Buy Order Implemented
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Luis Fernando Molina committed
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afaed2f577
commit
797a9fb25f
1 file changed
+133
-39
+133
-39
@@ -402,7 +402,8 @@
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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.strategyPhase + "," +
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record.buyOrder + "]";
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if (separator === "") { separator = ","; }
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@@ -526,15 +527,24 @@
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let strategy = 0;
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let strategyPhase = 0;
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/* Building records */
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/* Stop Loss Management */
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let stopLossPercentage = 1.5;
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let previousStopLoss = 0;
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let trailingStop = false;
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let stopLoss = 0;
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let stopLossDecay = 0;
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let stopLossDecayIncrement = 0.06;
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/* Buy Order Management */
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let buyOrderPercentage = 1;
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let previousBuyOrder = 0;
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let buyOrder = 0;
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let buyOrderDecay = 0;
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let buyOrderDecayIncrement = 0.01;
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/* Building records */
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let record;
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let balanceAssetA = initialBalanceA;
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let balanceAssetB = 0;
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@@ -555,6 +565,7 @@
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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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let presellModeIsActive = false;
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@@ -660,6 +671,102 @@
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strategyPhase = 2;
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}
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if (strategyPhase === 2) {
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buyOrderDecay = buyOrderDecay + buyOrderDecayIncrement;
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buyOrder = band.movingAverage - band.standardDeviation * 10; //+ band.movingAverage - band.standardDeviation * 4 * (buyOrderPercentage + buyOrderDecay) / 100;
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newStopLoss = newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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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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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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strategyPhase = 3;
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}
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}
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if (strategyPhase === 3) {
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buyOrder = band.movingAverage - band.standardDeviation * 10;
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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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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if (
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percentgeBandwidth1.movingAverage < percentgeBandwidth.movingAverage &&
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percentgeBandwidth.movingAverage > 0
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) {
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strategyPhase = 4;
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}
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}
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if (strategyPhase === 4) {
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buyOrder = band.movingAverage - band.standardDeviation * 4;
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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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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if (percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage) {
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strategyPhase = 5;
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}
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}
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if (strategyPhase === 5) {
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buyOrder = band.movingAverage - band.standardDeviation * 3;
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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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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if (
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percentgeBandwidth1.movingAverage < percentgeBandwidth.movingAverage &&
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percentgeBandwidth.movingAverage > 30
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) {
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strategyPhase = 6;
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}
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}
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if (strategyPhase === 6) {
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buyOrder = band.movingAverage - band.standardDeviation * 2;
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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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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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if (sellSignalActivated === true) {
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previousBalanceAssetA = balanceAssetA;
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@@ -683,39 +790,6 @@
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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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strategyPhase = 3;
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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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if (strategy === 2) {
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@@ -745,8 +819,22 @@
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if (candle.max >= stopLoss && lastOperation === 'Sell') {
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balanceAssetA = balanceAssetB / stopLoss;
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//if (isNaN(balanceAssetA)) { balanceAssetA = 0; }
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balanceAssetB = 0;
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rate = stopLoss;
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type = '"Buy@StopLoss"';
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buySignalActivated = true;
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}
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if (candle.min <= buyOrder && lastOperation === 'Sell' && buySignalActivated === false) {
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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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buySignalActivated = true;
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}
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@@ -754,13 +842,19 @@
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stopLoss = 0;
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sellRate = 0;
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trailingStop = false;
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buyOrder = 0;
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strategyPhase = 0;
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roundtrips++;
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lastProfit = balanceAssetA - previousBalanceAssetA;
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lastProfitPercent = lastProfit / previousBalanceAssetA * 100;
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if (isNaN(lastProfitPercent)) { lastProfitPercent = 0; }
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profit = profit + lastProfit;
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ROI = (initialBalanceA + profit) / initialBalanceA - 1;
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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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@@ -773,7 +867,6 @@
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days = periods * outputPeriod / miliSecondsPerDay;
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anualizedRateOfReturn = ROI / days * 365;
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type = '"Buy"';
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lastOperation = 'Buy';
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strategy = 0;
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@@ -813,7 +906,8 @@
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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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strategyPhase: strategyPhase,
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buyOrder: buyOrder
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}
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recordsArray.push(record);
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