Trailing Stop Implemented
This commit is contained in:
Luis Fernando Molina committed
1 parent
6549595802
commit
4d755f8c88
1 file changed
+105
-16
+105
-16
@@ -8,6 +8,7 @@
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const EXCHANGE_NAME = "Poloniex";
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const PERCENTAGE_BANDWIDTH_FOLDER_NAME = "Percentage-Bandwidth";
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const BOLLINGER_BANDS_FOLDER_NAME = "Bollinger-Bands";
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const CANDLES_FOLDER_NAME = "Candles";
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const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
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@@ -116,17 +117,19 @@
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let marketFile;
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let percentgeBandwidthArray = new Map();
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let percentgeBandwidthMap = new Map();
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let bollingerBandsMap = new Map();
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let candles = [];
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let recordsArray = [];
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nextChrisFile();
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nextPercentageBandwidth();
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function nextChrisFile() {
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function nextPercentageBandwidth() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextChrisFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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@@ -139,12 +142,12 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextChrisFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextChrisFile -> onFileReceived -> text = " + text); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextChrisFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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@@ -152,25 +155,25 @@
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marketFile = JSON.parse(text);
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buildPercentgeBandwidthArray();
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buildPercentageBandwidthMap();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextChrisFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextChrisFile -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildPercentgeBandwidthArray() {
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function buildPercentageBandwidthMap() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildPercentgeBandwidthArray -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> Entering function."); }
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try {
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@@ -183,7 +186,82 @@
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movingAverage: marketFile[i][3]
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};
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percentgeBandwidthArray.set(percentgeBandwidth.begin, percentgeBandwidth);
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percentgeBandwidthMap.set(percentgeBandwidth.begin, percentgeBandwidth);
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}
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nextBollingerBands();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function nextBollingerBands() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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let filePathRoot = bot.devTeam + "/" + "AAChris" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + BOLLINGER_BANDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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chrisStorage.getTextFile(filePath, fileName, onFileReceived, true);
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function onFileReceived(err, text) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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marketFile = JSON.parse(text);
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buildBollingerBandsMap();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildBollingerBandsMap() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> Entering function."); }
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try {
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for (let i = 0; i < marketFile.length; i++) {
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let bollingerBands = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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movingAverage: marketFile[i][2],
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standardDeviation: marketFile[i][3],
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deviation: marketFile[i][4]
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};
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bollingerBandsMap.set(bollingerBands.begin, bollingerBands);
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}
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@@ -191,7 +269,7 @@
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildPercentgeBandwidthArray -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -321,7 +399,9 @@
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for (let i = 0; i < candles.length; i++) {
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let candle = candles[i];
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let percentgeBandwidth = percentgeBandwidthArray.get(candle.begin);
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let percentgeBandwidth = percentgeBandwidthMap.get(candle.begin);
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let band = bollingerBandsMap.get(candle.begin);
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if (percentgeBandwidth === undefined) { continue;}
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@@ -353,6 +433,14 @@
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continue;
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};
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/* Start Trailing Stop Condition */
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if (candle.max < band.movingAverage && lastOperation === 'Sell') {
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stopLoss = band.movingAverage;
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}
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/* Stop Loss condition */
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let mustBuy = false;
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@@ -366,7 +454,7 @@
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}
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/* Buy condition */
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/*
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if (percentgeBandwidth.value <= 50 && lastOperation === 'Sell' && mustBuy === false) {
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balanceAssetA = balanceAssetB / candle.close;
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@@ -374,6 +462,7 @@
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rate = candle.close;
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mustBuy = true;
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};
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*/
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if (mustBuy === true) {
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