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Merge pull request #816 from c9s/refactor/backtest-report

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strategy/pivotshort: add trendEMA
This commit is contained in:
Yo-An Lin 2022-07-13 13:45:15 +08:00 committed by GitHub
commit b9729b0c4f
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3 changed files with 45 additions and 10 deletions
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4
config/pivotshort.yaml
View File

@ -101,12 +101,12 @@ exchangeStrategies:
minQuoteVolume: 200_000_000
- trailingStop:
callbackRate: 2%
callbackRate: 3%
# activationRatio is relative to the average cost,
# when side is buy, 1% means lower 1% than the average cost.
# when side is sell, 1% means higher 1% than the average cost.
activationRatio: 10%
activationRatio: 40%
# minProfit uses the position ROI to calculate the profit ratio
# minProfit: 1%

2
pkg/strategy/autoborrow/strategy.go
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@ -123,7 +123,7 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
minMarginLevel := s.MinMarginLevel
curMarginLevel := account.MarginLevel
bbgo.Notify("%s: current margin level: %s, margin ratio: %s, margin tolerance: %s",
log.Infof("%s: current margin level: %s, margin ratio: %s, margin tolerance: %s",
s.ExchangeSession.Name,
account.MarginLevel.String(),
account.MarginRatio.String(),

49
pkg/strategy/pivotshort/breaklow.go
View File

@ -29,9 +29,15 @@ type BreakLow struct {
StopEMARange fixedpoint.Value `json:"stopEMARange"`
StopEMA *types.IntervalWindow `json:"stopEMA"`
lastLow fixedpoint.Value
pivot *indicator.Pivot
stopEWMA *indicator.EWMA
TrendEMA *types.IntervalWindow `json:"trendEMA"`
lastLow fixedpoint.Value
pivot *indicator.Pivot
stopEWMA *indicator.EWMA
trendEWMA *indicator.EWMA
trendEWMALast, trendEWMACurrent float64
pivotLowPrices []fixedpoint.Value
orderExecutor *bbgo.GeneralOrderExecutor
@ -41,6 +47,14 @@ type BreakLow struct {
func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
if s.StopEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
}
if s.TrendEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
}
}
func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
@ -62,6 +76,15 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
s.stopEWMA = standardIndicator.EWMA(*s.StopEMA)
}
if s.TrendEMA != nil {
s.trendEWMA = standardIndicator.EWMA(*s.TrendEMA)
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.TrendEMA.Interval, func(kline types.KLine) {
s.trendEWMALast = s.trendEWMACurrent
s.trendEWMACurrent = s.trendEWMA.Last()
}))
}
// update pivot low data
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
@ -78,10 +101,6 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}))
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, types.Interval1m, func(kline types.KLine) {
if position.IsOpened(kline.Close) {
return
}
if len(s.pivotLowPrices) == 0 {
log.Infof("currently there is no pivot low prices, can not check break low...")
return
@ -114,6 +133,22 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
if position.IsOpened(kline.Close) {
log.Infof("position is already opened, skip short")
return
}
// trend EMA protection
if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
slope := s.trendEWMALast / s.trendEWMACurrent
if slope > 1.0 {
log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
return
}
log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
}
// stop EMA protection
if s.stopEWMA != nil {
ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())