Inter Process Memory Implemented
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Luis Fernando Molina committed
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commit
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@@ -52,6 +52,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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timePeriod,
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startDate,
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endDate,
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interExecutionMemory,
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callback) {
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try {
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@@ -97,12 +98,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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let sellRate = 0;
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let previousBalanceAssetA = 0;
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let roundtrips = 0;
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let hits = 0;
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let fails = 0;
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let hitRatio = 0;
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let ROI = 0;
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let periods = 0;
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let days = 0;
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let anualizedRateOfReturn = 0;
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let type = '""';
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@@ -111,364 +108,24 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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let initialBuffer = 3;
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simulationLogic.strategies = await getStrategy();
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if (interExecutionMemory.roundtrips === undefined) {
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interExecutionMemory.roundtrips = 0;
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}
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/*
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simulationLogic.strategies = [
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{
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name: "Trend Following",
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entryPoint: {
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situations: [
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{
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name: "Price Collapsing",
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conditions: [
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{
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name: "%B Moving Average going up",
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code: "percentageBandwidth.previous.direction === 'down' && percentageBandwidth.direction === 'down'"
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},
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{
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name: "%B Bandwidth going up",
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code: "percentageBandwidth.previous.previous.bandwidth < percentageBandwidth.previous.bandwidth && percentageBandwidth.previous.bandwidth < percentageBandwidth.bandwidth"
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},
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{
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name: "Candles Min going down",
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code: "candle.previous.previous.min > candle.previous.min && candle.previous.min > candle.min"
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}
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]
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}
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]
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},
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exitPoint: {
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situations: [
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{
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name: "Market Reversing",
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conditions: [
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{
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name: "Close above Band Moving Average",
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code: "candle.close > bollingerBand.movingAverage"
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}
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]
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}
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]
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},
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sellPoint: {
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situations: [
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{
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name: "Min below lower bollingerBand.",
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conditions: [
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{
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name: "3 Candles MIN below Lower Band",
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code: "candle.previous.previous.min < bollingerBand.previous.previous.movingAverage - bollingerBand.previous.previous.deviation && candle.previous.min < bollingerBand.previous.movingAverage - bollingerBand.previous.deviation && candle.min < bollingerBand.movingAverage - bollingerBand.deviation"
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}
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]
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}
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]
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},
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stopLoss: {
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phases: [
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{
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name: "Following Sell Rate",
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code: "newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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{
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name: "Candle below Moving Average",
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conditions: [
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{
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name: "Candle fully below Band Moving Average",
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code: "candle.max < bollingerBand.movingAverage"
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},
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{
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name: "Band Moving Average going down",
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code: "bollingerBand.direction === 'down'"
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}
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]
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}
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]
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},
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{
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name: "Above Bands Moving Average",
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code: "newStopLoss = bollingerBand.movingAverage + bollingerBand.movingAverage * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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{
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name: "Candle below Moving Average",
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conditions: [
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{
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name: "Candle MAX below lower band",
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code: "candle.max < bollingerBand.movingAverage - bollingerBand.deviation"
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}
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]
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}
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]
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},
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{
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name: "At Bands Moving Average",
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code: "newStopLoss = bollingerBand.movingAverage",
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situations: [
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]
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}
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]
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},
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buyOrder: {
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phases: [
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{
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name: "12 times standard deviation",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 12",
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situations: [
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{
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name: "Candle cut by lower band",
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conditions: [
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{
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name: "Max above lower band",
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code: "candle.max > bollingerBand.movingAverage - bollingerBand.deviation"
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},
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{
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name: "MIN below lower band",
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code: "candle.min < bollingerBand.movingAverage - bollingerBand.deviation"
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},
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{
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name: "Band Moving Average going down",
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code: "bollingerBand.previous.movingAverage > bollingerBand.movingAverage"
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}
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]
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}
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]
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},
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{
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name: "10 times standard deviation",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 10",
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situations: [
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{
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name: "%B starting to revert",
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conditions: [
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{
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name: "%B Moving Average going up",
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code: "percentageBandwidth.direction === 'up'"
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},
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{
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name: "%B Moving Average above 0",
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code: "percentageBandwidth.movingAverage > 0"
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}
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]
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}
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]
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},
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{
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name: "4 times standard deviation",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 4",
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situations: [
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{
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name: "%B going down again",
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conditions: [
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{
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name: "%B Moving Average going down",
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code: "percentageBandwidth.direction === 'down'"
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}
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]
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}
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]
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},
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{
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name: "3 times standard deviation",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 3",
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situations: [
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{
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name: "%B going up and above 30",
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conditions: [
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{
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name: "%B Moving Average going up",
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code: "percentageBandwidth.direction === 'up'"
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},
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{
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name: "%B Moving Average above 30",
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code: "percentageBandwidth.movingAverage > 30"
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}
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]
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}
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]
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},
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{
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name: "At lower band",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 2",
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situations: [
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]
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}
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]
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}
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},
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{
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name: "Range Trading",
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entryPoint: {
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situations: [
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{
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name: "Gentle Up Trend",
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conditions: [
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{
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name: "Sub-Channel going up",
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code: "subChannel.direction === 'up'"
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},
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{
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name: "Sub-Channel Side|Gentle|Medium",
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code: "subChannel.slope === 'Side' || subChannel.slope === 'Gentle' || subChannel.slope === 'Medium'"
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},
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{
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name: "Candle Close above Lower Band",
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code: "candle.close > bollingerBand.movingAverage + bollingerBand.deviation"
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},
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{
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name: "Impossible",
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code: " 1 === 2"
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}
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]
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}
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]
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},
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exitPoint: {
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situations: [
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{
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name: "Outside Sub-Channel",
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conditions: [
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{
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name: "Going down or too Steep",
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code: "subChannel.direction === 'Down' || subChannel.slope === 'Steep' || subChannel.slope === 'Extreme'"
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}
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]
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}
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]
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},
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sellPoint: {
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situations: [
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{
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name: "Min below lower bollingerBand.",
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conditions: [
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{
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name: "%B Moving Average going down",
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code: "percentageBandwidth.previous.movingAverage > percentageBandwidth.movingAverage"
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},
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{
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name: "%B Moving Average above 90",
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code: "percentageBandwidth.previous.movingAverage > 90"
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}
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]
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}
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]
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},
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stopLoss: {
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phases: [
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{
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name: "Following Sell Rate",
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code: "newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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]
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}
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]
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},
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buyOrder: {
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phases: [
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{
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name: "Between Band Moving Average and Lower Band",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation",
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situations: [
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]
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}
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]
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}
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}
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,
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{
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name: "LRC Strategy",
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entryPoint: {
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situations: [
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{
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name: "Lines in the right order",
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conditions: [
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{
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name: "60 > 30",
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code: "LRC._60 > LRC._30"
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},
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{
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name: "30 > 15",
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code: "LRC._30 > LRC._15"
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},
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{
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name: "Impossible",
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code: " 1 === 2"
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}
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]
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}
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]
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},
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exitPoint: {
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situations: [
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{
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name: "Lines out of order",
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conditions: [
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{
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name: "60 < 30 or 30 < 15",
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code: "LRC._60 < LRC._30 || LRC._30 < LRC._15 "
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}
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]
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}
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]
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},
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sellPoint: {
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situations: [
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{
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name: "All lines going down",
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conditions: [
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{
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name: "60 going down",
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code: "LRC.direction60 === 'down'"
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},
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{
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name: "30 going down",
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code: "LRC.direction30 === 'down'"
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},
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{
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name: "15 going down",
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code: "LRC.direction15 === 'down'"
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}
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]
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}
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]
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},
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stopLoss: {
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phases: [
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{
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name: "Following Sell Rate",
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code: "newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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{
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name: "Stop Loss < 60",
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conditions: [
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{
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name: "Stop Loss < 60",
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code: "stopLoss < LRC._60"
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}
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]
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}
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]
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},
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{
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name: "Following 60",
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code: "newStopLoss = LRC._60",
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situations: [
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]
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}
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]
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},
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buyOrder: {
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phases: [
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{
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name: "Between Band Moving Average and Lower Band",
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code: "buyOrder = bollingerBand.movingAverage - bollingerBand.standardDeviation * 4",
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situations: [
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]
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}
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]
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}
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}
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];
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*/
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if (interExecutionMemory.fails === undefined) {
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interExecutionMemory.fails = 0;
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}
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if (interExecutionMemory.hits === undefined) {
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interExecutionMemory.hits = 0;
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}
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if (interExecutionMemory.periods === undefined) {
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interExecutionMemory.periods = 0;
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}
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simulationLogic.strategies = await getStrategy();
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/* Main Simulation Loop: We go thourgh all the candles at this time period. */
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for (let i = 0 + initialBuffer; i < candles.length; i++) {
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@@ -484,7 +141,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if (percentageBandwidth === undefined) { continue; } // percentageBandwidth might start after the first few candles.
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if (candle.begin < initialDate.valueOf()) { continue; }
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periods++;
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interExecutionMemory.periods++;
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let channel = getElement(bollingerChannelsArray, candle.begin, candle.end);
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let subChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end);
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@@ -895,7 +552,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if (strategyPhase === 4) {
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roundtrips++;
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interExecutionMemory.roundtrips++;
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lastProfit = balanceAssetA - previousBalanceAssetA;
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lastProfitPercent = lastProfit / previousBalanceAssetA * 100;
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@@ -907,14 +564,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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//if (isNaN(ROI)) { ROI = 0; }
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if (lastProfit > 0) {
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hits++;
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interExecutionMemory.hits++;
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} else {
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fails++;
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interExecutionMemory.fails++;
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}
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hitRatio = hits / roundtrips;
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hitRatio = interExecutionMemory.hits / interExecutionMemory.roundtrips;
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let miliSecondsPerDay = 24 * 60 * 60 * 1000;
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days = periods * timePeriod / miliSecondsPerDay;
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days = interExecutionMemory.periods * timePeriod / miliSecondsPerDay;
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anualizedRateOfReturn = ROI / days * 365;
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addRecord();
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@@ -949,12 +606,12 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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profit: profit,
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lastProfit: lastProfit,
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stopLoss: stopLoss,
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roundtrips: roundtrips,
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hits: hits,
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fails: fails,
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roundtrips: interExecutionMemory.roundtrips,
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hits: interExecutionMemory.hits,
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fails: interExecutionMemory.fails,
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hitRatio: hitRatio,
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ROI: ROI,
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periods: periods,
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periods: interExecutionMemory.periods,
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days: days,
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anualizedRateOfReturn: anualizedRateOfReturn,
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sellRate: sellRate,
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@@ -54,7 +54,7 @@
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}
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}
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function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, callBackFunction) {
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function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, interExecutionMemory, callBackFunction) {
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try {
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@@ -113,6 +113,7 @@
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timePeriod,
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startDate,
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endDate,
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interExecutionMemory,
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writeRecordsFile)
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function writeRecordsFile() {
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@@ -54,7 +54,7 @@
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}
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}
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function start(dataFiles, timePeriod, outputPeriodLabel, startDate, endDate, callBackFunction) {
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function start(dataFiles, timePeriod, outputPeriodLabel, startDate, endDate, callBackFunction) {
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try {
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@@ -68,6 +68,7 @@
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let lastObjectsArray = [];
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let simulationLogic = {};
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let interExecutionMemory = {};
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commons.initializeData();
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@@ -113,6 +114,7 @@
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timePeriod,
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startDate,
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endDate,
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interExecutionMemory,
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writeRecordsFile)
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function writeRecordsFile() {
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