Update TradingSimulation.js
This commit is contained in:
Luis Fernando Molina committed
1 parent
ba86ad360c
commit
86c85dabc0
1 file changed
+84
-84
+84
-84
@@ -119,7 +119,7 @@
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variable.balanceQuotedAsset = bot.VALUES_TO_USE.initialBalanceB
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variable.lastTradeProfitLoss = 0
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variable.profit = 0
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variable.lastTradeProfit = 0
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variable.lastTradeROI = 0
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variable.roundtrips = 0;
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@@ -436,10 +436,10 @@
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/* Default Values*/
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if (baseAsset === bot.market.baseAsset) {
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positionSize = balanceBaseAsset;
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positionSize = variable.balanceBaseAsset;
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positionRate = candle.close;
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} else {
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positionSize = balanceQuotedAsset;
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positionSize = variable.balanceQuotedAsset;
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positionRate = candle.close;
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}
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@@ -459,15 +459,15 @@
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}
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if (isNaN(positionSize)) {
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if (baseAsset === bot.market.baseAsset) {
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positionSize = balanceBaseAsset;
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positionSize = variable.balanceBaseAsset;
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} else {
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positionSize = balanceQuotedAsset;
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positionSize = variable.balanceQuotedAsset;
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}
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} else {
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if (baseAsset === bot.market.baseAsset) {
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if (positionSize > balanceBaseAsset) { positionSize = balanceBaseAsset }
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if (positionSize > variable.balanceBaseAsset) { positionSize = variable.balanceBaseAsset }
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} else {
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if (positionSize > balanceQuotedAsset) { positionSize = balanceQuotedAsset }
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if (positionSize > variable.balanceQuotedAsset) { positionSize = variable.balanceQuotedAsset }
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}
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}
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}
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@@ -911,11 +911,11 @@
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let balance
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if (baseAsset === bot.market.baseAsset) {
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balance = balanceBaseAsset
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balance = variable.balanceBaseAsset
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minimumBalance = bot.VALUES_TO_USE.minimumBalanceA
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maximumBalance = bot.VALUES_TO_USE.maximumBalanceA
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} else {
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balance = balanceQuotedAsset
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balance = variable.balanceQuotedAsset
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minimumBalance = bot.VALUES_TO_USE.minimumBalanceB
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maximumBalance = bot.VALUES_TO_USE.maximumBalanceB
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}
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@@ -980,10 +980,10 @@
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checkAnnouncements(triggerStage)
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variable.strategyIndex = j;
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currentStrategy.begin = candle.begin;
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currentStrategy.beginRate = candle.min;
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currentStrategy.endRate = candle.min; // In case the strategy does not get exited
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currentStrategy.triggerOnSituation = situation.name
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variable.currentStrategy.begin = candle.begin;
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variable.currentStrategy.beginRate = candle.min;
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variable.currentStrategy.endRate = candle.min; // In case the strategy does not get exited
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variable.currentStrategy.triggerOnSituation = situation.name
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distanceToLast.triggerOn = 1;
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@@ -1030,10 +1030,10 @@
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if (passed) {
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currentStrategy.number = variable.strategyIndex
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currentStrategy.end = candle.end;
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currentStrategy.endRate = candle.min;
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currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.currentStrategy.number = variable.strategyIndex
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variable.currentStrategy.end = candle.end;
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variable.currentStrategy.endRate = candle.min;
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variable.currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.strategyStage = 'No Stage';
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variable.strategyIndex = -1;
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@@ -1089,7 +1089,7 @@
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variable.takeProfitPhase = 0;
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takePositionNow = true
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currentTrade.takePositionSituation = situation.name
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variable.currentTrade.takePositionSituation = situation.name
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checkAnnouncements(triggerStage.takePosition)
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@@ -1537,10 +1537,10 @@
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variable.stopLossStage = 'No Stage';
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variable.takeProfitStage = 'No Stage';
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currentTrade.end = candle.end;
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currentTrade.status = 1;
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currentTrade.exitType = 1;
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currentTrade.endRate = closeRate;
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variable.currentTrade.end = candle.end;
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variable.currentTrade.status = 1;
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variable.currentTrade.exitType = 1;
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variable.currentTrade.endRate = closeRate;
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closePositionNow = true;
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}
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@@ -1585,10 +1585,10 @@
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variable.stopLossStage = 'No Stage';
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variable.takeProfitStage = 'No Stage';
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currentTrade.end = candle.end;
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currentTrade.status = 1;
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currentTrade.exitType = 2;
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currentTrade.endRate = closeRate;
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variable.currentTrade.end = candle.end;
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variable.currentTrade.status = 1;
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variable.currentTrade.exitType = 2;
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variable.currentTrade.endRate = closeRate;
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closePositionNow = true;
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@@ -1621,8 +1621,8 @@
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}
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/* Update the trade record information. */
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currentTrade.begin = candle.begin;
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currentTrade.beginRate = variable.tradePositionRate;
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variable.currentTrade.begin = candle.begin;
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variable.currentTrade.beginRate = variable.tradePositionRate;
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/* Check if we need to execute. */
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if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/
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@@ -1805,11 +1805,11 @@
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calculateTakeProfit();
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calculateStopLoss();
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variable.previousBalanceBaseAsset = balanceBaseAsset;
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variable.previousBalanceQuotedAsset = balanceQuotedAsset;
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variable.previousBalanceBaseAsset = variable.balanceBaseAsset;
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variable.previousBalanceQuotedAsset = variable.balanceQuotedAsset;
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lastTradeProfitLoss = 0;
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lastTradeROI = 0;
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variable.lastTradeProfitLoss = 0;
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variable.lastTradeROI = 0;
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let feePaid = 0
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@@ -1817,14 +1817,14 @@
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feePaid = variable.tradePositionSize * variable.tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceQuotedAsset = balanceQuotedAsset + variable.tradePositionSize * variable.tradePositionRate - feePaid;
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balanceBaseAsset = balanceBaseAsset - variable.tradePositionSize;
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variable.balanceQuotedAsset = variable.balanceQuotedAsset + variable.tradePositionSize * variable.tradePositionRate - feePaid;
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variable.balanceBaseAsset = variable.balanceBaseAsset - variable.tradePositionSize;
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} else {
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feePaid = variable.tradePositionSize / variable.tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceBaseAsset = balanceBaseAsset + variable.tradePositionSize / variable.tradePositionRate - feePaid;
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balanceQuotedAsset = balanceQuotedAsset - variable.tradePositionSize;
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variable.balanceBaseAsset = variable.balanceBaseAsset + variable.tradePositionSize / variable.tradePositionRate - feePaid;
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variable.balanceQuotedAsset = variable.balanceQuotedAsset - variable.tradePositionSize;
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}
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addRecord();
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@@ -1914,16 +1914,16 @@
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orderPrice = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
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amountA = balanceQuotedAsset
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amountB = balanceQuotedAsset / orderPrice
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amountA = variable.balanceQuotedAsset
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amountB = variable.balanceQuotedAsset / orderPrice
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} else {
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orderSide = "sell"
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orderPrice = ticker.last - 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
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amountA = balanceBaseAsset * orderPrice
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amountB = balanceBaseAsset
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amountA = variable.balanceBaseAsset * orderPrice
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amountB = variable.balanceBaseAsset
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}
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@@ -1986,36 +1986,36 @@
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let feePaid = 0
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if (baseAsset === bot.market.baseAsset) {
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strategy.positionSize = balanceQuotedAsset / closeRate;
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strategy.positionSize = variable.balanceQuotedAsset / closeRate;
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strategy.positionRate = closeRate;
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feePaid = balanceQuotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = variable.balanceQuotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceBaseAsset = balanceBaseAsset + balanceQuotedAsset / closeRate - feePaid;
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balanceQuotedAsset = 0;
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variable.balanceBaseAsset = variable.balanceBaseAsset + variable.balanceQuotedAsset / closeRate - feePaid;
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variable.balanceQuotedAsset = 0;
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} else {
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strategy.positionSize = balanceBaseAsset * closeRate;
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strategy.positionSize = variable.balanceBaseAsset * closeRate;
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strategy.positionRate = closeRate;
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feePaid = balanceBaseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = variable.balanceBaseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceQuotedAsset = balanceQuotedAsset + balanceBaseAsset * closeRate - feePaid;
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balanceBaseAsset = 0;
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variable.balanceQuotedAsset = variable.balanceQuotedAsset + variable.balanceBaseAsset * closeRate - feePaid;
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variable.balanceBaseAsset = 0;
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}
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if (baseAsset === bot.market.baseAsset) {
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lastTradeProfitLoss = balanceBaseAsset - variable.previousBalanceBaseAsset;
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lastTradeROI = lastTradeProfitLoss * 100 / variable.tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceBaseAsset - bot.VALUES_TO_USE.initialBalanceA;
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variable.lastTradeProfitLoss = variable.balanceBaseAsset - variable.previousBalanceBaseAsset;
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variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
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if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
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variable.lastTradeProfit = variable.balanceBaseAsset - bot.VALUES_TO_USE.initialBalanceA;
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} else {
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lastTradeProfitLoss = balanceQuotedAsset - variable.previousBalanceQuotedAsset;
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lastTradeROI = lastTradeProfitLoss * 100 / variable.tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceQuotedAsset - bot.VALUES_TO_USE.initialBalanceB;
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variable.lastTradeProfitLoss = variable.balanceQuotedAsset - variable.previousBalanceQuotedAsset;
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variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
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if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
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variable.lastTradeProfit = variable.balanceQuotedAsset - bot.VALUES_TO_USE.initialBalanceB;
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}
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currentTrade.lastTradeROI = lastTradeROI;
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variable.currentTrade.lastTradeROI = variable.lastTradeROI;
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if (lastTradeProfitLoss > 0) {
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hits++;
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@@ -2024,11 +2024,11 @@
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}
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if (baseAsset === bot.market.baseAsset) {
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ROI = (bot.VALUES_TO_USE.initialBalanceA + profit) / bot.VALUES_TO_USE.initialBalanceA - 1;
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ROI = (bot.VALUES_TO_USE.initialBalanceA + variable.lastTradeProfit) / bot.VALUES_TO_USE.initialBalanceA - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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} else {
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ROI = (bot.VALUES_TO_USE.initialBalanceB + profit) / bot.VALUES_TO_USE.initialBalanceB - 1;
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ROI = (bot.VALUES_TO_USE.initialBalanceB + variable.lastTradeProfit) / bot.VALUES_TO_USE.initialBalanceB - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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}
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@@ -2057,10 +2057,10 @@
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if (strategyStage === 'Close Stage') {
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if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
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currentStrategy.number = variable.strategyIndex
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currentStrategy.end = candle.end;
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currentStrategy.endRate = candle.min;
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currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.currentStrategy.number = variable.strategyIndex
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variable.currentStrategy.end = candle.end;
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variable.currentStrategy.endRate = candle.min;
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variable.currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.strategyIndex = -1;
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variable.strategyStage = 'No Stage';
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@@ -2114,11 +2114,11 @@
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}
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if (balanceBaseAsset === Infinity) {
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balanceBaseAsset = Number.MAX_SAFE_INTEGER
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variable.balanceBaseAsset = Number.MAX_SAFE_INTEGER
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}
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if (balanceQuotedAsset === Infinity) {
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balanceQuotedAsset = Number.MAX_SAFE_INTEGER
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variable.balanceQuotedAsset = Number.MAX_SAFE_INTEGER
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}
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let quotedBaseAsset = '"' + baseAsset + '"'
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@@ -2128,10 +2128,10 @@
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begin: candle.begin,
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end: candle.end,
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amount: 1,
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balanceA: balanceBaseAsset,
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balanceB: balanceQuotedAsset,
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profit: profit,
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lastTradeProfitLoss: lastTradeProfitLoss,
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balanceA: variable.balanceBaseAsset,
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balanceB: variable.balanceQuotedAsset,
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profit: variable.lastTradeProfit,
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lastTradeProfitLoss: variable.lastTradeProfitLoss,
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stopLoss: variable.stopLoss,
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roundtrips: roundtrips,
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hits: hits,
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@@ -2142,7 +2142,7 @@
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days: days,
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anualizedRateOfReturn: anualizedRateOfReturn,
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positionRate: variable.tradePositionRate,
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lastTradeROI: lastTradeROI,
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lastTradeROI: variable.lastTradeROI,
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strategy: variable.strategyIndex,
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strategyStageNumber: strategyStageNumber,
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takeProfit: variable.takeProfit,
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@@ -2185,17 +2185,17 @@
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Lets see if there will be an open strategy ...
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Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
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*/
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if (currentStrategy.begin !== 0 && currentStrategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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currentStrategy.status = 2; // This means the strategy is open, i.e. that has a begin but no end.
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currentStrategy.end = candle.end
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if (currentStrategy.begin !== 0 && variable.currentStrategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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variable.currentStrategy.status = 2; // This means the strategy is open, i.e. that has a begin but no end.
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variable.currentStrategy.end = candle.end
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}
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/* Prepare the information for the Strategies File*/
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if (currentStrategy.begin !== 0 && currentStrategy.end !== 0)
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if (currentStrategy.begin !== 0 && variable.currentStrategy.end !== 0)
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{
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strategiesArray.push(currentStrategy);
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currentStrategy = {
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variable.currentStrategy = {
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begin: 0,
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end: 0,
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status: 0,
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@@ -2210,27 +2210,27 @@
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Lets see if there will be an open trade ...
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Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
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*/
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if (currentTrade.begin !== 0 && currentTrade.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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currentTrade.status = 2; // This means the trade is open
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currentTrade.end = candle.end
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currentTrade.endRate = candle.close
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if (currentTrade.begin !== 0 && variable.currentTrade.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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variable.currentTrade.status = 2; // This means the trade is open
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variable.currentTrade.end = candle.end
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variable.currentTrade.endRate = candle.close
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/* Here we will calculate the ongoing ROI */
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if (baseAsset === bot.market.baseAsset) {
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currentTrade.lastTradeROI = (tradePositionRate - candle.close) / variable.tradePositionRate * 100
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variable.currentTrade.lastTradeROI = (tradePositionRate - candle.close) / variable.tradePositionRate * 100
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} else {
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currentTrade.lastTradeROI = (candle.close - variable.tradePositionRate) / variable.tradePositionRate * 100
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variable.currentTrade.lastTradeROI = (candle.close - variable.tradePositionRate) / variable.tradePositionRate * 100
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}
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}
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/* Prepare the information for the Trades File */
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if (currentTrade.begin !== 0 && currentTrade.end !== 0) {
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if (currentTrade.begin !== 0 && variable.currentTrade.end !== 0) {
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currentTrade.profit = lastTradeProfitLoss;
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variable.currentTrade.profit = variable.lastTradeProfitLoss;
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tradesArray.push(currentTrade);
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currentTrade = {
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variable.currentTrade = {
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begin: 0,
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end: 0,
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status: 0,
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