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improve/bollmaker: add MinProfitActivationRate

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Andy Cheng 2023-01-19 12:15:20 +08:00
parent 5fc459d404
commit cb412dc13f
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2 changed files with 23 additions and 14 deletions
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3
config/bollmaker.yaml
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@ -59,6 +59,9 @@ exchangeStrategies:
# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
minProfitSpread: 0.1%
# minProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
minProfitActivationRate: -10%
# trendEMA detects the trend by a given EMA
# when EMA goes up (the last > the previous), allow buy and sell
# when EMA goes down (the last < the previous), disable buy, allow sell

34
pkg/strategy/bollmaker/strategy.go
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@ -82,6 +82,9 @@ type Strategy struct {
// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
// MinProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
MinProfitActivationRate fixedpoint.Value `json:"minProfitActivationRate"`
// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
// The back-test engine is kline-based, so the ticker price api is not supported.
// Turn this on if you want to do real trading.
@ -381,22 +384,25 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
isLongPosition := s.Position.IsLong()
isShortPosition := s.Position.IsShort()
minProfitPrice := s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))
if isShortPosition {
minProfitPrice = s.Position.AverageCost.Mul(fixedpoint.One.Sub(s.MinProfitSpread))
}
if isLongPosition {
// for long position if the current price is lower than the minimal profitable price then we should stop sell
// this avoid loss trade
if midPrice.Compare(minProfitPrice) < 0 {
canSell = false
if s.Position.ROI(midPrice).Compare(s.MinProfitActivationRate) >= 0 {
minProfitPrice := s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))
if isShortPosition {
minProfitPrice = s.Position.AverageCost.Mul(fixedpoint.One.Sub(s.MinProfitSpread))
}
} else if isShortPosition {
// for short position if the current price is higher than the minimal profitable price then we should stop buy
// this avoid loss trade
if midPrice.Compare(minProfitPrice) > 0 {
canBuy = false
if isLongPosition {
// for long position if the current price is lower than the minimal profitable price then we should stop sell
// this avoids loss trade
if midPrice.Compare(minProfitPrice) < 0 {
canSell = false
}
} else if isShortPosition {
// for short position if the current price is higher than the minimal profitable price then we should stop buy
// this avoids loss trade
if midPrice.Compare(minProfitPrice) > 0 {
canBuy = false
}
}
}