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pivotshort: add maxGradient config to trendEMA
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93593ffa06
commit
d61047cd26
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@ -15,32 +15,6 @@ type StopEMA struct {
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Range fixedpoint.Value `json:"range"`
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}
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type TrendEMA struct {
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types.IntervalWindow
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trendEWMA *indicator.EWMA
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trendEWMALast, trendEWMACurrent float64
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}
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func (s *TrendEMA) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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symbol := orderExecutor.Position().Symbol
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s.trendEWMA = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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s.trendEWMALast = s.trendEWMACurrent
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s.trendEWMACurrent = s.trendEWMA.Last()
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}))
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}
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func (s *TrendEMA) Gradient() (float64, bool) {
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if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
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gradient := s.trendEWMALast / s.trendEWMACurrent
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return gradient, true
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}
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return 0.0, false
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}
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type FakeBreakStop struct {
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types.IntervalWindow
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}
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@ -120,6 +94,9 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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}
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if s.TrendEMA != nil {
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if s.TrendEMA.MaxGradient == 0.0 {
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s.TrendEMA.MaxGradient = 1.0
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}
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s.TrendEMA.Bind(session, orderExecutor)
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}
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@ -213,13 +190,8 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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}
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// trend EMA protection
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if gradient, ok := s.TrendEMA.Gradient(); ok {
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if gradient > 1.0 {
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log.Debugf("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
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return
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}
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log.Debugf("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
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if !s.TrendEMA.GradientAllowed() {
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return
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}
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// stop EMA protection
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@ -58,6 +58,9 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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s.activeOrders.BindStream(session.UserDataStream)
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if s.TrendEMA != nil {
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if s.TrendEMA.MaxGradient == 0.0 {
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s.TrendEMA.MaxGradient = 1.0
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}
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s.TrendEMA.Bind(session, orderExecutor)
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}
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@ -68,13 +71,8 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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// trend EMA protection
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if gradient, ok := s.TrendEMA.Gradient(); ok {
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if gradient > 1.0 {
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log.Debugf("trendEMA %+v current=%f last=%f gradient=%f: skip short", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
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return
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}
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log.Debugf("trendEMA %+v current=%f last=%f gradient=%f: short is enabled", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
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if !s.TrendEMA.GradientAllowed() {
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return
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}
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position := s.orderExecutor.Position()
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51
pkg/strategy/pivotshort/trendema.go
Normal file
51
pkg/strategy/pivotshort/trendema.go
Normal file
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@ -0,0 +1,51 @@
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package pivotshort
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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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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type TrendEMA struct {
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types.IntervalWindow
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// MaxGradient is the maximum gradient allowed for the entry.
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MaxGradient float64 `json:"maxGradient"`
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MinGradient float64 `json:"minGradient"`
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trendEWMA *indicator.EWMA
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trendEWMALast, trendEWMACurrent, trendGradient float64
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}
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func (s *TrendEMA) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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symbol := orderExecutor.Position().Symbol
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s.trendEWMA = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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s.trendEWMALast = s.trendEWMACurrent
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s.trendEWMACurrent = s.trendEWMA.Last()
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}))
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}
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func (s *TrendEMA) GradientAllowed() bool {
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if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
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s.trendGradient = s.trendEWMALast / s.trendEWMACurrent
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}
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if s.trendGradient == .0 {
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return false
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}
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if s.MaxGradient > 0.0 && s.trendGradient < s.MaxGradient {
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log.Debugf("trendEMA %+v current=%f last=%f gradient=%f: allowed", s, s.trendEWMACurrent, s.trendEWMALast, s.trendGradient)
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return true
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}
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if s.MinGradient > 0.0 && s.trendGradient > s.MinGradient {
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log.Debugf("trendEMA %+v current=%f last=%f gradient=%f: allowed", s, s.trendEWMACurrent, s.trendEWMALast, s.trendGradient)
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return true
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}
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log.Debugf("trendEMA %+v current=%f last=%f gradient=%f: disallowed", s, s.trendEWMACurrent, s.trendEWMALast, s.trendGradient)
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return false
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}
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