mirror of
https://github.com/c9s/bbgo.git
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feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml
This commit is contained in:
zenix
parent
30978ecbd4
commit
d46267aff9
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@ -17,21 +17,26 @@ exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: ETHUSDT
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symbol: ETHBUSD
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 0.3%
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source: close
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predictOffset: 2
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# position avg +- takeProfitFactor * atr as take profit price
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takeProfitFactor: 1.4
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noTrailingStopLoss: true
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# the init value of takeProfitFactor Series, position avg +- takeProfitFactor * atr as take profit price
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takeProfitFactor: 6
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profitFactorWindow: 8
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noTrailingStopLoss: false
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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hlRangeWindow: 5
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smootherWindow: 2
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fisherTransformWindow: 8
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atrWindow: 14
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generateGraph: true
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graphPNLDeductFee: false
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graphPNLDeductFee: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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#exits:
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@ -63,18 +68,18 @@ sync:
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sessions:
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- binance
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symbols:
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- ETHUSDT
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- ETHBUSD
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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endTime: "2022-07-29"
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symbols:
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- ETHUSDT
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- ETHBUSD
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sessions: [binance]
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accounts:
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binance:
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#makerFeeRate: 0.00001
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makerFeeRate: 0.0000
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#takerFeeRate: 0.00001
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balances:
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ETH: 10
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USDT: 5000.0
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BUSD: 5000.0
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@ -21,39 +21,58 @@ exchangeStrategies:
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 0.3%
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stoploss: 0.2%
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source: close
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predictOffset: 2
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# position avg +- takeProfitFactor * atr as take profit price
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takeProfitFactor: 1.2
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noTrailingStopLoss: true
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noTrailingStopLoss: false
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# stddev on high/low-source
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hlVarianceMultiplier: 0.27
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hlVarianceMultiplier: 0.22
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hlRangeWindow: 5
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smootherWindow: 2
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fisherTransformWindow: 9
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# the init value of takeProfitFactor Series, the coefficient of ATR as TP
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takeProfitFactor: 6
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profitFactorWindow: 8
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atrWindow: 14
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generateGraph: true
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graphPNLDeductFee: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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exits:
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#- roiStopLoss:
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# percentage: 0.8%
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#- roiTakeProfit:
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# percentage: 3%
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#- protectiveStopLoss:
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# activationRatio: 0.5%
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# stopLossRatio: 0.1%
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# placeStopOrder: false
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- trailingStop:
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callbackRate: 1%
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#exits:
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#- roiStopLoss:
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# percentage: 0.35%
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#- roiTakeProfit:
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#percentage: 0.7%
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#- protectiveStopLoss:
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# activationRatio: 0.5%
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# stopLossRatio: 0.2%
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# placeStopOrder: false
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#- trailingStop:
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# callbackRate: 0.3%
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# activationRatio is relative to the average cost,
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# when side is buy, 1% means lower 1% than the average cost.
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# when side is sell, 1% means higher 1% than the average cost.
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activationRatio: 3%
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# activationRatio: 0.7%
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# minProfit uses the position ROI to calculate the profit ratio
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minProfit: 1%
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interval: 1m
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side: buy
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closePosition: 100%
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# minProfit: 1.5%
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# interval: 1m
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# side: sell
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# closePosition: 100%
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#- trailingStop:
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# callbackRate: 0.3%
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# activationRatio is relative to the average cost,
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# when side is buy, 1% means lower 1% than the average cost.
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# when side is sell, 1% means higher 1% than the average cost.
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# activationRatio: 0.7%
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# minProfit uses the position ROI to calculate the profit ratio
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# minProfit: 1.5%
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# interval: 1m
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# side: buy
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# closePosition: 100%
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#- protectiveStopLoss:
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# activationRatio: 5%
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# stopLossRatio: 1%
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@ -78,7 +97,7 @@ sync:
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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endTime: "2022-07-29"
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symbols:
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- BTCBUSD
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sessions: [binance]
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@ -87,5 +106,5 @@ backtest:
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makerFeeRate: 0.000
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takerFeeRate: 0.00075
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balances:
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BTC: 10
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BTC: 1
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BUSD: 5000.0
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@ -43,6 +43,10 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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}
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}
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func (e *GeneralOrderExecutor) ActiveMakerOrders() *ActiveOrderBook {
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return e.activeMakerOrders
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}
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func (e *GeneralOrderExecutor) BindEnvironment(environ *Environment) {
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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environ.RecordPosition(e.position, trade, profit)
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@ -16,6 +16,16 @@ type FisherTransform struct {
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UpdateCallbacks []func(value float64)
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}
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func (inc *FisherTransform) Clone() types.UpdatableSeriesExtend {
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out := FisherTransform{
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IntervalWindow: inc.IntervalWindow,
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prices: inc.prices.Clone(),
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Values: inc.Values[:],
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}
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out.SeriesBase.Series = &out
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return &out
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}
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func (inc *FisherTransform) Update(value float64) {
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if inc.prices == nil {
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inc.prices = types.NewQueue(inc.Window)
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15
pkg/indicator/fishertransform_callbacks.go
Normal file
15
pkg/indicator/fishertransform_callbacks.go
Normal file
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type FisherTransform"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *FisherTransform) OnUpdate(cb func(value float64)) {
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inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
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}
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func (inc *FisherTransform) EmitUpdate(value float64) {
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for _, cb := range inc.UpdateCallbacks {
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cb(value)
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}
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}
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@ -29,6 +29,7 @@ var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
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var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
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var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
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var Fee = fixedpoint.NewFromFloat(0.0008) // taker fee % * 2, for upper bound
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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@ -56,13 +57,21 @@ type Strategy struct {
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midPrice fixedpoint.Value
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lock sync.RWMutex
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// This stores the maximum TP coefficient of ATR multiplier of each entry point
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takeProfitFactor types.UpdatableSeriesExtend
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Source string `json:"source,omitempty"`
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TakeProfitFactor float64 `json:"takeProfitFactor"`
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ProfitFactorWindow int `json:"profitFactorWindow"`
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StopLoss fixedpoint.Value `json:"stoploss"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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HLRangeWindow int `json:"hlRangeWindow"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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buyPrice float64
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sellPrice float64
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@ -91,10 +100,14 @@ func (s *Strategy) Print(o *os.File) {
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b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
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hiyellow := color.New(color.FgHiYellow).FprintfFunc()
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hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
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hiyellow(f, "generateGraph: %v\n", s.GenerateGraph)
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hiyellow(f, "canvasPath: %s\n", s.CanvasPath)
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hiyellow(f, "graphPNLPath: %s\n", s.GraphPNLPath)
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hiyellow(f, "graphCumPNLPath: %s\n", s.GraphCumPNLPath)
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hiyellow(f, "source: %s\n", s.Source)
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hiyellow(f, "stoploss: %v\n", s.StopLoss)
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hiyellow(f, "takeProfitFactor: %f\n", s.TakeProfitFactor)
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hiyellow(f, "takeProfitFactor(last): %f, (init): %f\n", s.takeProfitFactor.Last(), s.TakeProfitFactor)
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hiyellow(f, "profitFactorWindow: %d\n", s.ProfitFactorWindow)
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hiyellow(f, "predictOffset: %d\n", s.PredictOffset)
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hiyellow(f, "exits:\n %s\n", string(b))
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hiyellow(f, "symbol: %s\n", s.Symbol)
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@ -102,6 +115,10 @@ func (s *Strategy) Print(o *os.File) {
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hiyellow(f, "window: %d\n", s.Window)
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hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
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hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier)
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hiyellow(f, "hlRangeWindow: %d\n", s.HLRangeWindow)
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hiyellow(f, "smootherWindow: %d\n", s.SmootherWindow)
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hiyellow(f, "fisherTransformWindow: %d\n", s.FisherTransformWindow)
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hiyellow(f, "atrWindow: %d\n", s.ATRWindow)
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hiyellow(f, "\n")
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}
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@ -110,7 +127,7 @@ func (s *Strategy) ID() string {
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s-%s", ID, s.Symbol)
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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@ -196,9 +213,9 @@ func (s *Strategy) SourceFuncGenerator() SourceFunc {
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type DriftMA struct {
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types.SeriesBase
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ma1 types.UpdatableSeries
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ma1 types.UpdatableSeriesExtend
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drift *indicator.Drift
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ma2 types.UpdatableSeries
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ma2 types.UpdatableSeriesExtend
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}
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func (s *DriftMA) Update(value float64) {
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@ -223,24 +240,44 @@ func (s *DriftMA) ZeroPoint() float64 {
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return s.drift.ZeroPoint()
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}
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func (s *DriftMA) Clone() *DriftMA {
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out := DriftMA{
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ma1: types.Clone(s.ma1),
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drift: s.drift.Clone(),
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ma2: types.Clone(s.ma2),
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}
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out.SeriesBase.Series = &out
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return &out
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}
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func (s *DriftMA) TestUpdate(v float64) *DriftMA {
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out := s.Clone()
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out.Update(v)
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return out
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}
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func (s *Strategy) initIndicators() error {
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s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 5}}
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s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
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s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
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s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.drift = &DriftMA{
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drift: &indicator.Drift{
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MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
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IntervalWindow: s.IntervalWindow,
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},
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ma1: &indicator.EWMA{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 2},
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow},
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},
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ma2: &indicator.FisherTransform{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 9},
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow},
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},
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}
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s.drift.SeriesBase.Series = s.drift
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
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s.takeProfitFactor = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ProfitFactorWindow}}
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for i := 0; i < s.ProfitFactorWindow; i++ {
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s.takeProfitFactor.Update(s.TakeProfitFactor)
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}
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store, _ := s.Session.MarketDataStore(s.Symbol)
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klines, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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@ -274,7 +311,7 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var pricef, stoploss, atr, avg float64
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var pricef, atr, avg float64
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var price fixedpoint.Value
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if util.TryLock(&s.lock) {
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if !bestAsk.IsZero() && !bestBid.IsZero() {
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@ -297,23 +334,27 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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}
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss {
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if s.NoTrailingStopLoss || s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
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s.lock.Unlock()
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return
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}
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atr = s.atr.Last()
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avg = s.buyPrice + s.sellPrice
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stoploss = s.StopLoss.Float64()
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exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || avg-atr*s.TakeProfitFactor >= pricef ||
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((pricef-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
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d := s.drift.TestUpdate(pricef)
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drift := d.Last()
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ddrift := d.drift.Last()
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takeProfitFactor := s.takeProfitFactor.Predict(2)
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exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
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((pricef-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || avg+atr*s.TakeProfitFactor <= pricef ||
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((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
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exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef ||*/ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
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((s.highestPrice-pricef)/pricef > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
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(!s.Position.IsLong() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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if exitLongCondition && s.highestPrice > avg {
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s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
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} else if exitShortCondition && avg > s.lowestPrice {
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s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
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}
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_ = s.ClosePosition(ctx, fixedpoint.One)
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}
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@ -459,9 +500,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return p
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}
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if s.GraphPNLDeductFee {
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fee := fixedpoint.NewFromFloat(0.0004) // taker fee % * 2, for upper bound
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modify = func(p fixedpoint.Value) fixedpoint.Value {
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return p.Mul(fixedpoint.One.Sub(fee))
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return p.Mul(fixedpoint.One.Sub(Fee))
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}
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}
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s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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@ -575,6 +615,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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pricef := price.Float64()
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lowf := math.Min(kline.Low.Float64(), pricef)
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highf := math.Max(kline.High.Float64(), pricef)
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d := s.drift.TestUpdate(pricef)
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drift := d.Last()
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ddrift := d.drift.Last()
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if s.lowestPrice > 0 && lowf < s.lowestPrice {
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s.lowestPrice = lowf
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}
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@ -583,16 +627,22 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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avg := s.buyPrice + s.sellPrice
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exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf ||
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((highf-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
|
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if s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
|
||||
return
|
||||
}
|
||||
|
||||
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
||||
exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
|
||||
((highf-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf ||
|
||||
((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
|
||||
exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || */ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
|
||||
((s.highestPrice-lowf)/lowf > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
|
||||
(s.Position.IsLong() && !s.Position.IsDust(price))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
if exitLongCondition && s.highestPrice > avg {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
||||
} else if exitShortCondition && avg > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
|
|
@ -611,6 +661,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
drift = s.drift.Array(2)
|
||||
ddrift := s.drift.drift.Array(2)
|
||||
driftPred = s.drift.Predict(s.PredictOffset)
|
||||
ddriftPred := s.drift.drift.Predict(s.PredictOffset)
|
||||
atr = s.atr.Last()
|
||||
price := s.getLastPrice()
|
||||
pricef := price.Float64()
|
||||
|
|
@ -620,7 +671,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.stdevLow.Update(lowdiff)
|
||||
highdiff := highf - s.ma.Last()
|
||||
s.stdevHigh.Update(highdiff)
|
||||
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
||||
s.lowestPrice = lowf
|
||||
}
|
||||
if s.highestPrice > 0 && highf > s.highestPrice {
|
||||
s.highestPrice = highf
|
||||
}
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
||||
|
||||
if !s.IsBackTesting() {
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
|
|
@ -634,18 +692,30 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
//longCondition := (sourcef >= zeroPoint && driftPred >= drift[0] && drift[0] >= 0 && drift[1] < 0 && drift[2] < drift[1])
|
||||
//bothUp := ddrift[1] < ddrift[0] && drift[1] < drift[0]
|
||||
//bothDown := ddrift[1] > ddrift[0] && drift[1] > drift[0]
|
||||
shortCondition := (ddrift[0] <= 0 || drift[0] <= 0) && driftPred < 0.
|
||||
longCondition := (ddrift[0] >= 0 || drift[0] >= 0) && driftPred > 0
|
||||
exitShortCondition := (avg+atr <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition && !shortCondition
|
||||
exitLongCondition := (avg-atr >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf) &&
|
||||
(s.Position.IsLong() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition && !longCondition
|
||||
shortCondition := (drift[1] >= -0.9 || ddrift[1] >= 0) && (driftPred <= -0.6 || ddriftPred <= 0)
|
||||
longCondition := (drift[1] <= 0.9 || ddrift[1] <= 0) && (driftPred >= 0.6 || ddriftPred >= 0)
|
||||
exitShortCondition := ((drift[0] >= 0.6 && ddrift[0] >= 0) ||
|
||||
avg*(1.+stoploss) <= pricef ||
|
||||
avg-atr*takeProfitFactor >= pricef) &&
|
||||
s.Position.IsShort() && !longCondition && !shortCondition
|
||||
exitLongCondition := ((drift[0] <= -0.6 && ddrift[0] <= 0) ||
|
||||
avg*(1.-stoploss) >= pricef ||
|
||||
avg+atr*takeProfitFactor <= pricef) &&
|
||||
s.Position.IsLong() && !shortCondition && !longCondition
|
||||
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
if exitShortCondition && avg > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
||||
} else if exitLongCondition && avg < s.highestPrice {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
||||
}
|
||||
if s.takeProfitFactor.Last() == 0 {
|
||||
log.Errorf("exit %f %f %f %v", s.highestPrice, s.lowestPrice, avg, s.takeProfitFactor.Array(10))
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
return
|
||||
}
|
||||
|
|
@ -668,6 +738,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
||||
return
|
||||
}
|
||||
if avg < s.highestPrice && avg > 0 && s.Position.IsLong() {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
||||
if s.takeProfitFactor.Last() == 0 {
|
||||
log.Errorf("short %f %f", s.highestPrice, avg)
|
||||
}
|
||||
}
|
||||
// Cleanup pending StopOrders
|
||||
quantity := baseBalance.Available
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
|
|
@ -704,6 +780,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
quoteBalance.Available.Div(source), source) {
|
||||
return
|
||||
}
|
||||
if avg > s.lowestPrice && s.Position.IsShort() {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
||||
if s.takeProfitFactor.Last() == 0 {
|
||||
log.Errorf("long %f %f", s.lowestPrice, avg)
|
||||
}
|
||||
|
||||
}
|
||||
quantity := quoteBalance.Available.Div(source)
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
|
|
|
|||
|
|
@ -218,17 +218,21 @@ func (s *TradeStats) add(pnl fixedpoint.Value) {
|
|||
// Output TradeStats without Profits and Losses
|
||||
func (s *TradeStats) BriefString() string {
|
||||
out, _ := yaml.Marshal(&TradeStats{
|
||||
Symbol: s.Symbol,
|
||||
WinningRatio: s.WinningRatio,
|
||||
NumOfLossTrade: s.NumOfLossTrade,
|
||||
NumOfProfitTrade: s.NumOfProfitTrade,
|
||||
GrossProfit: s.GrossProfit,
|
||||
GrossLoss: s.GrossLoss,
|
||||
LargestProfitTrade: s.LargestProfitTrade,
|
||||
LargestLossTrade: s.LargestLossTrade,
|
||||
ProfitFactor: s.ProfitFactor,
|
||||
TotalNetProfit: s.TotalNetProfit,
|
||||
IntervalProfits: s.IntervalProfits,
|
||||
Symbol: s.Symbol,
|
||||
WinningRatio: s.WinningRatio,
|
||||
NumOfLossTrade: s.NumOfLossTrade,
|
||||
NumOfProfitTrade: s.NumOfProfitTrade,
|
||||
GrossProfit: s.GrossProfit,
|
||||
GrossLoss: s.GrossLoss,
|
||||
LargestProfitTrade: s.LargestProfitTrade,
|
||||
LargestLossTrade: s.LargestLossTrade,
|
||||
ProfitFactor: s.ProfitFactor,
|
||||
TotalNetProfit: s.TotalNetProfit,
|
||||
IntervalProfits: s.IntervalProfits,
|
||||
MaximumConsecutiveWins: s.MaximumConsecutiveWins,
|
||||
MaximumConsecutiveLosses: s.MaximumConsecutiveLosses,
|
||||
MaximumConsecutiveProfit: s.MaximumConsecutiveProfit,
|
||||
MaximumConsecutiveLoss: s.MaximumConsecutiveLoss,
|
||||
})
|
||||
return string(out)
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user