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bollmaker: add trendEMA support
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c9s
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@ -16,8 +16,8 @@ backtest:
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# for testing max draw down (MDD) at 03-12
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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: "2022-07-18"
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startTime: "2022-05-01"
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endTime: "2022-08-14"
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sessions:
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- binance
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symbols:
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@ -40,6 +40,9 @@ exchangeStrategies:
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.05
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# amount is used for fixed-amount order, for example, use fixed 20 USDT order for BTCUSDT market
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# amount: 20
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# useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
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# The back-test engine is kline-based, so the ticker price api is not supported.
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# Turn this on if you want to do real trading.
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@ -56,6 +59,17 @@ exchangeStrategies:
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# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
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minProfitSpread: 0.1%
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# trendEMA detects the trend by a given EMA
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# when EMA goes up (the last > the previous), allow buy and sell
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# when EMA goes down (the last < the previous), disable buy, allow sell
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# uncomment this to enable it:
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#
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trendEMA:
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interval: 1d
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window: 7
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maxGradient: 1.5
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minGradient: 1.01
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# EXPERIMENTAL
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# Dynamic spread is an experimental feature. Use at your own risk!
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#
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@ -85,21 +99,23 @@ exchangeStrategies:
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# weightedBollWidth: # delete other scaling strategy if this is defined
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# # Scale spread base on weighted Bollinger band width ratio between default and neutral bands.
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# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
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# # And the neutral band: from bn_lower to bn_upper
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# # Set the sigmoid weighting function:
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# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
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# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
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# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
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# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
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# # - The wider neutral band get greater ratio
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# # - To ask spread, the higher neutral band get greater ratio
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# # - To bid spread, the lower neutral band get greater ratio
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# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
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#
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# # Sensitivity factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
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# # weightedBollWidth scales spread base on weighted Bollinger bandwidth ratio between default and neutral bands.
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# #
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# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
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# # And the neutral band: from bn_lower to bn_upper
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# # Set the sigmoid weighting function:
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# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
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# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
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# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
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# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
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# # - The wider neutral band get greater ratio
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# # - To ask spread, the higher neutral band get greater ratio
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# # - To bid spread, the lower neutral band get greater ratio
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# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
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# weightedBollWidth: # delete other scaling strategy if this is defined
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#
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# # sensitivity is a factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
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# # A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
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# sensitivity: 1.0
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#
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@ -118,10 +134,10 @@ exchangeStrategies:
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# domain: [ 0.1, 0.5 ]
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# range: [ 0.001, 0.002 ]
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# maxExposurePosition is the maximum position you can hold
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# +10 means you can hold 10 ETH long position by maximum
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# -10 means you can hold -10 ETH short position by maximum
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# uncomment this if you want a fixed position exposure.
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# maxExposurePosition: 3.0
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maxExposurePosition: 10
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@ -151,6 +167,10 @@ exchangeStrategies:
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# downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
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downtrendSkew: 1.2
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# defaultBollinger is a long-term time frame bollinger
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# this bollinger band is used for controlling your position (how much you can hold)
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# when price is near the upper band, it holds less.
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# when price is near the lower band, it holds more.
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defaultBollinger:
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interval: "1h"
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window: 21
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@ -164,10 +184,10 @@ exchangeStrategies:
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bandWidth: 2.0
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# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
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tradeInBand: false
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tradeInBand: true
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# buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
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buyBelowNeutralSMA: false
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# buyBelowNeutralSMA: false
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exits:
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@ -58,6 +58,10 @@ type Strategy struct {
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bbgo.QuantityOrAmount
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// TrendEMA is used for detecting the trend by a given EMA
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// you can define interval and window
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TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
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// Spread is the price spread from the middle price.
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// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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@ -185,6 +189,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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})
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}
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if s.TrendEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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@ -287,6 +295,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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log.Infof("current %s unrealized profit: %f %s", s.Symbol, s.Position.UnrealizedProfit(midPrice).Float64(), s.Market.QuoteCurrency)
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}
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// by default, we turn both sell and buy on,
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// which means we will place buy and sell orders
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canSell := true
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canBuy := true
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@ -360,6 +370,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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}
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// check balance and switch the orders
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if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
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canBuy = false
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}
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@ -377,11 +388,13 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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if isLongPosition {
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// for long position if the current price is lower than the minimal profitable price then we should stop sell
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// this avoid loss trade
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if midPrice.Compare(minProfitPrice) < 0 {
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canSell = false
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}
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} else if isShortPosition {
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// for short position if the current price is higher than the minimal profitable price then we should stop buy
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// this avoid loss trade
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if midPrice.Compare(minProfitPrice) > 0 {
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canBuy = false
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}
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@ -395,6 +408,14 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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canBuy = false
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}
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// trend EMA protection
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if s.TrendEMA != nil {
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if !s.TrendEMA.GradientAllowed() {
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log.Infof("trendEMA protection: midPrice price %f, gradient %f, turning buy order off", midPrice.Float64(), s.TrendEMA.Gradient())
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canBuy = false
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}
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}
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if canSell {
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submitOrders = append(submitOrders, sellOrder)
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}
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@ -499,6 +520,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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s.ExitMethods.Bind(session, s.orderExecutor)
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if s.TrendEMA != nil {
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s.TrendEMA.Bind(session, s.orderExecutor)
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}
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if bbgo.IsBackTesting {
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log.Warn("turning of useTickerPrice option in the back-testing environment...")
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s.UseTickerPrice = false
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