Strategy and Stratey Phase added
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Luis Fernando Molina committed
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93a6cc0580
commit
45dbbf8c9d
1 file changed
+144
-86
+144
-86
@@ -376,6 +376,11 @@
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let initialDate = new Date("2018-08-01");
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let initialBalanceA = 1;
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/* Strategy and Phases */
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let strategy = 0;
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let strategyPhase = 0;
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/* Building records */
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let stopLossPercentage = 1.5;
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@@ -431,110 +436,159 @@
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let percentgeBandwidth2 = percentgeBandwidthMap.get(candles[i - 2].begin);
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let percentgeBandwidth3 = percentgeBandwidthMap.get(candles[i - 3].begin);
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/* Strategy #1: Range Trading. */
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if (strategy === 0) {
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/*
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Strategy Summary: Once Percentage Bandwidth (PB) moving average is going dow and
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it is abobe 70%, we enter into Pre-Sell mode, which means that we are ready to
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sell as soon as the trend starts going down. The trend should be measured by the
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Bollinger Bands moving average.
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*/
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if (
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percentgeBandwidth.value >= 70 &&
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lastOperation === 'Buy' &&
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(percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage) &&
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presellModeIsActive === false
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) {
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signal = '"Pre-Sell"';
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presellModeIsActive = true;
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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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};
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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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*/
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let sellSignalActivated = false;
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/* Sell Condition #1 */
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if (
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presellModeIsActive === true &&
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band2.movingAverage > band1.movingAverage &&
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band1.movingAverage > band.movingAverage &&
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lastOperation === 'Buy'
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) {
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type = '"Sell-1"';
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sellSignalActivated = true;
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strategy = 1;
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}
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/* Sell Condition #2 */
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if (strategy === 1) {
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if (
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candles[i - 3].min < band3.movingAverage - band3.deviation &&
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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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lastOperation === 'Buy'
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) {
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/* Strategy #1: Trend Following. */
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type = '"Sell-2"';
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sellSignalActivated = true;
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/*
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Strategy Summary:
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Once Percentage Bandwidth (PB) moving average is going down and
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it is abobe 70%, we enter into Pre-Sell mode, which means that we are ready to
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sell as soon as the trend starts going down. The trend should be measured by the
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Bollinger Bands moving average.
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Once the band's moving average starts going down we Sell and we set the stop loss,
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which initially is static or going down if the prices starts going up too.
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Once the candles minimun goes out of the lower Bollinger band, we enter into stop loss
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trailing mode, which means that the stop loss will follow the band's moving average
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from there on, getting closer or farther from it depending on the slope of the moving average
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itself.
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*/
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}
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if (
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percentgeBandwidth.value >= 70 &&
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lastOperation === 'Buy' &&
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(percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage) &&
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presellModeIsActive === false
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) {
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signal = '"Pre-Sell"';
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presellModeIsActive = true;
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if (sellSignalActivated === true) {
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};
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previousBalanceAssetA = balanceAssetA;
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lastProfit = 0;
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lastProfitPercent = 0;
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let sellSignalActivated = false;
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balanceAssetB = balanceAssetA * candle.close;
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balanceAssetA = 0;
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/* Sell Condition #1 */
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rate = candle.close;
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sellRate = rate;
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stopLoss = sellRate + sellRate * stopLossPercentage / 100;
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lastOperation = 'Sell';
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presellModeIsActive = false;
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stopLossDecay = 0;
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addRecord();
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sellSignalActivated = false;
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continue;
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}
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/* Start Trailing Stop Condition */
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if (
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candle.max < band.movingAverage &&
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lastOperation === 'Sell' &&
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band1.movingAverage > band.movingAverage &&
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candle.min < band.movingAverage - band.deviation
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if (
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presellModeIsActive === true &&
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band2.movingAverage > band1.movingAverage &&
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band1.movingAverage > band.movingAverage &&
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lastOperation === 'Buy'
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) {
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trailingStop = true;
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type = '"Sell-1"';
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sellSignalActivated = true;
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}
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/* Sell Condition #2 */
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if (
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candles[i - 3].min < band3.movingAverage - band3.deviation &&
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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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lastOperation === 'Buy'
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) {
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type = '"Sell-2"';
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sellSignalActivated = true;
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}
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if (sellSignalActivated === true) {
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previousBalanceAssetA = balanceAssetA;
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lastProfit = 0;
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lastProfitPercent = 0;
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balanceAssetB = balanceAssetA * candle.close;
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balanceAssetA = 0;
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rate = candle.close;
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sellRate = rate;
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stopLoss = sellRate + sellRate * stopLossPercentage / 100;
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lastOperation = 'Sell';
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presellModeIsActive = false;
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stopLossDecay = 0;
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addRecord();
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sellSignalActivated = false;
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continue;
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}
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/* Start Trailing Stop Condition */
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if (
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candle.max < band.movingAverage &&
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lastOperation === 'Sell' &&
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band1.movingAverage > band.movingAverage &&
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candle.min < band.movingAverage - band.deviation
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) {
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trailingStop = true;
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}
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/* Stop Loss Management: Initially it is tied to the sell rate but when it enters
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into trailing mode it follows the moving average of the band.*/
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let newStopLoss;
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if (trailingStop === true) {
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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} else {
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newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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}
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/* A trailing stop loss can never go higher. */
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if (newStopLoss < previousStopLoss) {
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stopLoss = newStopLoss;
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} else {
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stopLoss = previousStopLoss;
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}
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}
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/* Stop Loss Management: Initially it is tied to the sell rate but when it enters
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into trailing mode it follows the moving average of the band.*/
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if (strategy === 2) {
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let newStopLoss;
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/* Strategy #2: Range Trading. */
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if (trailingStop === true) {
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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} else {
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newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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/*
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Strategy Summary:
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Once the candles maximun gets above the Bollinger Upper Band we wait until the B% moving average points
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downward and then we Sell.
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We keep our buy order just below the the Bollinger Bands moving average.
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*/
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}
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/* A trailing stop loss can never go higher. */
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if (newStopLoss < previousStopLoss) {
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stopLoss = newStopLoss;
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} else {
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stopLoss = previousStopLoss;
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}
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/* Common Logic */
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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@@ -608,7 +662,9 @@
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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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signal: signal,
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strategy: 0,
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strategyPhase: 0
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}
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recordsArray.push(record);
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@@ -671,7 +727,9 @@
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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.signal + "," +
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record.strategy + "," +
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record.strategyPhase + "]";
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if (separator === "") { separator = ","; }
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