Tyding code, comments
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Luis Fernando Molina committed
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commit
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@@ -370,6 +370,12 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildRecords -> Entering function."); }
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/* Initial Values */
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let lastOperation = 'Buy';
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let initialDate = new Date("2018-08-01");
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let initialBalanceA = 1;
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/* Building records */
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let stopLossPercentage = 1.5;
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@@ -379,10 +385,7 @@
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let stopLossDecay = 0;
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let stopLossDecayIncrement = 0.06;
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let initialBalanceA = 1;
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let record;
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let lastOperation = 'Buy';
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let initialDate = new Date("2018-08-01");
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let balanceAssetA = initialBalanceA;
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let balanceAssetB = 0;
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let profit = 0;
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@@ -400,21 +403,22 @@
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let days = 0;
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let anualizedRateOfReturn = 0;
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let type = '""';
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let signal = '""';
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let rate = 0;
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let pBOK = false;
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let presellModeIsActive = false;
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let initialBuffer = 3;
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/* Main Simulation Loop: We go thourgh all the candles at this time period. */
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for (let i = 0 + initialBuffer; i < candles.length; i++) {
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let candle = candles[i];
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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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if (percentgeBandwidth === undefined) { continue;} // percentageBandwidth might start after the first few candles.
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if (candle.begin < initialDate.valueOf()) { continue; }
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periods++;
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@@ -427,31 +431,39 @@
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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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/* PB Coming Down from the roof enables condition to sell */
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/* Strategy #1: Range Trading. */
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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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(percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage) &&
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presellModeIsActive === false
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) {
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type = '"Pre-Sell"';
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pBOK = true;
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signal = '"Pre-Sell"';
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presellModeIsActive = true;
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};
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let mustSell = false;
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let sellSignalActivated = false;
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/* Sell Condition #1 */
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if (
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pBOK === true &&
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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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mustSell = true;
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sellSignalActivated = true;
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}
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/* Sell Condition #2 */
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@@ -465,11 +477,11 @@
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) {
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type = '"Sell-2"';
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mustSell = true;
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sellSignalActivated = true;
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}
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if (mustSell === true) {
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if (sellSignalActivated === true) {
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previousBalanceAssetA = balanceAssetA;
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lastProfit = 0;
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@@ -484,12 +496,12 @@
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stopLoss = sellRate + sellRate * stopLossPercentage / 100;
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lastOperation = 'Sell';
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pBOK = false;
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presellModeIsActive = false;
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stopLossDecay = 0;
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addRecord();
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mustSell = false;
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sellSignalActivated = false;
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continue;
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}
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@@ -499,39 +511,44 @@
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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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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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let 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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newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
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} else {
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stopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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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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/* Stop Loss condition */
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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let mustBuy = false;
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let buySignalActivated = false;
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if (candle.max >= stopLoss && lastOperation === 'Sell') {
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balanceAssetA = balanceAssetB / stopLoss;
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balanceAssetB = 0;
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rate = stopLoss;
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mustBuy = true;
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buySignalActivated = true;
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}
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if (mustBuy === true) {
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if (buySignalActivated === true) {
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stopLoss = 0;
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sellRate = 0;
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@@ -590,7 +607,8 @@
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days: days,
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anualizedRateOfReturn: anualizedRateOfReturn,
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sellRate: sellRate,
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lastProfitPercent: lastProfitPercent
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lastProfitPercent: lastProfitPercent,
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signal: signal
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}
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recordsArray.push(record);
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@@ -604,6 +622,7 @@
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}
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type = '""';
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signal = '""';
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}
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}
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@@ -651,7 +670,8 @@
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record.days + "," +
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record.anualizedRateOfReturn + "," +
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record.sellRate + "," +
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record.lastProfitPercent + "]";
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record.lastProfitPercent + "," +
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record.signal + "]";
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if (separator === "") { separator = ","; }
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