Merge pull request #379 from andycheng123/main

strategy: support strategy update

config/support.yaml

@@ -55,7 +55,9 @@ exchangeStrategies:
     symbol: LINKUSDT
     interval: 1m
     minVolume: 1_000
-    movingAverageWindow: 99
+    triggerMovingAverage:
+      interval: 5m
+      window: 99
     longTermMovingAverage:
       interval: 1h
       window: 99

doc/strategy/support.md

@@ -14,10 +14,15 @@ This strategy uses K-lines with high volume as support and buys the target asset
 - `minVolume`
     - The threshold, e.g., `1000000`, `5000000`. A K-line with volume larger than this is seen as a support, and 
       triggers a market buy order.  
-- `movingAverageWindow`
-    - The MA window in the current K-line interval to filter out noises, e.g., 99. The support higher than the MA is seen as invalid
+- `triggerMovingAverage`
+    - The MA window in the current K-line interval to filter out noises. The closed price must be below this MA to 
+      trigger the buy order.
+    - `interval`
+        - The K-line interval, e.g., `5m`, `1h`
+    - `window`
+        - The MA window in the specified K-line interval to filter out noises.
 - `longTermMovingAverage`
-    - The MA window in a longer K-line interval
+    - The MA window in a longer K-line interval. The closed price must be above this MA to trigger the buy order.
     - `interval`
         - The K-line interval, e.g., `5m`, `1h`
     - `window`

pkg/strategy/support/strategy.go

@@ -96,7 +96,7 @@ type Strategy struct {
 	Interval types.Interval `json:"interval"`
 
 	// moving average window for checking support (support should be under the moving average line)
-	MovingAverageWindow int `json:"movingAverageWindow"`
+	TriggerMovingAverage types.IntervalWindow `json:"triggerMovingAverage"`
 
 	// LongTermMovingAverage is the second moving average line for checking support position
 	LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
@@ -148,6 +148,10 @@ func (s *Strategy) Validate() error {
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
 
+	if s.TriggerMovingAverage != zeroiw {
+		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.TriggerMovingAverage.Interval)})
+	}
+
 	if s.LongTermMovingAverage != zeroiw {
 		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.LongTermMovingAverage.Interval)})
 	}
@@ -261,10 +265,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.Interval = types.Interval5m
 	}
 
-	if s.MovingAverageWindow == 0 {
-		s.MovingAverageWindow = 99
-	}
-
 	if s.Sensitivity > 0 {
 		volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
 		if err != nil {
@@ -286,6 +286,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
 	}
 
+	if s.TriggerMovingAverage != zeroiw {
+		s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)
+	}
+
 	if s.LongTermMovingAverage != zeroiw {
 		s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
 	}
@@ -293,8 +297,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.orderStore = bbgo.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.UserDataStream)
 
-	s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow})
-
 	if err := s.LoadState(); err != nil {
 		return err
 	} else {
@@ -342,8 +344,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			}
 		}
 
-		if s.longTermEMA != nil && closePriceF > s.longTermEMA.Last() {
-			s.Notify("%s: closed price is above the long term moving average line %f, skipping this support",
+		if s.longTermEMA != nil && closePriceF < s.longTermEMA.Last() {
+			s.Notify("%s: closed price is below the long term moving average line %f, skipping this support",
 				s.Symbol,
 				s.longTermEMA.Last(),
 				kline,
@@ -351,10 +353,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			return
 		}
 
-		s.Notify("Found %s support: the close price %f is under EMA %f and volume %f > minimum volume %f",
+		if s.triggerEMA != nil && closePriceF > s.triggerEMA.Last() {
+			s.Notify("%s: closed price is above the trigger moving average line %f, skipping this support",
+				s.Symbol,
+				s.triggerEMA.Last(),
+				kline,
+			)
+			return
+		}
+
+		s.Notify("Found %s support: the close price %f is below trigger EMA %f and above long term EMA %f and volume %f > minimum volume %f",
 			s.Symbol,
 			closePrice.Float64(),
 			s.triggerEMA.Last(),
+			s.longTermEMA.Last(),
 			kline.Volume,
 			s.MinVolume.Float64(),
 			kline)