Buy order added to simulation logic
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Luis Fernando Molina committed
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+103
-104
@@ -805,8 +805,7 @@
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let buyOrderPercentage = 1;
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let previousBuyOrder = 0;
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let buyOrder = 0;
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let buyOrderDecay = 0;
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let buyOrderDecayIncrement = 0.01;
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let buyOrderDecay = 0;
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let buyOrderPhase = 0;
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/* Building records */
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@@ -931,15 +930,19 @@
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buyOrder: {
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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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name: "12 times standard deviation",
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code: "buyOrder = band.movingAverage - band.standardDeviation * 12",
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situations: [
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{
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name: "Candle below Moving Average",
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name: "Candle cut by lower band",
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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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name: "Max above 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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name: "MIN below lower band",
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code: "candle.min < band.movingAverage - band.deviation"
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},
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{
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name: "Band Moving Average going down",
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@@ -950,23 +953,61 @@
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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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name: "10 times standard deviation",
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code: "buyOrder = band.movingAverage - band.standardDeviation * 10",
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situations: [
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{
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name: "Candle below Moving Average",
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name: "%B starting to revert",
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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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name: "%B Moving Average going up",
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code: "percentageBandwidth1.movingAverage < percentageBandwidth.movingAverage"
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},
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{
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name: "%B Moving Average above 0",
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code: "percentageBandwidth.movingAverage > 0"
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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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name: "4 times standard deviation",
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code: "buyOrder = band.movingAverage - band.standardDeviation * 4",
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situations: [
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{
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name: "%B going down again",
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conditions: [
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{
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name: "%B Moving Average going down",
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code: "percentageBandwidth1.movingAverage > percentageBandwidth.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: "3 times standard deviation",
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code: "buyOrder = band.movingAverage - band.standardDeviation * 3",
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situations: [
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{
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name: "%B going up and above 30",
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conditions: [
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{
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name: "%B Moving Average going up",
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code: "percentageBandwidth1.movingAverage < percentageBandwidth.movingAverag"
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},
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{
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name: "%B Moving Average above 30",
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code: "percentageBandwidth.movingAverage > 30"
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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 lower band",
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code: "buyOrder = band.movingAverage - band.standardDeviation * 2",
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situations: [
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]
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}
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@@ -1035,6 +1076,16 @@
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]
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}
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]
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},
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buyOrder: {
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phases: [
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{
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name: "Between Band Moving Average and Lower Band",
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code: "buyOrder = band.movingAverage - band.standardDeviation",
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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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@@ -1132,6 +1183,24 @@
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}
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}
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}
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for (let p = 0; p < strategy.buyOrder.phases.length; p++) {
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let phase = strategy.buyOrder.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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@@ -1353,112 +1422,42 @@
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}
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}
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if (strategyPhase < 4) { // When a buy condition has not been detected yet.
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/* Buy Order Management */
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if (strategyNumber === 1) {
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if (strategyPhase === 3) {
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/* Strategy #1: Trend Following. */
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checkBuyOrder();
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/*
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Strategy Summary:
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Once Percentage Bandwidth (PB) moving average is going down 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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Once the band's moving average starts going down we Sell and we set the stop loss,
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which initially is static or going down if the prices starts going up too.
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Once the candles minimun goes out of the lower Bollinger band, we enter into stop loss
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trailing mode, which means that the stop loss will follow the band's moving average
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from there on, getting closer or farther from it depending on the slope of the moving average
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itself.
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*/
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function checkBuyOrder() {
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/* Buy Orders Management */
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let strategy = simulationLogic.strategies[strategyNumber - 1];
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if (buyOrderPhase === 5) {
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let phase = strategy.buyOrder.phases[buyOrderPhase - 1];
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buyOrder = band.movingAverage - band.standardDeviation * 2;
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eval(phase.code); // Here is where we apply the formula given for the buy order at this phase.
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}
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for (let k = 0; k < phase.situations.length; k++) {
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if (buyOrderPhase === 4) {
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let situation = phase.situations[k];
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let passed = true;
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buyOrder = band.movingAverage - band.standardDeviation * 3;
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for (let m = 0; m < situation.conditions.length; m++) {
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if (
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percentageBandwidth1.movingAverage < percentageBandwidth.movingAverage &&
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percentageBandwidth.movingAverage > 30
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) {
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buyOrderPhase = 5;
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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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}
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if (buyOrderPhase === 3) {
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if (passed) {
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buyOrder = band.movingAverage - band.standardDeviation * 4;
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buyOrderPhase++;
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if (percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage) {
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buyOrderPhase = 4;
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return;
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}
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}
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if (buyOrderPhase === 2) {
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buyOrder = band.movingAverage - band.standardDeviation * 10;
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if (
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percentageBandwidth1.movingAverage < percentageBandwidth.movingAverage &&
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percentageBandwidth.movingAverage > 0
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) {
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buyOrderPhase = 3;
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}
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}
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if (buyOrderPhase === 1) {
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buyOrderDecay = buyOrderDecay + buyOrderDecayIncrement;
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buyOrder = band.movingAverage - band.standardDeviation * 10; //+ band.movingAverage - band.standardDeviation * 4 * (buyOrderPercentage + buyOrderDecay) / 100;
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if (
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strategyPhase === 3 &&
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candle.max < band.movingAverage &&
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band1.movingAverage > band.movingAverage &&
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candle.min < band.movingAverage - band.deviation
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) {
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buyOrderPhase = 2;
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}
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}
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}
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if (strategyNumber === 2) {
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/* Strategy #2: Range Trading. */
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/*
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Strategy Summary:
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Once the candles maximun gets above the Bollinger Upper Band we wait until the B% moving average points
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downward and then we Sell.
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We keep our buy order just below the the Bollinger Bands moving average.
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*/
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/* Buy Orders Management */
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if (buyOrderPhase === 1) {
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buyOrder = band.movingAverage - band.standardDeviation;
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}
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}
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}
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