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variable first round set

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This commit is contained in:
Luis Fernando Molina committed 2020-05-19 16:31:14 +02:00
1 parent 571b85bebe
commit 670a66858d
2 files changed
+74 -68
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TradingBot.js
-1
View File
@@ -200,7 +200,6 @@
record.takeProfit + "," +
record.stopLossPhase + "," +
record.takeProfitPhase + "," +
JSON.stringify(record.executionRecord) + "," +
record.positionSize + "," +
record.initialBalanceA + "," +
record.minimumBalanceA + "," +
TradingSimulation.js
+74 -67
View File
@@ -118,6 +118,14 @@
variable.balanceBaseAsset = bot.VALUES_TO_USE.initialBalanceA
variable.balanceQuotedAsset = bot.VALUES_TO_USE.initialBalanceB
variable.initialBalanceBaseAsset = bot.VALUES_TO_USE.initialBalanceA
variable.minimumBalanceBaseAsset = bot.VALUES_TO_USE.minimumBalanceA
variable.maximumBalanceBaseAsset = bot.VALUES_TO_USE.maximumBalanceA
variable.initialBalanceQuotedAsset = bot.VALUES_TO_USE.initialBalanceB
variable.minimumBalanceQuotedAsset = bot.VALUES_TO_USE.minimumBalanceB
variable.maximumBalanceQuotedAsset = bot.VALUES_TO_USE.maximumBalanceB
variable.lastTradeProfitLoss = 0
variable.accumulatedProfitLoss = 0
variable.lastTradeROI = 0
@@ -146,6 +154,8 @@
/* Allowing these to be accesible at formulas */
variable.baseAsset = bot.VALUES_TO_USE.baseAsset
variable.quotedAsset = bot.VALUES_TO_USE.quotedAsset
variable.marketBaseAsset = bot.market.baseAsset
variable.marketQuotedAsset = bot.market.quotedAsset
}
/* Main Array and Maps */
@@ -436,7 +446,7 @@
if (openStage !== undefined) {
/* Default Values*/
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
positionSize = variable.balanceBaseAsset;
positionRate = candle.close;
} else {
@@ -459,13 +469,13 @@
initialDefinition.positionSize.formula.error = err.message
}
if (isNaN(positionSize)) {
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
positionSize = variable.balanceBaseAsset;
} else {
positionSize = variable.balanceQuotedAsset;
}
} else {
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
if (positionSize > variable.balanceBaseAsset) { positionSize = variable.balanceBaseAsset }
} else {
if (positionSize > variable.balanceQuotedAsset) { positionSize = variable.balanceQuotedAsset }
@@ -486,7 +496,7 @@
initialDefinition.positionRate.formula.error = err.message
}
if (isNaN(positionRate)) {
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
positionRate = candle.close;
} else {
positionRate = candle.close;
@@ -911,14 +921,14 @@
let maximumBalance
let balance
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
balance = variable.balanceBaseAsset
minimumBalance = bot.VALUES_TO_USE.minimumBalanceA
maximumBalance = bot.VALUES_TO_USE.maximumBalanceA
minimumBalance = variable.minimumBalanceBaseAsset
maximumBalance = variable.maximumBalanceBaseAsset
} else {
balance = variable.balanceQuotedAsset
minimumBalance = bot.VALUES_TO_USE.minimumBalanceB
maximumBalance = bot.VALUES_TO_USE.maximumBalanceB
minimumBalance = variable.minimumBalanceQuotedAsset
maximumBalance = variable.maximumBalanceQuotedAsset
}
let stopRunningDate = new Date(candle.begin)
@@ -986,7 +996,7 @@
variable.currentStrategy.endRate = candle.min; // In case the strategy does not get exited
variable.currentStrategy.triggerOnSituation = situation.name
distanceToLast.triggerOn = 1;
variable.distanceToLast.triggerOn = 1;
checkAnnouncements(triggerStage.triggerOn)
@@ -1038,7 +1048,7 @@
variable.strategyStage = 'No Stage';
variable.strategyIndex = -1;
distanceToLast.triggerOff = 1;
variable.distanceToLast.triggerOff = 1;
checkAnnouncements(triggerStage.triggerOff)
@@ -1452,40 +1462,40 @@
) {
if (takePositionNow === true) {
positionPeriods = 0
variable.positionPeriods = 0
}
positionPeriods++;
positionDays = positionPeriods * timeFrame / ONE_DAY_IN_MILISECONDS;
variable.positionPeriods++;
variable.positionDays = variable.positionPeriods * timeFrame / ONE_DAY_IN_MILISECONDS;
} else {
positionPeriods = 0
positionDays = 0
variable.positionPeriods = 0
variable.positionDays = 0
}
/* Keeping Distance Counters Up-to-date */
if (
distanceToLast.triggerOn > 0 // with this we avoind counting before the first event happens.
variable.distanceToLast.triggerOn > 0 // with this we avoind counting before the first event happens.
) {
distanceToLast.triggerOn++;
variable.distanceToLast.triggerOn++;
}
if (
distanceToLast.triggerOff > 0 // with this we avoind counting before the first event happens.
variable.distanceToLast.triggerOff > 0 // with this we avoind counting before the first event happens.
) {
distanceToLast.triggerOff++;
variable.distanceToLast.triggerOff++;
}
if (
distanceToLast.takePosition > 0 // with this we avoind counting before the first event happens.
variable.distanceToLast.takePosition > 0 // with this we avoind counting before the first event happens.
) {
distanceToLast.takePosition++;
variable.distanceToLast.takePosition++;
}
if (
distanceToLast.closePosition > 0 // with this we avoind counting before the first event happens.
variable.distanceToLast.closePosition > 0 // with this we avoind counting before the first event happens.
) {
distanceToLast.closePosition++;
variable.distanceToLast.closePosition++;
}
/* Checking if Stop or Take Profit were hit */
@@ -1500,7 +1510,7 @@
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
if ((baseAsset === bot.market.baseAsset && candle.max >= variable.stopLoss) || (baseAsset !== bot.market.baseAsset && candle.min <= variable.stopLoss)) {
if ((baseAsset === variable.marketBaseAsset && candle.max >= variable.stopLoss) || (baseAsset !== variable.marketBaseAsset && candle.min <= variable.stopLoss)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Stop Loss was hit."); }
/*
@@ -1510,7 +1520,7 @@
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
if (stopLoss < candle.min) {
variable.stopLoss = candle.min
}
@@ -1525,7 +1535,7 @@
/* Apply the Slippage */
let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
slippedStopLoss = slippedStopLoss + slippageAmount
} else {
slippedStopLoss = slippedStopLoss - slippageAmount
@@ -1548,7 +1558,7 @@
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if ((baseAsset === bot.market.baseAsset && candle.min <= variable.takeProfit) || (baseAsset !== bot.market.baseAsset && candle.max >= variable.takeProfit)) {
if ((baseAsset === variable.marketBaseAsset && candle.min <= variable.takeProfit) || (baseAsset !== variable.marketBaseAsset && candle.max >= variable.takeProfit)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Take Profit was hit."); }
/*
@@ -1558,7 +1568,7 @@
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
if (takeProfit > candle.max) {
variable.takeProfit = candle.max
}
@@ -1572,7 +1582,7 @@
/* Apply the Slippage */
let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
slippedTakeProfit = slippedTakeProfit + slippageAmount
} else {
slippedTakeProfit = slippedTakeProfit - slippageAmount
@@ -1604,7 +1614,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Entering code block."); }
/* Inicializing this counter */
distanceToLast.takePosition = 1;
variable.distanceToLast.takePosition = 1;
/* Position size and rate */
let strategy = tradingSystem.strategies[strategyIndex];
@@ -1615,7 +1625,7 @@
/* We take what was calculated at the formula and apply the slippage. */
let slippageAmount = variable.tradePositionRate * bot.VALUES_TO_USE.slippage.positionRate / 100
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
variable.tradePositionRate = variable.tradePositionRate - slippageAmount
} else {
variable.tradePositionRate = variable.tradePositionRate + slippageAmount
@@ -1729,7 +1739,7 @@
let orderSide
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
orderSide = "sell"
orderPrice = variable.tradePositionRate - 100 // This is going to be ingnored at the Exchange API for now since we only put market orders.
@@ -1814,7 +1824,7 @@
let feePaid = 0
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
feePaid = variable.tradePositionSize * variable.tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
@@ -1842,7 +1852,7 @@
closePositionNow = false
/* Inicializing this counter */
distanceToLast.closePosition = 1;
variable.distanceToLast.closePosition = 1;
/* Position size and rate */
let strategy = tradingSystem.strategies[strategyIndex];
@@ -1910,7 +1920,7 @@
let amountB
let orderSide
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
orderSide = "buy"
orderPrice = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
@@ -1986,7 +1996,7 @@
let feePaid = 0
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
strategy.positionSize = variable.balanceQuotedAsset / closeRate;
strategy.positionRate = closeRate;
@@ -2004,16 +2014,16 @@
variable.balanceBaseAsset = 0;
}
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
variable.lastTradeProfitLoss = variable.balanceBaseAsset - variable.previousBalanceBaseAsset;
variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
variable.accumulatedProfitLoss = variable.balanceBaseAsset - bot.VALUES_TO_USE.initialBalanceA;
variable.accumulatedProfitLoss = variable.balanceBaseAsset - variable.initialBalanceBaseAsset;
} else {
variable.lastTradeProfitLoss = variable.balanceQuotedAsset - variable.previousBalanceQuotedAsset;
variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
variable.accumulatedProfitLoss = variable.balanceQuotedAsset - bot.VALUES_TO_USE.initialBalanceB;
variable.accumulatedProfitLoss = variable.balanceQuotedAsset - variable.initialBalanceQuotedAsset;
}
variable.currentTrade.lastTradeROI = variable.lastTradeROI;
@@ -2024,12 +2034,12 @@
variable.fails++;
}
if (baseAsset === bot.market.baseAsset) {
variable.ROI = (bot.VALUES_TO_USE.initialBalanceA + variable.accumulatedProfitLoss) / bot.VALUES_TO_USE.initialBalanceA - 1;
if (baseAsset === variable.marketBaseAsset) {
variable.ROI = (variable.initialBalanceBaseAsset + variable.accumulatedProfitLoss) / variable.initialBalanceBaseAsset - 1;
variable.hitRatio = variable.hits / variable.tradesCount;
variable.anualizedRateOfReturn = variable.ROI / variable.days * 365;
} else {
variable.ROI = (bot.VALUES_TO_USE.initialBalanceB + variable.accumulatedProfitLoss) / bot.VALUES_TO_USE.initialBalanceB - 1;
variable.ROI = (variable.initialBalanceQuotedAsset + variable.accumulatedProfitLoss) / variable.initialBalanceQuotedAsset - 1;
variable.hitRatio = variable.hits / variable.tradesCount;
variable.anualizedRateOfReturn = variable.ROI / variable.days * 365;
}
@@ -2067,7 +2077,7 @@
variable.strategyStage = 'No Stage';
timerToCloseStage = 0
distanceToLast.triggerOff = 1;
variable.distanceToLast.triggerOff = 1;
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage."); }
} else {
@@ -2098,9 +2108,6 @@
variable.balanceQuotedAsset = Number.MAX_SAFE_INTEGER
}
let quotedBaseAsset = '"' + baseAsset + '"'
let quotedQuotedAsset = '"' + quotedAsset + '"'
simulationRecord = {
begin: candle.begin,
end: candle.end,
@@ -2125,22 +2132,22 @@
stopLossPhase: variable.stopLossPhase,
takeProfitPhase: variable.takeProfitPhase,
positionSize: variable.tradePositionSize,
initialBalanceA: bot.VALUES_TO_USE.initialBalanceA,
minimumBalanceA: bot.VALUES_TO_USE.minimumBalanceA,
maximumBalanceA: bot.VALUES_TO_USE.maximumBalanceA,
initialBalanceB: bot.VALUES_TO_USE.initialBalanceB,
minimumBalanceB: bot.VALUES_TO_USE.minimumBalanceB,
maximumBalanceB: bot.VALUES_TO_USE.maximumBalanceB,
baseAsset: quotedBaseAsset,
quotedAsset: quotedQuotedAsset,
marketBaseAsset: '"' + bot.market.baseAsset + '"',
marketQuotedAsset: '"' + bot.market.quotedAsset + '"' ,
positionPeriods: positionPeriods,
positionDays: positionDays,
distanceToLastTriggerOn: distanceToLast.triggerOn,
distanceToLastTriggerOff: distanceToLast.triggerOff,
distanceToLastTakePosition: distanceToLast.takePosition,
distanceToLastClosePosition: distanceToLast.closePosition
initialBalanceA: variable.initialBalanceBaseAsset,
minimumBalanceA: variable.minimumBalanceBaseAsset,
maximumBalanceA: variable.maximumBalanceBaseAsset,
initialBalanceB: variable.initialBalanceQuotedAsset,
minimumBalanceB: variable.minimumBalanceQuotedAsset,
maximumBalanceB: variable.maximumBalanceQuotedAsset,
baseAsset: '"' + variable.baseAsset + '"',
quotedAsset: '"' + variable.quotedAsset + '"',
marketBaseAsset: '"' + variable.marketBaseAsset + '"',
marketQuotedAsset: '"' + variable.marketQuotedAsset + '"' ,
positionPeriods: variable.positionPeriods,
positionDays: variable.positionDays,
distanceToLastTriggerOn: variable.distanceToLast.triggerOn,
distanceToLastTriggerOff: variable.distanceToLast.triggerOff,
distanceToLastTakePosition: variable.distanceToLast.takePosition,
distanceToLastClosePosition: variable.distanceToLast.closePosition
}
recordsArray.push(simulationRecord);
@@ -2185,13 +2192,13 @@
Lets see if there will be an open trade ...
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
*/
if (currentTrade.begin !== 0 && variable.currentTrade.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
if (variable.currentTrade.begin !== 0 && variable.currentTrade.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
variable.currentTrade.status = 2; // This means the trade is open
variable.currentTrade.end = candle.end
variable.currentTrade.endRate = candle.close
/* Here we will calculate the ongoing variable.ROI */
if (baseAsset === bot.market.baseAsset) {
if (baseAsset === variable.marketBaseAsset) {
variable.currentTrade.lastTradeROI = (tradePositionRate - candle.close) / variable.tradePositionRate * 100
} else {
variable.currentTrade.lastTradeROI = (candle.close - variable.tradePositionRate) / variable.tradePositionRate * 100
@@ -2199,11 +2206,11 @@
}
/* Prepare the information for the Trades File */
if (currentTrade.begin !== 0 && variable.currentTrade.end !== 0) {
if (variable.currentTrade.begin !== 0 && variable.currentTrade.end !== 0) {
variable.currentTrade.profit = variable.lastTradeProfitLoss;
tradesArray.push(currentTrade);
tradesArray.push(variable.currentTrade);
variable.currentTrade = {
begin: 0,