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bollmaker: add BuyBelowNeutralSMA option

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This commit is contained in:
c9s 2022-02-01 01:40:51 +08:00
parent 17187c70e7
commit bf8558e9ad
2 changed files with 44 additions and 10 deletions
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12
pkg/cmd/backtest.go
View File

@ -387,13 +387,19 @@ var BacktestCmd = &cobra.Command{
if report.Profit > 0 {
color.Green("REALIZED PROFIT: +%f %s", report.Profit.Float64(), market.QuoteCurrency)
} else {
color.Red("REALIZED PROFIT: -%f %s", report.Profit.Float64(), market.QuoteCurrency)
color.Red("REALIZED PROFIT: %f %s", report.Profit.Float64(), market.QuoteCurrency)
}
if report.UnrealizedProfit > 0 {
color.Green("UNREALIZED PROFIT: +%f %s", report.UnrealizedProfit.Float64(), market.QuoteCurrency)
} else {
color.Red("UNREALIZED PROFIT: %f %s", report.UnrealizedProfit.Float64(), market.QuoteCurrency)
}
if finalQuoteAsset > initQuoteAsset {
color.Green("ASSET INCREASED: +%f %s (+%.2f%%)", finalQuoteAsset-initQuoteAsset, market.QuoteCurrency, (finalQuoteAsset-initQuoteAsset)/initQuoteAsset*100.0)
} else {
color.Red("ASSET DECREASED: -%f %s (-%.2f%%)", finalQuoteAsset-initQuoteAsset, market.QuoteCurrency, (finalQuoteAsset-initQuoteAsset)/initQuoteAsset*100.0)
color.Red("ASSET DECREASED: %f %s (%.2f%%)", finalQuoteAsset-initQuoteAsset, market.QuoteCurrency, (finalQuoteAsset-initQuoteAsset)/initQuoteAsset*100.0)
}
if wantBaseAssetBaseline {
@ -405,7 +411,7 @@ var BacktestCmd = &cobra.Command{
if lastPrice > startPrice {
color.Green("%s BASE ASSET PERFORMANCE: +%.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
} else {
color.Red("%s BASE ASSET PERFORMANCE: -%.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
color.Red("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
}
}
}

40
pkg/strategy/bollmaker/strategy.go
View File

@ -106,6 +106,9 @@ type Strategy struct {
// Set to true if you want to hold more spot during market making.
DisableShort bool `json:"disableShort"`
// BuyBelowNeutralSMA if true, the market maker will only place buy order when the current price is below the neutral band SMA.
BuyBelowNeutralSMA bool `json:"buyBelowNeutralSMA"`
// NeutralBollinger is the smaller range of the bollinger band
// If price is in this band, it usually means the price is oscillating.
// If price goes out of this band, we tend to not place sell orders or buy orders
@ -354,8 +357,20 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
log.Infof("calculated max exposure position: %f", maxExposurePosition.Float64())
canBuy := maxExposurePosition > 0 && base < maxExposurePosition
canSell := maxExposurePosition > 0 && base > -maxExposurePosition
canSell := true
canBuy := true
if maxExposurePosition > 0 && base > maxExposurePosition {
canBuy = false
}
if maxExposurePosition > 0 {
if s.Long != nil && *s.Long && base < 0 {
canSell = false
} else if base < -maxExposurePosition {
canSell = false
}
}
if s.ShadowProtection && kline != nil {
switch kline.Direction() {
@ -423,10 +438,20 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
canSell = false
}
if canSell && midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) {
if !(s.DisableShort && (base.Float64()-sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) {
canSell = false
}
if s.Long != nil && *s.Long && (base.Float64()-sellOrder.Quantity < 0) {
canSell = false
}
if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
canBuy = false
}
if canSell {
submitOrders = append(submitOrders, sellOrder)
}
if canBuy {
submitOrders = append(submitOrders, buyOrder)
@ -493,6 +518,10 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.DisableShort {
s.Long = &[]bool{true}[0]
}
if s.MinProfitSpread == 0 {
s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
}
@ -651,4 +680,3 @@ func calculateBandPercentage(up, down, sma, midPrice float64) float64 {
func inBetween(x, a, b float64) bool {
return a < x && x < b
}