len(inc.arr)-inc.size:]
+	}
+}
+
+type HeikinAshi struct {
+	Close  *Queue
+	Open   *Queue
+	High   *Queue
+	Low    *Queue
+	Volume *Queue
+}
+
+func NewHeikinAshi(size int) *HeikinAshi {
+	return &HeikinAshi{
+		Close:  NewQueue(size),
+		Open:   NewQueue(size),
+		High:   NewQueue(size),
+		Low:    NewQueue(size),
+		Volume: NewQueue(size),
+	}
+}
+
+func (s *HeikinAshi) Print() string {
+	return fmt.Sprintf("Heikin c: %.3f, o: %.3f, h: %.3f, l: %.3f, v: %.3f",
+		s.Close.Last(),
+		s.Open.Last(),
+		s.High.Last(),
+		s.Low.Last(),
+		s.Volume.Last())
+}
+
+func (inc *HeikinAshi) Update(kline types.KLine) {
+	open := kline.Open.Float64()
+	cloze := kline.Close.Float64()
+	high := kline.High.Float64()
+	low := kline.Low.Float64()
+	newClose := (open + high + low + cloze) / 4.
+	newOpen := (inc.Open.Last() + inc.Close.Last()) / 2.
+	inc.Close.Update(newClose)
+	inc.Open.Update(newOpen)
+	inc.High.Update(math.Max(math.Max(high, newOpen), newClose))
+	inc.Low.Update(math.Min(math.Min(low, newOpen), newClose))
+	inc.Volume.Update(kline.Volume.Float64())
+}

pkg/strategy/ewoDgtrd/trylock.go

@@ -9,3 +9,8 @@ func tryLock(lock *sync.RWMutex) bool {
 	lock.Lock()
 	return true
 }
+
+func tryRLock(lock *sync.RWMutex) bool {
+	lock.RLock()
+	return true
+}

pkg/strategy/ewoDgtrd/trylock_18.go

@@ -8,3 +8,7 @@ import "sync"
 func tryLock(lock *sync.RWMutex) bool {
 	return lock.TryLock()
 }
+
+func tryRLock(lock *sync.RWMutex) bool {
+	return lock.TryRLock()
+}

pkg/types/position.go

@@ -122,7 +122,7 @@ func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Pr
 
 func (p *Position) NewClosePositionOrder(percentage fixedpoint.Value) *SubmitOrder {
 	base := p.GetBase()
-	quantity := base.Mul(percentage)
+	quantity := base.Mul(percentage).Abs()
 	if quantity.Compare(p.Market.MinQuantity) < 0 {
 		return nil
 	}