strategy/linregmaker: parameter of check main trend interval

config/linregmaker.yaml

@@ -43,15 +43,18 @@ exchangeStrategies:
       interval: 1d
       window: 60
 
+    # reverseInterval
+    reverseInterval: 4h
+
     # fastLinReg
     fastLinReg:
       interval: 1m
-      window: 20
+      window: 30
 
     # slowLinReg
     slowLinReg:
       interval: 1m
-      window: 60
+      window: 120
 
     # allowOppositePosition
     allowOppositePosition: true
@@ -61,7 +64,7 @@ exchangeStrategies:
 
     # neutralBollinger
     neutralBollinger:
-      interval: "5m"
+      interval: "15m"
       window: 21
       bandWidth: 2.0
 
@@ -120,8 +123,8 @@ exchangeStrategies:
             window: 20
           dynamicQuantityLinRegScale:
             byPercentage:
-              # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
-              exp:
+              # log means we want to use log scale, you can replace "log" with "linear" for linear scale
+              linear:
                 # from lower band -100% (-1) to upper band 100% (+1)
                 domain: [ -1, 1 ]
                 # when in down band, holds 1.0 by maximum
@@ -134,8 +137,8 @@ exchangeStrategies:
             window: 20
           dynamicQuantityLinRegScale:
             byPercentage:
-              # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
-              exp:
+              # log means we want to use log scale, you can replace "log" with "linear" for linear scale
+              linear:
                 # from lower band -100% (-1) to upper band 100% (+1)
                 domain: [ 1, -1 ]
                 # when in down band, holds 1.0 by maximum
@@ -145,4 +148,4 @@ exchangeStrategies:
     exits:
       # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
       - roiStopLoss:
-          percentage: 20%
+          percentage: 30%

pkg/strategy/linregmaker/strategy.go

@@ -45,6 +45,10 @@ type Strategy struct {
 	// All the opposite trend position will be closed upon the trend change
 	ReverseEMA *indicator.EWMA `json:"reverseEMA"`
 
+	// ReverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing
+	// the ReverseEMA triggers main trend change.
+	ReverseInterval types.Interval `json:"reverseInterval"`
+
 	// mainTrendCurrent is the current long-term trend
 	mainTrendCurrent types.Direction
 	// mainTrendPrevious is the long-term trend of previous kline
@@ -158,6 +162,11 @@ func (s *Strategy) Validate() error {
 		return errors.New("reverseEMA must be set")
 	}
 
+	// Use interval of ReverseEMA if ReverseInterval is omitted
+	if s.ReverseInterval == "" {
+		s.ReverseInterval = s.ReverseEMA.Interval
+	}
+
 	if s.FastLinReg == nil {
 		return errors.New("fastLinReg must be set")
 	}
@@ -177,6 +186,11 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	// Initialize ReverseEMA
 	s.ReverseEMA = s.StandardIndicatorSet.EWMA(s.ReverseEMA.IntervalWindow)
 
+	// Subscribe for ReverseInterval
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
+		Interval: s.ReverseInterval,
+	})
+
 	// Subscribe for LinRegs
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
 		Interval: s.FastLinReg.Interval,
@@ -443,15 +457,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		_ = s.ClosePosition(ctx, fixedpoint.NewFromFloat(1.0))
 	})
 
-	// Main interval
-	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
-		// StrategyController
-		if s.Status != types.StrategyStatusRunning {
-			return
-		}
-
-		_ = s.orderExecutor.GracefulCancel(ctx)
-
+	// Check trend reversal
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.ReverseInterval, func(kline types.KLine) {
 		// closePrice is the close price of current kline
 		closePrice := kline.GetClose()
 		// priceReverseEMA is the current ReverseEMA price
@@ -464,6 +471,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		} else if closePrice.Compare(priceReverseEMA) < 0 {
 			s.mainTrendCurrent = types.DirectionDown
 		}
+	}))
+
+	// Main interval
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
+		// StrategyController
+		if s.Status != types.StrategyStatusRunning {
+			return
+		}
+
+		_ = s.orderExecutor.GracefulCancel(ctx)
+
+		// closePrice is the close price of current kline
+		closePrice := kline.GetClose()
 
 		// Trend reversal
 		if s.mainTrendCurrent != s.mainTrendPrevious {