New conditions for strategy 1
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Luis Fernando Molina committed
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@@ -569,7 +569,6 @@
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record.anualizedRateOfReturn + "," +
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record.sellRate + "," +
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record.lastProfitPercent + "," +
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record.signal + "," +
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record.strategy + "," +
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record.strategyPhase + "," +
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record.buyOrder + "," +
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@@ -699,6 +698,7 @@
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let initialDate = new Date("2018-08-01");
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let initialBalanceA = 1;
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let minimunBalanceA = 0.5;
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/* Strategy and Phases */
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@@ -743,7 +743,6 @@
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let days = 0;
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let anualizedRateOfReturn = 0;
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let type = '""';
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let signal = '""';
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let rate = 0;
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let newStopLoss;
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@@ -770,52 +769,84 @@
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let percentageBandwidth2 = percentageBandwidthMap.get(candles[i - 2].begin);
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let percentageBandwidth3 = percentageBandwidthMap.get(candles[i - 3].begin);
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if (strategy === 0) {
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let subChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end);
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if (strategy === 0 &&
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balanceAssetA > minimunBalanceA) {
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/*
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Here we need to pick a strategy, or if there is not suitable strategy for the current
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market conditions, we pass until the next period.
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To pick a new strategy we will need a new indicator called Bollinger Channels,
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which I dont have right now, so for the time being, I will choose the strategy
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manually.
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To pick a new strategy we will evaluate what we call an entering condition. Once we enter
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into one strategy, we will ignore market conditions for others. However there is also
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a strategy exit condition which can be hit before entering into a trade. If hit, we would
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be outside a strategy again and looking for the condition to enter all over again.
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*/
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strategy = 2;
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/* Strategy 1 Entering Condition */
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if (
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strategyPhase === 0 &&
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percentageBandwidth2.movingAverage > percentageBandwidth1.movingAverage &&
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percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage &&
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percentageBandwidth2.bandwidth < percentageBandwidth1.bandwidth &&
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percentageBandwidth1.bandwidth < percentageBandwidth.bandwidth
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) {
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strategyPhase = 1;
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strategy = 1;
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};
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/* Strategy 2 Entering Condition */
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if (
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strategyPhase === 0 &&
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subChannel.direction === 'Up' &&
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(
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subChannel.slope === 'Side' ||
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subChannel.slope === 'Gentle' ||
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subChannel.slope === 'Medium'
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) &&
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candle.close > band.movingAverage + band.deviation
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) {
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strategyPhase = 1;
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strategy = 2;
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}
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}
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/* Checking what happened since the last execution. We need to know if the Stop Loss
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or our Buy Order were hit. */
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if (strategyPhase === 3) {
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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/* Checking what happened since the last execution. We need to know if the Stop Loss
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or our Buy Order were hit. */
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if (candle.max >= stopLoss &&
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strategyPhase === 3) {
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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balanceAssetA = balanceAssetB / stopLoss;
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//if (isNaN(balanceAssetA)) { balanceAssetA = 0; }
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if (candle.max >= stopLoss) {
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balanceAssetB = 0;
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rate = stopLoss;
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type = '"Buy@StopLoss"';
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strategyPhase = 4;
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balanceAssetA = balanceAssetB / stopLoss;
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balanceAssetB = 0;
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rate = stopLoss;
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type = '"Buy@StopLoss"';
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strategyPhase = 4;
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}
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/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
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if (candle.min <= buyOrder) {
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balanceAssetA = balanceAssetB / buyOrder;
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balanceAssetB = 0;
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rate = buyOrder;
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type = '"Buy@BuyOrder"';
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strategyPhase = 4;
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}
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}
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/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
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if (candle.min <= buyOrder &&
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strategyPhase === 3) {
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balanceAssetA = balanceAssetB / buyOrder;
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//if (isNaN(balanceAssetA)) { balanceAssetA = 0; }
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balanceAssetB = 0;
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rate = buyOrder;
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type = '"Buy@BuyOrder"';
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strategyPhase = 4;
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}
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if (strategyPhase < 4) { // A buy condition has not been detected.
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if (strategyPhase < 4) { // When a buy condition has not been detected yet.
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if (strategy === 1) {
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@@ -839,13 +870,18 @@
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*/
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/* Strategy Exit Condition */
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if (
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strategyPhase === 1 &&
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candle.close > band.movingAverage
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) {
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strategyPhase = 0;
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strategy = 0;
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};
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/* Sell Condition #1 */
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/*
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if (
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strategyPhase === 1 &&
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band2.movingAverage > band1.movingAverage &&
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@@ -858,12 +894,11 @@
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stopLossPhase = 1;
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buyOrderPhase = 1;
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}
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*/
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/* Sell Condition #2 */
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if (
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strategyPhase <= 1 &&
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candles[i - 3].min < band3.movingAverage - band3.deviation &&
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strategyPhase === 1 &&
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candles[i - 2].min < band2.movingAverage - band2.deviation &&
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candles[i - 1].min < band1.movingAverage - band1.deviation &&
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candle.min < band.movingAverage - band.deviation
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@@ -876,18 +911,6 @@
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buyOrderPhase = 1;
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}
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/* Signal to be ready to Sell */
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if (
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strategyPhase === 0 &&
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percentageBandwidth.value >= 70 &&
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(percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage)
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) {
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signal = '"Pre-Sell"';
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strategyPhase = 1;
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};
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/* Stop Loss Management */
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if (stopLossPhase === 3) {
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@@ -1009,7 +1032,6 @@
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}
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}
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}
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if (strategy === 2) {
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@@ -1026,16 +1048,27 @@
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*/
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let subChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end);
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/* Exist Strategy Condition */
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if (
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strategyPhase === 1 &&
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(subChannel.direction === 'Down' ||
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subChannel.slope === 'Steep' ||
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subChannel.slope === 'Extreme'
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)
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) {
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strategyPhase = 0;
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strategy = 0;
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}
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/* Sell Condition #1 */
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if (
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strategyPhase === 1 &&
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percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage &&
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percentageBandwidth1.movingAverage > 100
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percentageBandwidth1.movingAverage > 90
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) {
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@@ -1046,37 +1079,6 @@
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buyOrderPhase = 1;
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}
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/* Signal to be ready to Sell */
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if (
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strategyPhase === 0 &&
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subChannel.direction === 'Up' &&
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(
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subChannel.slope === 'Side' ||
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subChannel.slope === 'Gentle' ||
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subChannel.slope === 'Medium'
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) &&
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candle.max > band.movingAverage + band.deviation
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) {
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signal = '"Pre-Sell"';
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strategyPhase = 1;
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}
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if (
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strategyPhase === 1 &&
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(subChannel.direction === 'Down' ||
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subChannel.slope === 'Steep' ||
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subChannel.slope === 'Extreme'
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)
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) {
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signal = '"Pre-Sell-Cancelled"';
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strategyPhase = 0;
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}
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/* Stop Loss Management */
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if (stopLossPhase === 1) {
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@@ -1124,7 +1126,7 @@
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continue;
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}
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/* Here we define what to do if the conditions to buy were activated. */
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/* Check if a Buy condition was found. */
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if (strategyPhase === 4) {
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@@ -1192,7 +1194,6 @@
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anualizedRateOfReturn: anualizedRateOfReturn,
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sellRate: sellRate,
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lastProfitPercent: lastProfitPercent,
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signal: signal,
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strategy: strategy,
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strategyPhase: strategyPhase,
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buyOrder: buyOrder,
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@@ -1205,7 +1206,6 @@
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previousStopLoss = stopLoss;
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type = '""';
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signal = '""';
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}
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}
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