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strategy/supertrend: refactor to smaller functions
This commit is contained in:
Andy Cheng
parent
94cb1e6724
commit
c62e7bbb58
65
pkg/strategy/supertrend/lingre.go
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65
pkg/strategy/supertrend/lingre.go
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@ -0,0 +1,65 @@
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package supertrend
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import (
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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// LinGre is Linear Regression baseline
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type LinGre struct {
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types.IntervalWindow
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baseLineSlope float64
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}
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// Update Linear Regression baseline slope
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func (lg *LinGre) Update(klines []types.KLine) {
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if len(klines) < lg.Window {
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lg.baseLineSlope = 0
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return
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}
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var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
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end := len(klines) - 1 // The last kline
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for i := end; i >= end-lg.Window+1; i-- {
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val := klines[i].GetClose().Float64()
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per := float64(end - i + 1)
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sumX += per
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sumY += val
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sumXSqr += per * per
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sumXY += val * per
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}
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length := float64(lg.Window)
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slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
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average := sumY / length
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endPrice := average - slope*sumX/length + slope
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startPrice := endPrice + slope*(length-1)
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lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
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log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
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}
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func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if lg.Interval != interval {
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return
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}
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lg.Update(window)
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}
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func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
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}
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// GetSignal get linear regression signal
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func (lg *LinGre) GetSignal() types.Direction {
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var lgSignal types.Direction = types.DirectionNone
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switch {
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case lg.baseLineSlope > 0:
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lgSignal = types.DirectionUp
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case lg.baseLineSlope < 0:
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lgSignal = types.DirectionDown
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}
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return lgSignal
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}
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@ -32,51 +32,6 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// LinGre is Linear Regression baseline
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type LinGre struct {
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types.IntervalWindow
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baseLineSlope float64
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}
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// Update Linear Regression baseline slope
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func (lg *LinGre) Update(klines []types.KLine) {
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if len(klines) < lg.Window {
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lg.baseLineSlope = 0
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return
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}
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var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
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end := len(klines) - 1 // The last kline
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for i := end; i >= end-lg.Window+1; i-- {
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val := klines[i].GetClose().Float64()
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per := float64(end - i + 1)
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sumX += per
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sumY += val
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sumXSqr += per * per
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sumXY += val * per
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}
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length := float64(lg.Window)
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slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
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average := sumY / length
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endPrice := average - slope*sumX/length + slope
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startPrice := endPrice + slope*(length-1)
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lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
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log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
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}
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func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if lg.Interval != interval {
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return
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}
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lg.Update(window)
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}
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func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Persistence
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@ -214,6 +169,36 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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return err
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}
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// preloadDema preloads DEMA indicators
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func preloadDema(fastDEMA *indicator.DEMA, slowDEMA *indicator.DEMA, kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(fastDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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fastDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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if klines, ok := kLineStore.KLinesOfInterval(slowDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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slowDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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}
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// preloadSupertrend preloads supertrend indicator
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func preloadSupertrend(supertrend *indicator.Supertrend, kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(supertrend.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64())
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}
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}
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}
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// preloadLinGre preloads linear regression indicator
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func preloadLinGre(linearRegression *LinGre, kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(linearRegression.Interval); ok {
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linearRegression.Update((*klines)[0:])
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}
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}
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// setupIndicators initializes indicators
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func (s *Strategy) setupIndicators() {
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// K-line store for indicators
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@ -231,17 +216,7 @@ func (s *Strategy) setupIndicators() {
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}
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s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}}
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s.slowDEMA.Bind(kLineStore)
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// Preload
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if klines, ok := kLineStore.KLinesOfInterval(s.fastDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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s.fastDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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if klines, ok := kLineStore.KLinesOfInterval(s.slowDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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s.slowDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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preloadDema(s.fastDEMA, s.slowDEMA, kLineStore)
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// Supertrend
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if s.SupertrendWindow == 0 {
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@ -253,12 +228,7 @@ func (s *Strategy) setupIndicators() {
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s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
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s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}}
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s.Supertrend.Bind(kLineStore)
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// Preload
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if klines, ok := kLineStore.KLinesOfInterval(s.Supertrend.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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s.Supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64())
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}
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}
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preloadSupertrend(s.Supertrend, kLineStore)
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// Linear Regression
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if s.LinearRegression != nil {
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@ -266,15 +236,54 @@ func (s *Strategy) setupIndicators() {
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s.LinearRegression = nil
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} else {
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s.LinearRegression.Bind(kLineStore)
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// Preload
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if klines, ok := kLineStore.KLinesOfInterval(s.LinearRegression.Interval); ok {
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s.LinearRegression.Update((*klines)[0:])
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}
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preloadLinGre(s.LinearRegression, kLineStore)
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}
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}
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}
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// getDemaSignal get current DEMA signal
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func (s *Strategy) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
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var demaSignal types.Direction = types.DirectionNone
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if closePrice > s.fastDEMA.Last() && closePrice > s.slowDEMA.Last() && !(openPrice > s.fastDEMA.Last() && openPrice > s.slowDEMA.Last()) {
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demaSignal = types.DirectionUp
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} else if closePrice < s.fastDEMA.Last() && closePrice < s.slowDEMA.Last() && !(openPrice < s.fastDEMA.Last() && openPrice < s.slowDEMA.Last()) {
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demaSignal = types.DirectionDown
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}
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return demaSignal
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}
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func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool {
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stopNow := false
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base := s.Position.GetBase()
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baseSign := base.Sign()
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if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
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// SL by triggering Kline low/high
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bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
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stopNow = true
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} else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
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// TP by multiple of ATR
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bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
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stopNow = true
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} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
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// Use supertrend signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
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stopNow = true
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} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
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// Use DEMA signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
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stopNow = true
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} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
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// Use linear regression signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
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stopNow = true
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}
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return stopNow
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}
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func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder {
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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@ -393,62 +402,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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stSignal := s.Supertrend.GetSignal()
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// DEMA signal
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var demaSignal types.Direction
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if closePrice > s.fastDEMA.Last() && closePrice > s.slowDEMA.Last() && !(openPrice > s.fastDEMA.Last() && openPrice > s.slowDEMA.Last()) {
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demaSignal = types.DirectionUp
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} else if closePrice < s.fastDEMA.Last() && closePrice < s.slowDEMA.Last() && !(openPrice < s.fastDEMA.Last() && openPrice < s.slowDEMA.Last()) {
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demaSignal = types.DirectionDown
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} else {
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demaSignal = types.DirectionNone
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}
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demaSignal := s.getDemaSignal(openPrice, closePrice)
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// Linear Regression signal
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var lgSignal types.Direction
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if s.LinearRegression != nil {
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switch {
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case s.LinearRegression.baseLineSlope > 0:
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lgSignal = types.DirectionUp
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case s.LinearRegression.baseLineSlope < 0:
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lgSignal = types.DirectionDown
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default:
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lgSignal = types.DirectionNone
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}
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lgSignal = s.LinearRegression.GetSignal()
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}
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base := s.Position.GetBase()
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baseSign := base.Sign()
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// TP/SL if there's non-dust position and meets the criteria
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if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
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stopNow := false
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if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
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// SL by triggering Kline low/high
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bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol)
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stopNow = true
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} else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
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// TP by multiple of ATR
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bbgo.Notify("%s take profit by multiple of ATR", s.Symbol)
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stopNow = true
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} else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) {
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// Use supertrend signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol)
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stopNow = true
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} else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) {
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// Use DEMA signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol)
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stopNow = true
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} else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) {
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// Use linear regression signal to TP/SL
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bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol)
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stopNow = true
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}
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if stopNow {
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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if !s.Market.IsDustQuantity(s.Position.GetBase().Abs(), kline.GetClose()) && s.shouldStop(kline, stSignal, demaSignal, lgSignal) {
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if err := s.ClosePosition(ctx, fixedpoint.One); err == nil {
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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}
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}
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