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Strategy 2 Implemented

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This commit is contained in:
Luis Fernando Molina committed 2019-03-05 18:21:19 +01:00
1 parent 54ee78ddfe
commit a8c0dd695d
1 file changed
+49 -27
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Multi-Period-Market/User.Bot.js
+49 -27
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@@ -119,7 +119,7 @@
let marketFile;
let percentgeBandwidthMap = new Map();
let percentageBandwidthMap = new Map();
let bollingerBandsMap = new Map();
let bollingerChannelsArray = [];
let bollingerSubChannelsArray = [];
@@ -183,14 +183,14 @@
for (let i = 0; i < marketFile.length; i++) {
let percentgeBandwidth = {
let percentageBandwidth = {
begin: marketFile[i][0],
end: marketFile[i][1],
value: marketFile[i][2],
movingAverage: marketFile[i][3]
};
percentgeBandwidthMap.set(percentgeBandwidth.begin, percentgeBandwidth);
percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth);
}
@@ -519,7 +519,7 @@
runSimulation(
candles,
bollingerBandsMap,
percentgeBandwidthMap,
percentageBandwidthMap,
bollingerChannelsArray,
bollingerSubChannelsArray,
recordsArray,
@@ -639,7 +639,7 @@
n++;
if (n < global.marketFilesPeriods.length - 1) {
if (n < global.marketFilesPeriods.length) {
loopBody();
@@ -684,7 +684,7 @@
function runSimulation(
candles,
bollingerBandsMap,
percentgeBandwidthMap,
percentageBandwidthMap,
bollingerChannelsArray,
bollingerSubChannelsArray,
recordsArray,
@@ -754,10 +754,10 @@
for (let i = 0 + initialBuffer; i < candles.length; i++) {
let candle = candles[i];
let percentgeBandwidth = percentgeBandwidthMap.get(candle.begin);
let percentageBandwidth = percentageBandwidthMap.get(candle.begin);
let band = bollingerBandsMap.get(candle.begin);
if (percentgeBandwidth === undefined) { continue; } // percentageBandwidth might start after the first few candles.
if (percentageBandwidth === undefined) { continue; } // percentageBandwidth might start after the first few candles.
if (candle.begin < initialDate.valueOf()) { continue; }
periods++;
@@ -766,9 +766,9 @@
let band2 = bollingerBandsMap.get(candles[i - 2].begin);
let band3 = bollingerBandsMap.get(candles[i - 3].begin);
let percentgeBandwidth1 = percentgeBandwidthMap.get(candles[i - 1].begin);
let percentgeBandwidth2 = percentgeBandwidthMap.get(candles[i - 2].begin);
let percentgeBandwidth3 = percentgeBandwidthMap.get(candles[i - 3].begin);
let percentageBandwidth1 = percentageBandwidthMap.get(candles[i - 1].begin);
let percentageBandwidth2 = percentageBandwidthMap.get(candles[i - 2].begin);
let percentageBandwidth3 = percentageBandwidthMap.get(candles[i - 3].begin);
if (strategy === 0) {
@@ -880,8 +880,8 @@
if (
strategyPhase === 0 &&
percentgeBandwidth.value >= 70 &&
(percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage)
percentageBandwidth.value >= 70 &&
(percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage)
) {
signal = '"Pre-Sell"';
strategyPhase = 1;
@@ -903,6 +903,12 @@
if (stopLossPhase === 2) {
if (band1.movingAverage < band.movingAverage) {
stopLossDecay = stopLossDecay + stopLossDecayIncrement * 2;
} else {
stopLossDecay = stopLossDecay - stopLossDecayIncrement / 2;
}
newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100;
if (newStopLoss < previousStopLoss) {
@@ -920,6 +926,12 @@
if (stopLossPhase === 1) {
if (band1.movingAverage < band.movingAverage) {
stopLossDecay = stopLossDecay + stopLossDecayIncrement * 2;
} else {
stopLossDecay = stopLossDecay - stopLossDecayIncrement / 2;
}
newStopLoss = newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
if (newStopLoss < previousStopLoss) {
@@ -952,8 +964,8 @@
buyOrder = band.movingAverage - band.standardDeviation * 3;
if (
percentgeBandwidth1.movingAverage < percentgeBandwidth.movingAverage &&
percentgeBandwidth.movingAverage > 30
percentageBandwidth1.movingAverage < percentageBandwidth.movingAverage &&
percentageBandwidth.movingAverage > 30
) {
buyOrderPhase = 5;
}
@@ -963,7 +975,7 @@
buyOrder = band.movingAverage - band.standardDeviation * 4;
if (percentgeBandwidth1.movingAverage > percentgeBandwidth.movingAverage) {
if (percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage) {
buyOrderPhase = 4;
}
}
@@ -973,8 +985,8 @@
buyOrder = band.movingAverage - band.standardDeviation * 10;
if (
percentgeBandwidth1.movingAverage < percentgeBandwidth.movingAverage &&
percentgeBandwidth.movingAverage > 0
percentageBandwidth1.movingAverage < percentageBandwidth.movingAverage &&
percentageBandwidth.movingAverage > 0
) {
buyOrderPhase = 3;
}
@@ -1022,7 +1034,9 @@
if (
strategyPhase === 1 &&
candle.max > band.movingAverage + band.deviation
percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage &&
percentageBandwidth1.movingAverage > 100
) {
type = '"Sell-1"';
@@ -1041,7 +1055,8 @@
subChannel.slope === 'Side' ||
subChannel.slope === 'Gentle' ||
subChannel.slope === 'Medium'
)
) &&
candle.max > band.movingAverage + band.deviation
) {
signal = '"Pre-Sell"';
@@ -1049,6 +1064,19 @@
}
if (
strategyPhase === 1 &&
(subChannel.direction === 'Down' ||
subChannel.slope === 'Steep' ||
subChannel.slope === 'Extreme'
)
) {
signal = '"Pre-Sell-Cancelled"';
strategyPhase = 0;
}
/* Stop Loss Management */
if (stopLossPhase === 1) {
@@ -1066,7 +1094,7 @@
if (buyOrderPhase === 1) {
buyOrder = band.movingAverage;
buyOrder = band.movingAverage - band.standardDeviation;
}
}
@@ -1176,12 +1204,6 @@
previousStopLoss = stopLoss;
if (band1.movingAverage < band.movingAverage) {
stopLossDecay = stopLossDecay + stopLossDecayIncrement * 2;
} else {
stopLossDecay = stopLossDecay - stopLossDecayIncrement / 2;
}
type = '""';
signal = '""';