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add doc for CumulatedVolumeTakeProfit

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c9s 2022-06-29 01:39:33 +08:00
parent 3d4f765678
commit cfc4fd1f81
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2 changed files with 9 additions and 2 deletions
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4
config/pivotshort.yaml
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@ -90,8 +90,8 @@ exchangeStrategies:
# (5) cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
- cumulatedVolumeTakeProfit:
minQuoteVolume: 50_000_000
window: 5
minQuoteVolume: 100_000_000
window: 2
backtest:
sessions:

7
pkg/strategy/pivotshort/cumulated_volume_take_profit.go
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@ -8,6 +8,13 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// CumulatedVolumeTakeProfit
// This exit method cumulate the volume by N bars, if the cumulated volume exceeded a threshold, then we take profit.
//
// To query the historical quote volume, use the following query:
//
// > SELECT start_time, `interval`, quote_volume, open, close FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' ORDER BY quote_volume DESC LIMIT 20;
//
type CumulatedVolumeTakeProfit struct {
types.IntervalWindow
Ratio fixedpoint.Value `json:"ratio"`