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Merge pull request #1463 from c9s/c9s/bollmaker-ema-crosssignal
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@ -17,7 +17,7 @@ backtest:
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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: "2022-05-01"
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endTime: "2022-08-14"
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endTime: "2023-11-01"
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sessions:
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- binance
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symbols:
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@ -200,6 +200,15 @@ exchangeStrategies:
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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: true
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# emaCross is used for turning buy on/off
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# when short term EMA cross fast term EMA, turn on buy,
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# otherwise, turn off buy
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emaCross:
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enabled: false
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interval: 1h
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fastWindow: 3
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slowWindow: 12
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exits:
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# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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@ -6,12 +6,11 @@ import (
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"math"
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"sync"
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indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -46,6 +45,16 @@ type BollingerSetting struct {
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BandWidth float64 `json:"bandWidth"`
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}
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type EMACrossSetting struct {
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Enabled bool `json:"enabled"`
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Interval types.Interval `json:"interval"`
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FastWindow int `json:"fastWindow"`
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SlowWindow int `json:"slowWindow"`
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fastEMA, slowEMA *indicatorv2.EWMAStream
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cross *indicatorv2.CrossStream
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}
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type Strategy struct {
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Environment *bbgo.Environment
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StandardIndicatorSet *bbgo.StandardIndicatorSet
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@ -121,6 +130,9 @@ type Strategy struct {
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// BuyBelowNeutralSMA if true, the market maker will only place buy order when the current price is below the neutral band SMA.
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BuyBelowNeutralSMA bool `json:"buyBelowNeutralSMA"`
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// EMACrossSetting is used for defining ema cross signal to turn on/off buy
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EMACrossSetting *EMACrossSetting `json:"emaCross"`
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// NeutralBollinger is the smaller range of the bollinger band
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// If price is in this band, it usually means the price is oscillating.
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// If price goes out of this band, we tend to not place sell orders or buy orders
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@ -150,25 +162,24 @@ type Strategy struct {
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ShadowProtection bool `json:"shadowProtection"`
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ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
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session *bbgo.ExchangeSession
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book *types.StreamOrderBook
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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session *bbgo.ExchangeSession
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book *types.StreamOrderBook
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orderExecutor *bbgo.GeneralOrderExecutor
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groupID uint32
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// defaultBoll is the BOLLINGER indicator we used for predicting the price.
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defaultBoll *indicatorv2.BOLLStream
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// neutralBoll is the neutral price section
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neutralBoll *indicatorv2.BOLLStream
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shouldBuy bool
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// StrategyController
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bbgo.StrategyController
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}
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@ -202,6 +213,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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if s.EMACrossSetting != nil && s.EMACrossSetting.Enabled {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.EMACrossSetting.Interval})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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@ -274,8 +289,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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Quantity: sellQuantity,
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Price: askPrice,
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Market: s.Market,
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GroupID: s.groupID,
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}
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buyOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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@ -283,7 +298,6 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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Quantity: buyQuantity,
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Price: bidPrice,
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Market: s.Market,
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GroupID: s.groupID,
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}
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var submitOrders []types.SubmitOrder
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@ -435,14 +449,20 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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}
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}
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if !s.shouldBuy {
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log.Infof("shouldBuy is turned off, skip placing buy order")
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canBuy = false
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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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if canBuy {
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submitOrders = append(submitOrders, buyOrder)
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}
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// condition for lower the average cost
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// condition for lowering the average cost
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/*
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if midPrice < s.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
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submitOrders = append(submitOrders, buyOrder)
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@ -478,9 +498,26 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.shouldBuy = true
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s.neutralBoll = session.Indicators(s.Symbol).BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
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s.defaultBoll = session.Indicators(s.Symbol).BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
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if s.EMACrossSetting != nil && s.EMACrossSetting.Enabled {
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s.EMACrossSetting.fastEMA = session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.EMACrossSetting.FastWindow})
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s.EMACrossSetting.slowEMA = session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.EMACrossSetting.SlowWindow})
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s.EMACrossSetting.cross = indicatorv2.Cross(s.EMACrossSetting.fastEMA, s.EMACrossSetting.slowEMA)
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s.EMACrossSetting.cross.OnUpdate(func(v float64) {
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switch indicatorv2.CrossType(v) {
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case indicatorv2.CrossOver:
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s.shouldBuy = true
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case indicatorv2.CrossUnder:
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s.shouldBuy = false
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// TODO: can partially close position when necessary
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// s.orderExecutor.ClosePosition(ctx)
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}
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})
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}
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// Setup dynamic spread
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if s.DynamicSpread.IsEnabled() {
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if s.DynamicSpread.Interval == "" {
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@ -511,7 +548,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// calculate group id for orders
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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// If position is nil, we need to allocate a new position for calculation
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if s.Position == nil {
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@ -563,7 +599,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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session.UserDataStream.OnStart(func() {
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if s.UseTickerPrice {
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if !bbgo.IsBackTesting && s.UseTickerPrice {
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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return
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