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strategy: allow setting the interval and the window for trigger MA
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@ -55,7 +55,9 @@ exchangeStrategies:
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symbol: LINKUSDT
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interval: 1m
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minVolume: 1_000
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movingAverageWindow: 99
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triggerMovingAverage:
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interval: 5m
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window: 99
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longTermMovingAverage:
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interval: 1h
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window: 99
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@ -14,9 +14,13 @@ This strategy uses K-lines with high volume as support and buys the target asset
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- `minVolume`
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- The threshold, e.g., `1000000`, `5000000`. A K-line with volume larger than this is seen as a support, and
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triggers a market buy order.
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- `movingAverageWindow`
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- The MA window in the current K-line interval to filter out noises, e.g., 99. The closed price must be below this
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MA to trigger the buy order.
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- `triggerMovingAverage`
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- The MA window in the current K-line interval to filter out noises. The closed price must be below this MA to
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trigger the buy order.
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- `interval`
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- The K-line interval, e.g., `5m`, `1h`
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- `window`
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- The MA window in the specified K-line interval to filter out noises.
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- `longTermMovingAverage`
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- The MA window in a longer K-line interval. The closed price must be above this MA to trigger the buy order.
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- `interval`
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@ -96,7 +96,7 @@ type Strategy struct {
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Interval types.Interval `json:"interval"`
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// moving average window for checking support (support should be under the moving average line)
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MovingAverageWindow int `json:"movingAverageWindow"`
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TriggerMovingAverage types.IntervalWindow `json:"triggerMovingAverage"`
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// LongTermMovingAverage is the second moving average line for checking support position
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LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
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@ -148,6 +148,10 @@ func (s *Strategy) Validate() error {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
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if s.TriggerMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.TriggerMovingAverage.Interval)})
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}
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if s.LongTermMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.LongTermMovingAverage.Interval)})
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}
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@ -261,10 +265,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Interval = types.Interval5m
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}
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if s.MovingAverageWindow == 0 {
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s.MovingAverageWindow = 99
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}
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if s.Sensitivity > 0 {
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volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
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if err != nil {
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@ -286,6 +286,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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if s.TriggerMovingAverage != zeroiw {
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s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)
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}
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if s.LongTermMovingAverage != zeroiw {
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s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
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}
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@ -293,8 +297,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow})
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if err := s.LoadState(); err != nil {
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return err
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} else {
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