Stop Loss at simulation logic
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Luis Fernando Molina committed
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1b50d14ba2
commit
ac898ea274
1 file changed
+142
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+142
-25
@@ -883,6 +883,50 @@
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]
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}
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]
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},
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stopLoss: {
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phases: [
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{
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name: "Following Sell Rate",
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code: "newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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{
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name: "Candle below Moving Average",
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conditions: [
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{
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name: "Candle fully below Band Moving Average",
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code: "candle.max < band.movingAverage"
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},
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{
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name: "Band Moving Average going down",
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code: "band1.movingAverage > band.movingAverage"
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}
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]
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}
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]
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},
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{
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name: "Above Bands Moving Average",
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code: "newStopLoss = band.movingAverage + band.movingAverage * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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{
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name: "Candle below Moving Average",
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conditions: [
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{
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name: "Candle MAX below lower band",
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code: "candle.max < band.movingAverage - band.deviation"
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}
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]
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}
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]
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},
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{
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name: "At Bands Moving Average",
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code: "newStopLoss = band.movingAverage",
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situations: [
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]
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}
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]
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}
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},
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{
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@@ -937,6 +981,16 @@
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]
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}
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]
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},
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stopLoss: {
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phases: [
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{
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name: "Following Sell Rate",
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code: "newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100",
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situations: [
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]
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}
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]
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}
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}
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];
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@@ -985,7 +1039,7 @@
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m];
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let key = strategy.name + '-' + situation.name + '-' + condition.name
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let key = strategy.name + '-' + situation.name + '-' + condition.name;
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newCondition(key, condition.code);
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}
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@@ -998,7 +1052,7 @@
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m];
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let key = strategy.name + '-' + situation.name + '-' + condition.name
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let key = strategy.name + '-' + situation.name + '-' + condition.name;
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newCondition(key, condition.code);
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}
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@@ -1011,11 +1065,29 @@
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m];
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let key = strategy.name + '-' + situation.name + '-' + condition.name
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let key = strategy.name + '-' + situation.name + '-' + condition.name;
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newCondition(key, condition.code);
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}
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}
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for (let p = 0; p < strategy.stopLoss.phases.length; p++) {
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let phase = strategy.stopLoss.phases[p];
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for (let k = 0; k < phase.situations.length; k++) {
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let situation = phase.situations[k];
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m];
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let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name;
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newCondition(key, condition.code);
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}
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}
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}
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}
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function newCondition(key, code) {
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@@ -1123,6 +1195,36 @@
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}
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}
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if (strategyPhase === 3) {
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/* Checking what happened since the last execution. We need to know if the Stop Loss
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or our Buy Order were hit. */
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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if (candle.max >= stopLoss) {
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balanceAssetA = balanceAssetB / stopLoss;
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balanceAssetB = 0;
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rate = stopLoss;
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type = '"Buy@StopLoss"';
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strategyPhase = 4;
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}
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/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
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if (candle.min <= buyOrder) {
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balanceAssetA = balanceAssetB / buyOrder;
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balanceAssetB = 0;
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rate = buyOrder;
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type = '"Buy@BuyOrder"';
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strategyPhase = 4;
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}
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}
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/* Strategy Sell Condition */
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if (strategyPhase === 1) {
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@@ -1162,33 +1264,48 @@
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}
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}
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/* Stop Loss Management */
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if (strategyPhase === 3) {
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/* Checking what happened since the last execution. We need to know if the Stop Loss
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or our Buy Order were hit. */
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checkStopLoss();
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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function checkStopLoss() {
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if (candle.max >= stopLoss) {
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let strategy = simulationLogic.strategies[strategyNumber - 1];
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let phase = strategy.stopLoss.phases[stopLossPhase - 1];
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balanceAssetA = balanceAssetB / stopLoss;
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eval(phase.code); // Here is where we apply the formula given for the stop loss for this phase.
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balanceAssetB = 0;
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rate = stopLoss;
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type = '"Buy@StopLoss"';
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strategyPhase = 4;
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}
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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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/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
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for (let k = 0; k < phase.situations.length; k++) {
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if (candle.min <= buyOrder) {
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let situation = phase.situations[k];
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let passed = true;
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balanceAssetA = balanceAssetB / buyOrder;
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for (let m = 0; m < situation.conditions.length; m++) {
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balanceAssetB = 0;
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rate = buyOrder;
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type = '"Buy@BuyOrder"';
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strategyPhase = 4;
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let condition = situation.conditions[m];
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let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name
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let value = conditions.get(key).value;
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if (value === false) { passed = false; }
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}
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if (passed) {
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stopLossPhase++;
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return;
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}
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}
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}
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}
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@@ -1217,7 +1334,7 @@
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*/
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/* Stop Loss Management */
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/*
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if (stopLossPhase === 3) {
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newStopLoss = band.movingAverage;
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@@ -1260,7 +1377,7 @@
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stopLossDecay = stopLossDecay - stopLossDecayIncrement / 2;
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}
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newStopLoss = newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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if (newStopLoss < previousStopLoss) {
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stopLoss = newStopLoss;
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@@ -1278,7 +1395,7 @@
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}
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}
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*/
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/* Buy Orders Management */
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if (buyOrderPhase === 5) {
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@@ -1355,7 +1472,7 @@
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/* Stop Loss Management */
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/*
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if (stopLossPhase === 1) {
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newStopLoss = newStopLoss = sellRate + sellRate * (stopLossPercentage - stopLossDecay) / 100;
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@@ -1366,7 +1483,7 @@
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stopLoss = previousStopLoss;
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}
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}
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*/
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/* Buy Orders Management */
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if (buyOrderPhase === 1) {
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