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Merge pull request #932 from c9s/feature/bolllmaker-trendEMA

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feature: strategy/bolllmaker trend ema
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Yo-An Lin 2022-09-11 17:58:36 +08:00 committed by GitHub
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4 changed files with 94 additions and 25 deletions
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78
config/bollmaker.yaml
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@ -16,8 +16,8 @@ backtest:
# 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: "2022-01-01"
endTime: "2022-07-18"
startTime: "2022-05-01"
endTime: "2022-08-14"
sessions:
- binance
symbols:
@ -40,6 +40,9 @@ exchangeStrategies:
# quantity is the base order quantity for your buy/sell order.
quantity: 0.05
# amount is used for fixed-amount order, for example, use fixed 20 USDT order for BTCUSDT market
# amount: 20
# useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
# The back-test engine is kline-based, so the ticker price api is not supported.
# Turn this on if you want to do real trading.
@ -56,13 +59,28 @@ exchangeStrategies:
# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
minProfitSpread: 0.1%
# EXPERIMENTAL
# Dynamic spread is an experimental feature. Use at your own risk!
# trendEMA detects the trend by a given EMA
# when EMA goes up (the last > the previous), allow buy and sell
# when EMA goes down (the last < the previous), disable buy, allow sell
# uncomment this to enable it:
trendEMA:
interval: 1d
window: 7
maxGradient: 1.5
minGradient: 1.01
# ==================================================================
# Dynamic spread is an experimental feature. it will override the fixed spread settings above.
#
# dynamicSpread enables the automatic adjustment to bid and ask spread.
# Choose one of the scaling strategy to enable dynamicSpread:
# - amplitude: scales by K-line amplitude
# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
# dynamicSpread enables the automatic adjustment to bid and ask spread.
# Choose one of the scaling strategy to enable dynamicSpread:
# - amplitude: scales by K-line amplitude
# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
# ==================================================================
#
# =========================================
# dynamicSpread with amplitude
# =========================================
# dynamicSpread:
# amplitude: # delete other scaling strategy if this is defined
# # window is the window of the SMAs of spreads
@ -85,21 +103,27 @@ exchangeStrategies:
# # when in down band, holds 1.0 by maximum
# # when in up band, holds 0.05 by maximum
# range: [ 0.001, 0.002 ]
# weightedBollWidth: # delete other scaling strategy if this is defined
# # Scale spread base on weighted Bollinger band width ratio between default and neutral bands.
# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
# # And the neutral band: from bn_lower to bn_upper
# # Set the sigmoid weighting function:
# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
# # - The wider neutral band get greater ratio
# # - To ask spread, the higher neutral band get greater ratio
# # - To bid spread, the lower neutral band get greater ratio
# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
#
# # Sensitivity factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
# =========================================
# dynamicSpread with weightedBollWidth
# =========================================
# dynamicSpread:
# # weightedBollWidth scales spread base on weighted Bollinger bandwidth ratio between default and neutral bands.
# #
# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
# # And the neutral band: from bn_lower to bn_upper
# # Set the sigmoid weighting function:
# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
# # - The wider neutral band get greater ratio
# # - To ask spread, the higher neutral band get greater ratio
# # - To bid spread, the lower neutral band get greater ratio
# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
#
# weightedBollWidth: # delete other scaling strategy if this is defined
# # sensitivity is a factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
# # A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
# sensitivity: 1.0
#
@ -118,10 +142,10 @@ exchangeStrategies:
# domain: [ 0.1, 0.5 ]
# range: [ 0.001, 0.002 ]
# maxExposurePosition is the maximum position you can hold
# +10 means you can hold 10 ETH long position by maximum
# -10 means you can hold -10 ETH short position by maximum
# uncomment this if you want a fixed position exposure.
# maxExposurePosition: 3.0
maxExposurePosition: 10
@ -151,6 +175,10 @@ exchangeStrategies:
# downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
downtrendSkew: 1.2
# defaultBollinger is a long-term time frame bollinger
# this bollinger band is used for controlling your position (how much you can hold)
# when price is near the upper band, it holds less.
# when price is near the lower band, it holds more.
defaultBollinger:
interval: "1h"
window: 21
@ -164,10 +192,10 @@ exchangeStrategies:
bandWidth: 2.0
# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
tradeInBand: false
tradeInBand: true
# buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
buyBelowNeutralSMA: false
buyBelowNeutralSMA: true
exits:

10
pkg/bbgo/order_executor_general.go
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@ -271,6 +271,16 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
return nil
}
// check base balance and adjust the close position order
if e.position.IsLong() {
if baseBalance, ok := e.session.Account.Balance(e.position.Market.BaseCurrency); ok {
submitOrder.Quantity = fixedpoint.Min(submitOrder.Quantity, baseBalance.Available)
}
if submitOrder.Quantity.IsZero() {
return fmt.Errorf("insufficient base balance, can not sell: %+v", submitOrder)
}
}
tagStr := strings.Join(tags, ",")
submitOrder.Tag = tagStr

6
pkg/strategy/bollmaker/doc.go Normal file
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@ -0,0 +1,6 @@
// bollmaker is a maker strategy depends on the bollinger band
//
// bollmaker uses two bollinger bands for trading:
// 1) the first bollinger is a long-term time frame bollinger, it controls your position. (how much you can hold)
// 2) the second bollinger is a short-term time frame bollinger, it controls whether places the orders or not.
package bollmaker

25
pkg/strategy/bollmaker/strategy.go
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@ -58,6 +58,10 @@ type Strategy struct {
bbgo.QuantityOrAmount
// TrendEMA is used for detecting the trend by a given EMA
// you can define interval and window
TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
// Spread is the price spread from the middle price.
// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
@ -185,6 +189,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
})
}
if s.TrendEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
}
s.ExitMethods.SetAndSubscribe(session, s)
}
@ -287,6 +295,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
log.Infof("current %s unrealized profit: %f %s", s.Symbol, s.Position.UnrealizedProfit(midPrice).Float64(), s.Market.QuoteCurrency)
}
// by default, we turn both sell and buy on,
// which means we will place buy and sell orders
canSell := true
canBuy := true
@ -360,6 +370,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
}
// check balance and switch the orders
if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
canBuy = false
}
@ -377,11 +388,13 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
if isLongPosition {
// for long position if the current price is lower than the minimal profitable price then we should stop sell
// this avoid loss trade
if midPrice.Compare(minProfitPrice) < 0 {
canSell = false
}
} else if isShortPosition {
// for short position if the current price is higher than the minimal profitable price then we should stop buy
// this avoid loss trade
if midPrice.Compare(minProfitPrice) > 0 {
canBuy = false
}
@ -395,6 +408,14 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
canBuy = false
}
// trend EMA protection
if s.TrendEMA != nil {
if !s.TrendEMA.GradientAllowed() {
log.Infof("trendEMA protection: midPrice price %f, gradient %f, turning buy order off", midPrice.Float64(), s.TrendEMA.Gradient())
canBuy = false
}
}
if canSell {
submitOrders = append(submitOrders, sellOrder)
}
@ -499,6 +520,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
})
s.ExitMethods.Bind(session, s.orderExecutor)
if s.TrendEMA != nil {
s.TrendEMA.Bind(session, s.orderExecutor)
}
if bbgo.IsBackTesting {
log.Warn("turning of useTickerPrice option in the back-testing environment...")
s.UseTickerPrice = false