strategy: supertrend strategy config example

config/supertrend.yaml

@@ -0,0 +1,48 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+backtest:
+  sessions: [binance]
+  # for testing max draw down (MDD) at 03-12
+  # see here for more details
+  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
+  startTime: "2022-04-01"
+  endTime: "2022-04-30"
+  symbols:
+  - BTCUSDT
+  accounts:
+    binance:
+      makerCommission: 10  # 0.15%
+      takerCommission: 15  # 0.15%
+      balances:
+        BTC: 1.0
+        USDT: 10000.0
+
+exchangeStrategies:
+- on: binance
+  supertrend:
+    symbol: BTCUSDT
+
+    # interval is how long do you want to update your order price and quantity
+    interval: 1h
+
+    # leverage is the leverage of the orders
+    leverage: 1
+
+    # fastDEMAWindow and slowDEMAWindow are for filtering super trend noise
+    fastDEMAWindow: 144
+    slowDEMAWindow: 169
+
+    superTrend:
+      averageTrueRangeWindow: 39
+      # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
+      averageTrueRangeMultiplier: 3

pkg/strategy/supertrend/strategy.go

@@ -10,6 +10,7 @@ import (
 	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"
 	"math"
+	"sync"
 )
 
 // TODO: Strategy control
@@ -121,6 +122,8 @@ type Strategy struct {
 	// groupID is the group ID used for the strategy instance for canceling orders
 	groupID uint32
 
+	stopC chan struct{}
+
 	// Symbol is the market symbol you want to trade
 	Symbol string `json:"symbol"`
 
@@ -284,6 +287,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.Position.Strategy = ID
 	s.Position.StrategyInstanceID = s.InstanceID()
 
+	s.stopC = make(chan struct{})
+
+	// Profit
 	if s.ProfitStats == nil {
 		s.ProfitStats = types.NewProfitStats(s.Market)
 	}
@@ -402,5 +408,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	s.tradeCollector.BindStream(session.UserDataStream)
 
+	// Graceful shutdown
+	s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+		close(s.stopC)
+
+		s.tradeCollector.Process()
+	})
+
 	return nil
 }