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strategy: rebase

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This commit is contained in:
Andy Cheng 2022-06-02 13:32:57 +08:00
parent 39615c8981
commit 9836fbbf82
1 changed files with 18 additions and 12 deletions
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30
pkg/strategy/supertrend/strategy.go
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@ -136,7 +136,12 @@ type Strategy struct {
slowDEMA *indicator.DEMA
// SuperTrend indicator
SuperTrend SuperTrend `json:"superTrend"`
//SuperTrend SuperTrend `json:"superTrend"`
Supertrend *indicator.Supertrend
// SupertrendWindow ATR window for calculation of supertrend
SupertrendWindow int `json:"supertrendWindow"`
// SupertrendMultiplier ATR multiplier for calculation of supertrend
SupertrendMultiplier float64 `json:"supertrendMultiplier"`
// Leverage
Leverage float64 `json:"leverage"`
@ -238,14 +243,15 @@ func (s *Strategy) setupIndicators() {
}
s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
if s.SuperTrend.AverageTrueRangeWindow == 0 {
s.SuperTrend.AverageTrueRangeWindow = 39
if s.SupertrendWindow == 0 {
s.SupertrendWindow = 39
}
s.SuperTrend.averageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SuperTrend.AverageTrueRangeWindow, Interval: s.Interval}}
s.SuperTrend.trend = types.DirectionUp
if s.SuperTrend.AverageTrueRangeMultiplier == 0 {
s.SuperTrend.AverageTrueRangeMultiplier = 3
if s.SupertrendMultiplier == 0 {
s.SupertrendMultiplier = 3
}
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}}
}
// updateIndicators updates indicators
@ -259,8 +265,8 @@ func (s *Strategy) updateIndicators(kline types.KLine) {
if kline.Interval == s.slowDEMA.Interval {
s.slowDEMA.Update(closePrice)
}
if kline.Interval == s.SuperTrend.averageTrueRange.Interval {
s.SuperTrend.update(kline)
if kline.Interval == s.Supertrend.Interval {
s.Supertrend.Update(kline.GetHigh().Float64(), kline.GetLow().Float64(), closePrice)
}
}
@ -349,7 +355,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Get signals
closePrice := kline.GetClose().Float64()
openPrice := kline.GetOpen().Float64()
stSignal := s.SuperTrend.getSignal()
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
@ -401,7 +407,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.currentStopLossPrice = kline.GetLow()
}
if s.TakeProfitMultiplier > 0 {
s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.SuperTrend.averageTrueRange.Last() * s.TakeProfitMultiplier))
s.currentTakeProfitPrice = kline.GetClose().Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
}
} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown {
side = types.SideTypeSell
@ -409,7 +415,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.currentStopLossPrice = kline.GetHigh()
}
if s.TakeProfitMultiplier > 0 {
s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.SuperTrend.averageTrueRange.Last() * s.TakeProfitMultiplier))
s.currentTakeProfitPrice = kline.GetClose().Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitMultiplier))
}
}