Update TradingSimulation.js
This commit is contained in:
Luis Fernando Molina committed
1 parent
ed25240c7a
commit
96719cdc21
1 file changed
+140
-129
+140
-129
@@ -74,61 +74,72 @@
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variable.isInitialized = true
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variable.initial = {} // Everything in here means the status at the begining of the episode.
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variable.current = {} // Everything in here means that is happening right now.
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variable.last = {} // Everything in here means that it already happened.
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variable.minimun = {} // Everything in here means the minimun in the whole episode.
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variable.maximun = {} // Everything in here means the maximun in the whole episode.
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variable.previous = {} // Everything in here means the the value that was current before a new current value was set.
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variable.distance = {} // Everything in here means the distance, measured in periods to whatever happened in the past, usually events.
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variable.episode = {} // An Episode represents each execution of the Simulation
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variable.episode.count = {} // Everything in here means the total count since the begining of the episode.
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variable.episode.stat = {} // Everything in here means the statistics calculated since the begining of the episode.
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variable.episode = { // An Episode represents each execution of the Simulation
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baseAsset: bot.VALUES_TO_USE.baseAsset,
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quotedAsset: bot.VALUES_TO_USE.quotedAsset,
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marketBaseAsset: bot.market.baseAsset,
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marketQuotedAsset: bot.market.quotedAsset,
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profitLoss: 0,
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tradesCount: 0,
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fails: 0,
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hits: 0,
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hitRatio: 0,
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periods: 0,
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days: 0,
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ROI: 0,
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anualizedRateOfReturn: 0
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}
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variable.current = {} // Everything in here means that is happening right now.
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variable.current.balance = {} // Balances at the current candle of the Simulation.
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variable.current.distance = {} // Everything in here means the distance, measured in periods to whatever happened in the past, usually events.
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variable.current.distance.toEvent = {} // Distance to Events that already happened.
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variable.current.strategy = {} // Everything in here are variables related to the current strategy being executed.
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variable.current.position = {} // Everything in here are variables related to the current position being executed.
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variable.current.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.current.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB
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variable.current.distance.toEvent.triggerOn = 0
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variable.current.distance.toEvent.triggerOff = 0
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variable.current.distance.toEvent.takePosition = 0
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variable.current.distance.toEvent.closePosition = 0
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variable.last = {} // Everything in here means that it already happened.
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variable.last.position = {} // Las values of variables at the last position.
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variable.last.position.profitLoss = 0
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variable.last.position.ROI = 0
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variable.previous = {} // Everything in here means the the value that was current before a new current value was set.
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variable.previous.balance = {} // Balances values previous to the current ones.
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variable.previous.balance.baseAsset = 0
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variable.previous.balance.quotedAsset = 0
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variable.episode.parameters = {} // Parameters give you access to information received by the Simulation as parameters.
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variable.episode.parameters.initial = {} // Everything in here means the status at the begining of the episode received as a parameter of the Sumulation.
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variable.episode.parameters.minimun = {} // Everything in here means the minimun in the whole episode received as a parameter of the Sumulation.
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variable.episode.parameters.maximun = {} // Everything in here means the maximun in the whole episode received as a parameter of the Sumulation.
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variable.episode.parameters.initial.balance = {}
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variable.episode.parameters.minimun.balance = {}
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variable.episode.parameters.maximun.balance = {}
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variable.episode.parameters.baseAsset = bot.VALUES_TO_USE.baseAsset
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variable.episode.parameters.quotedAsset = bot.VALUES_TO_USE.quotedAsset
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variable.episode.parameters.marketBaseAsset = bot.market.baseAsset
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variable.episode.parameters.marketQuotedAsset = bot.market.quotedAsset
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variable.episode.parameters.initial.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.episode.parameters.minimum.balance.baseAsset = bot.VALUES_TO_USE.minimumBalanceA
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variable.episode.parameters.maximum.balance.baseAsset = bot.VALUES_TO_USE.maximumBalanceA
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variable.episode.parameters.initial.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB
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variable.episode.parameters.minimum.balance.quotedAsset = bot.VALUES_TO_USE.minimumBalanceB
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variable.episode.parameters.maximum.balance.quotedAsset = bot.VALUES_TO_USE.maximumBalanceB
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variable.episode.count.positions = 0
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variable.episode.count.fails = 0
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variable.episode.count.hits = 0
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variable.episode.count.periods = 0
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variable.episode.stat.profitLoss = 0
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variable.episode.stat.hitRatio = 0
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variable.episode.stat.days = 0
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variable.episode.stat.ROI = 0
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variable.episode.stat.anualizedRateOfReturn = 0
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inializeCurrentStrategy()
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initializeCurrentPosition()
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variable.current.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.current.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB
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variable.initial.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.minimum.balance.baseAsset = bot.VALUES_TO_USE.minimumBalanceA
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variable.maximum.balance.baseAsset = bot.VALUES_TO_USE.maximumBalanceA
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variable.initial.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB
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variable.minimum.balance.quotedAsset = bot.VALUES_TO_USE.minimumBalanceB
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variable.maximum.balance.quotedAsset = bot.VALUES_TO_USE.maximumBalanceB
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variable.last.position = {
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profitLoss: 0,
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ROI: 0
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}
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variable.distance.toEvent = {
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triggerOn: 0,
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triggerOff: 0,
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takePosition: 0,
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closePosition: 0
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}
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variable.announcements = []
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}
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function inializeCurrentStrategy() {
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@@ -325,8 +336,8 @@
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}
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previousLoopingDay = loopingDay.valueOf()
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variable.episode.periods++;
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variable.episode.days = variable.episode.periods * timeFrame / ONE_DAY_IN_MILISECONDS;
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variable.episode.count.periods++;
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variable.episode.stat.days = variable.episode.count.periods * timeFrame / ONE_DAY_IN_MILISECONDS;
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if (processingDailyFiles) {
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@@ -339,7 +350,7 @@
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controlLoop();
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return
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/* Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators.
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if we skip these two variable.episode.periods, then there will be a hole in the file since the last period will be missing. */
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if we skip these two variable.episode.count.periods, then there will be a hole in the file since the last period will be missing. */
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}
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}
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@@ -436,7 +447,7 @@
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if (openStage !== undefined) {
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/* Default Values*/
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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positionSize = variable.current.balance.baseAsset;
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positionRate = candle.close;
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} else {
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@@ -459,13 +470,13 @@
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initialDefinition.positionSize.formula.error = err.message
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}
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if (isNaN(positionSize)) {
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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positionSize = variable.current.balance.baseAsset;
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} else {
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positionSize = variable.current.balance.quotedAsset;
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}
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} else {
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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if (positionSize > variable.current.balance.baseAsset) { positionSize = variable.current.balance.baseAsset }
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} else {
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if (positionSize > variable.current.balance.quotedAsset) { positionSize = variable.current.balance.quotedAsset }
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@@ -486,7 +497,7 @@
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initialDefinition.positionRate.formula.error = err.message
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}
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if (isNaN(positionRate)) {
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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positionRate = candle.close;
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} else {
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positionRate = candle.close;
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@@ -910,14 +921,14 @@
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let maximumBalance
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let balance
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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balance = variable.current.balance.baseAsset
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minimumBalance = variable.minimum.balance.baseAsset
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maximumBalance = variable.maximum.balance.baseAsset
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minimumBalance = variable.episode.parameters.minimum.balance.baseAsset
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maximumBalance = variable.episode.parameters.maximum.balance.baseAsset
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} else {
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balance = variable.current.balance.quotedAsset
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minimumBalance = variable.minimum.balance.quotedAsset
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maximumBalance = variable.maximum.balance.quotedAsset
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minimumBalance = variable.episode.parameters.minimum.balance.quotedAsset
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maximumBalance = variable.episode.parameters.maximum.balance.quotedAsset
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}
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let stopRunningDate = new Date(candle.begin)
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@@ -985,7 +996,7 @@
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variable.current.strategy.endRate = candle.min; // In case the strategy does not get exited
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variable.current.strategy.situationName = situation.name
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variable.distance.toEvent.triggerOn = 1;
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variable.current.distance.toEvent.triggerOn = 1;
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checkAnnouncements(triggerStage.triggerOn)
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@@ -1037,7 +1048,7 @@
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variable.current.strategy.stage = 'No Stage';
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variable.current.strategy.index = -1;
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variable.distance.toEvent.triggerOff = 1;
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variable.current.distance.toEvent.triggerOff = 1;
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checkAnnouncements(triggerStage.triggerOff)
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@@ -1464,27 +1475,27 @@
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/* Keeping Distance Counters Up-to-date */
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if (
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variable.distance.toEvent.triggerOn > 0 // with this we avoind counting before the first event happens.
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variable.current.distance.toEvent.triggerOn > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distance.toEvent.triggerOn++;
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variable.current.distance.toEvent.triggerOn++;
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}
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if (
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variable.distance.toEvent.triggerOff > 0 // with this we avoind counting before the first event happens.
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variable.current.distance.toEvent.triggerOff > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distance.toEvent.triggerOff++;
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variable.current.distance.toEvent.triggerOff++;
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}
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if (
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variable.distance.toEvent.takePosition > 0 // with this we avoind counting before the first event happens.
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variable.current.distance.toEvent.takePosition > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distance.toEvent.takePosition++;
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variable.current.distance.toEvent.takePosition++;
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}
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if (
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variable.distance.toEvent.closePosition > 0 // with this we avoind counting before the first event happens.
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variable.current.distance.toEvent.closePosition > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distance.toEvent.closePosition++;
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variable.current.distance.toEvent.closePosition++;
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}
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/* Checking if Stop or Take Profit were hit */
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@@ -1499,7 +1510,7 @@
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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if ((variable.episode.baseAsset === variable.episode.marketBaseAsset && candle.max >= variable.current.position.stopLoss) || (variable.episode.baseAsset !== variable.episode.marketBaseAsset && candle.min <= variable.current.position.stopLoss)) {
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if ((variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset && candle.max >= variable.current.position.stopLoss) || (variable.episode.parameters.baseAsset !== variable.episode.parameters.marketBaseAsset && candle.min <= variable.current.position.stopLoss)) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Stop Loss was hit."); }
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/*
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@@ -1509,7 +1520,7 @@
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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if (stopLoss < candle.min) {
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variable.current.position.stopLoss = candle.min
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}
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@@ -1524,7 +1535,7 @@
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/* Apply the Slippage */
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let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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slippedStopLoss = slippedStopLoss + slippageAmount
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} else {
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slippedStopLoss = slippedStopLoss - slippageAmount
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@@ -1547,7 +1558,7 @@
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/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
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if ((variable.episode.baseAsset === variable.episode.marketBaseAsset && candle.min <= variable.current.position.takeProfit) || (variable.episode.baseAsset !== variable.episode.marketBaseAsset && candle.max >= variable.current.position.takeProfit)) {
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if ((variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset && candle.min <= variable.current.position.takeProfit) || (variable.episode.parameters.baseAsset !== variable.episode.parameters.marketBaseAsset && candle.max >= variable.current.position.takeProfit)) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Take Profit was hit."); }
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/*
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@@ -1557,7 +1568,7 @@
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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if (takeProfit > candle.max) {
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variable.current.position.takeProfit = candle.max
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}
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@@ -1571,7 +1582,7 @@
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/* Apply the Slippage */
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let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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slippedTakeProfit = slippedTakeProfit + slippageAmount
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} else {
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slippedTakeProfit = slippedTakeProfit - slippageAmount
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@@ -1603,7 +1614,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Entering code block."); }
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/* Inicializing this counter */
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variable.distance.toEvent.takePosition = 1;
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variable.current.distance.toEvent.takePosition = 1;
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/* Position size and rate */
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let strategy = tradingSystem.strategies[strategyIndex];
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@@ -1614,7 +1625,7 @@
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = variable.current.position.rate * bot.VALUES_TO_USE.slippage.positionRate / 100
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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variable.current.position.rate = variable.current.position.rate - slippageAmount
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} else {
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variable.current.position.rate = variable.current.position.rate + slippageAmount
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@@ -1701,7 +1712,7 @@
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/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
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if (variable.executionContext !== undefined) {
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if (variable.executionContext.periods !== undefined) {
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if (variable.episode.periods <= variable.executionContext.periods) {
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if (variable.episode.count.periods <= variable.executionContext.periods) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution."); }
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takePositionAtSimulation()
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return;
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@@ -1728,7 +1739,7 @@
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let orderSide
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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orderSide = "sell"
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orderPrice = variable.current.position.rate
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@@ -1748,7 +1759,7 @@
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variable.executionContext = {
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status: "Taking Position",
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periods: variable.episode.periods,
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periods: variable.episode.count.periods,
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order."); }
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@@ -1763,7 +1774,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE "); }
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variable.executionContext = {
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status: "In a Position",
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periods: variable.episode.periods,
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periods: variable.episode.count.periods,
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amountA: amountA,
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amountB: amountB,
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orderId: order.id
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@@ -1813,7 +1824,7 @@
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let feePaid = 0
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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feePaid = variable.current.position.size * variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100
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@@ -1841,7 +1852,7 @@
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closePositionNow = false
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/* Inicializing this counter */
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variable.distance.toEvent.closePosition = 1;
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variable.current.distance.toEvent.closePosition = 1;
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/* Position size and rate */
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let strategy = tradingSystem.strategies[strategyIndex];
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@@ -1896,7 +1907,7 @@
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/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
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if (variable.executionContext !== undefined) {
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if (variable.executionContext.periods !== undefined) {
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if (variable.episode.periods <= variable.executionContext.periods) {
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if (variable.episode.count.periods <= variable.executionContext.periods) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution."); }
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closePositionAtSimulation()
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return;
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@@ -1909,7 +1920,7 @@
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let amountB
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let orderSide
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if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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orderSide = "buy"
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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.
|
||||
@@ -1929,7 +1940,7 @@
|
||||
|
||||
variable.executionContext = {
|
||||
status: "Closing Position",
|
||||
periods: variable.episode.periods,
|
||||
periods: variable.episode.count.periods,
|
||||
}
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); }
|
||||
@@ -1944,7 +1955,7 @@
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE "); }
|
||||
variable.executionContext = {
|
||||
status: "Position Closed",
|
||||
periods: variable.episode.periods,
|
||||
periods: variable.episode.count.periods,
|
||||
amountA: amountA,
|
||||
amountB: amountB,
|
||||
orderId: order.id
|
||||
@@ -1981,11 +1992,11 @@
|
||||
function closePositionAtSimulation() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function."); }
|
||||
|
||||
variable.episode.tradesCount++;
|
||||
variable.episode.count.positions++;
|
||||
|
||||
let feePaid = 0
|
||||
|
||||
if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
|
||||
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
|
||||
strategy.positionSize = variable.current.balance.quotedAsset / closeRate;
|
||||
strategy.positionRate = closeRate;
|
||||
|
||||
@@ -2003,34 +2014,34 @@
|
||||
variable.current.balance.baseAsset = 0;
|
||||
}
|
||||
|
||||
if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
|
||||
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
|
||||
variable.last.position.profitLoss = variable.current.balance.baseAsset - variable.previous.balance.baseAsset;
|
||||
variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size;
|
||||
if (isNaN(lastTradeROI)) { variable.last.position.ROI = 0; }
|
||||
variable.episode.profitLoss = variable.current.balance.baseAsset - variable.initial.balance.baseAsset;
|
||||
variable.episode.stat.profitLoss = variable.current.balance.baseAsset - variable.episode.parameters.initial.balance.baseAsset;
|
||||
} else {
|
||||
variable.last.position.profitLoss = variable.current.balance.quotedAsset - variable.previous.balance.quotedAsset;
|
||||
variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size;
|
||||
if (isNaN(lastTradeROI)) { variable.last.position.ROI = 0; }
|
||||
variable.episode.profitLoss = variable.current.balance.quotedAsset - variable.initial.balance.quotedAsset;
|
||||
variable.episode.stat.profitLoss = variable.current.balance.quotedAsset - variable.episode.parameters.initial.balance.quotedAsset;
|
||||
}
|
||||
|
||||
variable.current.position.lastTradeROI = variable.last.position.ROI;
|
||||
|
||||
if (variable.last.position.profitLoss > 0) {
|
||||
variable.episode.hits++;
|
||||
variable.episode.count.hits++;
|
||||
} else {
|
||||
variable.episode.fails++;
|
||||
variable.episode.count.fails++;
|
||||
}
|
||||
|
||||
if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
|
||||
variable.episode.ROI = (variable.initial.balance.baseAsset + variable.episode.profitLoss) / variable.initial.balance.baseAsset - 1;
|
||||
variable.episode.hitRatio = variable.episode.hits / variable.episode.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.episode.ROI / variable.episode.days * 365;
|
||||
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
|
||||
variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.baseAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.baseAsset - 1;
|
||||
variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions;
|
||||
variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365;
|
||||
} else {
|
||||
variable.episode.ROI = (variable.initial.balance.quotedAsset + variable.episode.profitLoss) / variable.initial.balance.quotedAsset - 1;
|
||||
variable.episode.hitRatio = variable.episode.hits / variable.episode.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.episode.ROI / variable.episode.days * 365;
|
||||
variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.quotedAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.quotedAsset - 1;
|
||||
variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions;
|
||||
variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365;
|
||||
}
|
||||
|
||||
addRecord();
|
||||
@@ -2066,7 +2077,7 @@
|
||||
variable.current.strategy.stage = 'No Stage';
|
||||
|
||||
timerToCloseStage = 0
|
||||
variable.distance.toEvent.triggerOff = 1;
|
||||
variable.current.distance.toEvent.triggerOff = 1;
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage."); }
|
||||
} else {
|
||||
@@ -2098,17 +2109,17 @@
|
||||
end: candle.end,
|
||||
balanceBaseAsset: variable.current.balance.baseAsset,
|
||||
balanceQuotedAsset: variable.current.balance.quotedAsset,
|
||||
accumulatedProfitLoss: variable.episode.profitLoss,
|
||||
accumulatedProfitLoss: variable.episode.stat.profitLoss,
|
||||
lastTradeProfitLoss: variable.last.position.profitLoss,
|
||||
stopLoss: variable.current.position.stopLoss,
|
||||
tradesCount: variable.episode.tradesCount,
|
||||
hits: variable.episode.hits,
|
||||
fails: variable.episode.fails,
|
||||
hitRatio: variable.episode.hitRatio,
|
||||
ROI: variable.episode.ROI,
|
||||
periods: variable.episode.periods,
|
||||
days: variable.episode.days,
|
||||
anualizedRateOfReturn: variable.anualizedRateOfReturn,
|
||||
tradesCount: variable.episode.count.positions,
|
||||
hits: variable.episode.count.hits,
|
||||
fails: variable.episode.count.fails,
|
||||
hitRatio: variable.episode.stat.hitRatio,
|
||||
ROI: variable.episode.stat.ROI,
|
||||
periods: variable.episode.count.periods,
|
||||
days: variable.episode.stat.days,
|
||||
anualizedRateOfReturn: variable.episode.stat.anualizedRateOfReturn,
|
||||
positionRate: variable.current.position.rate,
|
||||
lastTradeROI: variable.last.position.ROI,
|
||||
strategy: variable.current.strategy.index,
|
||||
@@ -2116,22 +2127,22 @@
|
||||
stopLossPhase: variable.current.position.stopLossPhase,
|
||||
takeProfitPhase: variable.current.position.takeProfitPhase,
|
||||
positionSize: variable.current.position.size,
|
||||
initialBalanceA: variable.initial.balance.baseAsset,
|
||||
minimumBalanceA: variable.minimum.balance.baseAsset,
|
||||
maximumBalanceA: variable.maximum.balance.baseAsset,
|
||||
initialBalanceB: variable.initial.balance.quotedAsset,
|
||||
minimumBalanceB: variable.minimum.balance.quotedAsset,
|
||||
maximumBalanceB: variable.maximum.balance.quotedAsset,
|
||||
baseAsset: '"' + variable.episode.baseAsset + '"',
|
||||
quotedAsset: '"' + variable.episode.quotedAsset + '"',
|
||||
marketBaseAsset: '"' + variable.episode.marketBaseAsset + '"',
|
||||
marketQuotedAsset: '"' + variable.episode.marketQuotedAsset + '"' ,
|
||||
initialBalanceA: variable.episode.parameters.initial.balance.baseAsset,
|
||||
minimumBalanceA: variable.episode.parameters.minimum.balance.baseAsset,
|
||||
maximumBalanceA: variable.episode.parameters.maximum.balance.baseAsset,
|
||||
initialBalanceB: variable.episode.parameters.initial.balance.quotedAsset,
|
||||
minimumBalanceB: variable.episode.parameters.minimum.balance.quotedAsset,
|
||||
maximumBalanceB: variable.episode.parameters.maximum.balance.quotedAsset,
|
||||
baseAsset: '"' + variable.episode.parameters.baseAsset + '"',
|
||||
quotedAsset: '"' + variable.episode.parameters.quotedAsset + '"',
|
||||
marketBaseAsset: '"' + variable.episode.parameters.marketBaseAsset + '"',
|
||||
marketQuotedAsset: '"' + variable.episode.parameters.marketQuotedAsset + '"' ,
|
||||
positionPeriods: variable.current.position.periods,
|
||||
positionDays: variable.positionDays,
|
||||
distanceToEventTriggerOn: variable.distance.toEvent.triggerOn,
|
||||
distanceToEventTriggerOff: variable.distance.toEvent.triggerOff,
|
||||
distanceToEventTakePosition: variable.distance.toEvent.takePosition,
|
||||
distanceToEventClosePosition: variable.distance.toEvent.closePosition
|
||||
distanceToEventTriggerOn: variable.current.distance.toEvent.triggerOn,
|
||||
distanceToEventTriggerOff: variable.current.distance.toEvent.triggerOff,
|
||||
distanceToEventTakePosition: variable.current.distance.toEvent.takePosition,
|
||||
distanceToEventClosePosition: variable.current.distance.toEvent.closePosition
|
||||
}
|
||||
|
||||
recordsArray.push(simulationRecord);
|
||||
@@ -2183,8 +2194,8 @@
|
||||
variable.current.position.end = candle.end
|
||||
variable.current.position.endRate = candle.close
|
||||
|
||||
/* Here we will calculate the ongoing variable.episode.ROI */
|
||||
if (variable.episode.baseAsset === variable.episode.marketBaseAsset) {
|
||||
/* Here we will calculate the ongoing variable.episode.stat.ROI */
|
||||
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
|
||||
variable.current.position.lastTradeROI = (variable.current.position.rate - candle.close) / variable.current.position.rate * 100
|
||||
} else {
|
||||
variable.current.position.lastTradeROI = (candle.close - variable.current.position.rate) / variable.current.position.rate * 100
|
||||
@@ -2237,7 +2248,7 @@
|
||||
}
|
||||
}
|
||||
|
||||
if (variable.episode.periods > lastPeriodAnnounced) {
|
||||
if (variable.episode.count.periods > lastPeriodAnnounced) {
|
||||
|
||||
if (isNaN(value) === false) {
|
||||
/* The Value Variation is what tells us how much the value already announced must change in order to annouce it again. */
|
||||
@@ -2265,12 +2276,12 @@
|
||||
|
||||
/* Next, we will remmeber this announcement was already done, so that it is not announced again in further processing of the same day. */
|
||||
if (newAnnouncementRecord.periods !== undefined) {
|
||||
newAnnouncementRecord.periods = variable.episode.periods
|
||||
newAnnouncementRecord.periods = variable.episode.count.periods
|
||||
newAnnouncementRecord.value = value
|
||||
} else {
|
||||
newAnnouncementRecord = {
|
||||
key: key,
|
||||
periods: variable.episode.periods,
|
||||
periods: variable.episode.count.periods,
|
||||
value: value
|
||||
}
|
||||
variable.announcements.push(newAnnouncementRecord)
|
||||
|
||||
Reference in new issue
Block a user