Update TradingSimulation.js
This commit is contained in:
Luis Fernando Molina committed
1 parent
8bad05b1de
commit
e3fa8231bf
1 file changed
+158
-152
+158
-152
@@ -93,17 +93,19 @@
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variable.takeProfitPhase = -1
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variable.takeProfitStage = 'No Stage'
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variable.currentStrategy = {
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variable.current = {}
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variable.current.strategy = {
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begin: 0,
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end: 0,
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status: 0,
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number: 0,
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beginRate: 0,
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endRate: 0,
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triggerOnSituation: ''
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situationName: ''
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}
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variable.currentTrade = {
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variable.current.position = {
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begin: 0,
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end: 0,
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status: 0,
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@@ -111,11 +113,11 @@
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exitType: 0,
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beginRate: 0,
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endRate: 0,
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takePositionSituation: ''
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situationName: ''
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}
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variable.balanceBaseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.balanceQuotedAsset = bot.VALUES_TO_USE.initialBalanceB
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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.initialBalanceBaseAsset = bot.VALUES_TO_USE.initialBalanceA
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variable.minimumBalanceBaseAsset = bot.VALUES_TO_USE.minimumBalanceA
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@@ -125,29 +127,33 @@
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variable.minimumBalanceQuotedAsset = bot.VALUES_TO_USE.minimumBalanceB
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variable.maximumBalanceQuotedAsset = bot.VALUES_TO_USE.maximumBalanceB
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variable.lastTradeProfitLoss = 0
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variable.accumulatedProfitLoss = 0
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variable.lastTradeROI = 0
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variable.lastTrade = {
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profitLoss: 0,
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ROI: 0
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}
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variable.episode = {
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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.tradesCount = 0
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variable.fails = 0
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variable.hits = 0
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variable.periods = 0
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variable.positionPeriods = 0
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variable.days = 0
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/* Usefull counters for conditions and formulas */
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variable.distanceToLast = {
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variable.distanceToEvent = {
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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.hitRatio = 0;
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variable.ROI = 0;
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variable.anualizedRateOfReturn = 0;
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variable.announcements = []
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/* Allowing these to be accesible at formulas */
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@@ -315,8 +321,8 @@
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}
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previousLoopingDay = loopingDay.valueOf()
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variable.periods++;
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variable.days = variable.periods * timeFrame / ONE_DAY_IN_MILISECONDS;
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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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if (processingDailyFiles) {
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@@ -329,7 +335,7 @@
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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.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.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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@@ -427,10 +433,10 @@
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/* Default Values*/
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if (variable.baseAsset === variable.marketBaseAsset) {
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positionSize = variable.balanceBaseAsset;
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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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positionSize = variable.balanceQuotedAsset;
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positionSize = variable.current.balance.quotedAsset;
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positionRate = candle.close;
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}
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@@ -450,15 +456,15 @@
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}
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if (isNaN(positionSize)) {
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if (variable.baseAsset === variable.marketBaseAsset) {
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positionSize = variable.balanceBaseAsset;
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positionSize = variable.current.balance.baseAsset;
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} else {
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positionSize = variable.balanceQuotedAsset;
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positionSize = variable.current.balance.quotedAsset;
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}
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} else {
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if (variable.baseAsset === variable.marketBaseAsset) {
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if (positionSize > variable.balanceBaseAsset) { positionSize = variable.balanceBaseAsset }
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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.balanceQuotedAsset) { positionSize = variable.balanceQuotedAsset }
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if (positionSize > variable.current.balance.quotedAsset) { positionSize = variable.current.balance.quotedAsset }
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}
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}
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}
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@@ -901,11 +907,11 @@
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let balance
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if (variable.baseAsset === variable.marketBaseAsset) {
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balance = variable.balanceBaseAsset
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balance = variable.current.balance.baseAsset
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minimumBalance = variable.minimumBalanceBaseAsset
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maximumBalance = variable.maximumBalanceBaseAsset
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} else {
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balance = variable.balanceQuotedAsset
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balance = variable.current.balance.quotedAsset
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minimumBalance = variable.minimumBalanceQuotedAsset
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maximumBalance = variable.maximumBalanceQuotedAsset
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}
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@@ -970,12 +976,12 @@
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checkAnnouncements(triggerStage)
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variable.strategyIndex = j;
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variable.currentStrategy.begin = candle.begin;
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variable.currentStrategy.beginRate = candle.min;
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variable.currentStrategy.endRate = candle.min; // In case the strategy does not get exited
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variable.currentStrategy.triggerOnSituation = situation.name
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variable.current.strategy.begin = candle.begin;
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variable.current.strategy.beginRate = candle.min;
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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.distanceToLast.triggerOn = 1;
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variable.distanceToEvent.triggerOn = 1;
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checkAnnouncements(triggerStage.triggerOn)
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@@ -1020,14 +1026,14 @@
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if (passed) {
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variable.currentStrategy.number = variable.strategyIndex
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variable.currentStrategy.end = candle.end;
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variable.currentStrategy.endRate = candle.min;
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variable.currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.current.strategy.number = variable.strategyIndex
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variable.current.strategy.end = candle.end;
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variable.current.strategy.endRate = candle.min;
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variable.current.strategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
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variable.strategyStage = 'No Stage';
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variable.strategyIndex = -1;
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variable.distanceToLast.triggerOff = 1;
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variable.distanceToEvent.triggerOff = 1;
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checkAnnouncements(triggerStage.triggerOff)
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@@ -1079,7 +1085,7 @@
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variable.takeProfitPhase = 0;
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takePositionNow = true
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variable.currentTrade.takePositionSituation = situation.name
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variable.current.position.situationName = situation.name
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checkAnnouncements(triggerStage.takePosition)
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@@ -1454,27 +1460,27 @@
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/* Keeping Distance Counters Up-to-date */
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if (
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variable.distanceToLast.triggerOn > 0 // with this we avoind counting before the first event happens.
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variable.distanceToEvent.triggerOn > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distanceToLast.triggerOn++;
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variable.distanceToEvent.triggerOn++;
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}
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if (
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variable.distanceToLast.triggerOff > 0 // with this we avoind counting before the first event happens.
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variable.distanceToEvent.triggerOff > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distanceToLast.triggerOff++;
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variable.distanceToEvent.triggerOff++;
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}
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if (
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variable.distanceToLast.takePosition > 0 // with this we avoind counting before the first event happens.
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variable.distanceToEvent.takePosition > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distanceToLast.takePosition++;
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variable.distanceToEvent.takePosition++;
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}
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if (
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variable.distanceToLast.closePosition > 0 // with this we avoind counting before the first event happens.
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variable.distanceToEvent.closePosition > 0 // with this we avoind counting before the first event happens.
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) {
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variable.distanceToLast.closePosition++;
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variable.distanceToEvent.closePosition++;
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}
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/* Checking if Stop or Take Profit were hit */
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@@ -1527,10 +1533,10 @@
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variable.stopLossStage = 'No Stage';
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variable.takeProfitStage = 'No Stage';
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variable.currentTrade.end = candle.end;
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variable.currentTrade.status = 1;
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variable.currentTrade.exitType = 1;
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variable.currentTrade.endRate = closeRate;
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variable.current.position.end = candle.end;
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variable.current.position.status = 1;
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variable.current.position.exitType = 1;
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variable.current.position.endRate = closeRate;
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closePositionNow = true;
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}
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@@ -1575,10 +1581,10 @@
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variable.stopLossStage = 'No Stage';
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variable.takeProfitStage = 'No Stage';
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variable.currentTrade.end = candle.end;
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variable.currentTrade.status = 1;
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variable.currentTrade.exitType = 2;
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variable.currentTrade.endRate = closeRate;
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variable.current.position.end = candle.end;
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variable.current.position.status = 1;
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variable.current.position.exitType = 2;
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variable.current.position.endRate = closeRate;
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closePositionNow = true;
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@@ -1593,7 +1599,7 @@
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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.distanceToLast.takePosition = 1;
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variable.distanceToEvent.takePosition = 1;
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/* Position size and rate */
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let strategy = tradingSystem.strategies[strategyIndex];
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@@ -1611,8 +1617,8 @@
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}
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/* Update the trade record information. */
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variable.currentTrade.begin = candle.begin;
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variable.currentTrade.beginRate = variable.tradePositionRate;
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variable.current.position.begin = candle.begin;
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variable.current.position.beginRate = variable.tradePositionRate;
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/* Check if we need to execute. */
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if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/
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@@ -1691,7 +1697,7 @@
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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.periods <= variable.executionContext.periods) {
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if (variable.episode.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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@@ -1738,7 +1744,7 @@
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variable.executionContext = {
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status: "Taking Position",
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periods: variable.periods,
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periods: variable.episode.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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@@ -1753,7 +1759,7 @@
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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.periods,
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periods: variable.episode.periods,
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amountA: amountA,
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amountB: amountB,
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orderId: order.id
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@@ -1795,11 +1801,11 @@
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calculateTakeProfit();
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calculateStopLoss();
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variable.previousBalanceBaseAsset = variable.balanceBaseAsset;
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variable.previousBalanceQuotedAsset = variable.balanceQuotedAsset;
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variable.previousBalanceBaseAsset = variable.current.balance.baseAsset;
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variable.previousBalanceQuotedAsset = variable.current.balance.quotedAsset;
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variable.lastTradeProfitLoss = 0;
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variable.lastTradeROI = 0;
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variable.lastTrade.profitLoss = 0;
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variable.lastTrade.ROI = 0;
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let feePaid = 0
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@@ -1807,14 +1813,14 @@
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feePaid = variable.tradePositionSize * variable.tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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variable.balanceQuotedAsset = variable.balanceQuotedAsset + variable.tradePositionSize * variable.tradePositionRate - feePaid;
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variable.balanceBaseAsset = variable.balanceBaseAsset - variable.tradePositionSize;
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variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + variable.tradePositionSize * variable.tradePositionRate - feePaid;
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variable.current.balance.baseAsset = variable.current.balance.baseAsset - variable.tradePositionSize;
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} else {
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feePaid = variable.tradePositionSize / variable.tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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variable.balanceBaseAsset = variable.balanceBaseAsset + variable.tradePositionSize / variable.tradePositionRate - feePaid;
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variable.balanceQuotedAsset = variable.balanceQuotedAsset - variable.tradePositionSize;
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variable.current.balance.baseAsset = variable.current.balance.baseAsset + variable.tradePositionSize / variable.tradePositionRate - feePaid;
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variable.current.balance.quotedAsset = variable.current.balance.quotedAsset - variable.tradePositionSize;
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}
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addRecord();
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@@ -1831,7 +1837,7 @@
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closePositionNow = false
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/* Inicializing this counter */
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variable.distanceToLast.closePosition = 1;
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variable.distanceToEvent.closePosition = 1;
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/* Position size and rate */
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let strategy = tradingSystem.strategies[strategyIndex];
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@@ -1886,7 +1892,7 @@
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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.periods <= variable.executionContext.periods) {
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if (variable.episode.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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@@ -1904,22 +1910,22 @@
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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.
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amountA = variable.balanceQuotedAsset
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amountB = variable.balanceQuotedAsset / orderPrice
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amountA = variable.current.balance.quotedAsset
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amountB = variable.current.balance.quotedAsset / orderPrice
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} else {
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orderSide = "sell"
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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.
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amountA = variable.balanceBaseAsset * orderPrice
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amountB = variable.balanceBaseAsset
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amountA = variable.current.balance.baseAsset * orderPrice
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amountB = variable.current.balance.baseAsset
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}
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variable.executionContext = {
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status: "Closing Position",
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periods: variable.periods,
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periods: variable.episode.periods,
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); }
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@@ -1934,7 +1940,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE "); }
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variable.executionContext = {
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status: "Position Closed",
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periods: variable.periods,
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periods: variable.episode.periods,
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amountA: amountA,
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amountB: amountB,
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orderId: order.id
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@@ -1971,56 +1977,56 @@
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function closePositionAtSimulation() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function."); }
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variable.tradesCount++;
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variable.episode.tradesCount++;
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let feePaid = 0
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if (variable.baseAsset === variable.marketBaseAsset) {
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strategy.positionSize = variable.balanceQuotedAsset / closeRate;
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strategy.positionSize = variable.current.balance.quotedAsset / closeRate;
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strategy.positionRate = closeRate;
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feePaid = variable.balanceQuotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = variable.current.balance.quotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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variable.balanceBaseAsset = variable.balanceBaseAsset + variable.balanceQuotedAsset / closeRate - feePaid;
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variable.balanceQuotedAsset = 0;
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variable.current.balance.baseAsset = variable.current.balance.baseAsset + variable.current.balance.quotedAsset / closeRate - feePaid;
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variable.current.balance.quotedAsset = 0;
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} else {
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strategy.positionSize = variable.balanceBaseAsset * closeRate;
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strategy.positionSize = variable.current.balance.baseAsset * closeRate;
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strategy.positionRate = closeRate;
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feePaid = variable.balanceBaseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = variable.current.balance.baseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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variable.balanceQuotedAsset = variable.balanceQuotedAsset + variable.balanceBaseAsset * closeRate - feePaid;
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variable.balanceBaseAsset = 0;
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variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + variable.current.balance.baseAsset * closeRate - feePaid;
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variable.current.balance.baseAsset = 0;
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}
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if (variable.baseAsset === variable.marketBaseAsset) {
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variable.lastTradeProfitLoss = variable.balanceBaseAsset - variable.previousBalanceBaseAsset;
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variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
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if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
|
||||
variable.accumulatedProfitLoss = variable.balanceBaseAsset - variable.initialBalanceBaseAsset;
|
||||
variable.lastTrade.profitLoss = variable.current.balance.baseAsset - variable.previousBalanceBaseAsset;
|
||||
variable.lastTrade.ROI = variable.lastTrade.profitLoss * 100 / variable.tradePositionSize;
|
||||
if (isNaN(lastTradeROI)) { variable.lastTrade.ROI = 0; }
|
||||
variable.episode.profitLoss = variable.current.balance.baseAsset - variable.initialBalanceBaseAsset;
|
||||
} else {
|
||||
variable.lastTradeProfitLoss = variable.balanceQuotedAsset - variable.previousBalanceQuotedAsset;
|
||||
variable.lastTradeROI = variable.lastTradeProfitLoss * 100 / variable.tradePositionSize;
|
||||
if (isNaN(lastTradeROI)) { variable.lastTradeROI = 0; }
|
||||
variable.accumulatedProfitLoss = variable.balanceQuotedAsset - variable.initialBalanceQuotedAsset;
|
||||
variable.lastTrade.profitLoss = variable.current.balance.quotedAsset - variable.previousBalanceQuotedAsset;
|
||||
variable.lastTrade.ROI = variable.lastTrade.profitLoss * 100 / variable.tradePositionSize;
|
||||
if (isNaN(lastTradeROI)) { variable.lastTrade.ROI = 0; }
|
||||
variable.episode.profitLoss = variable.current.balance.quotedAsset - variable.initialBalanceQuotedAsset;
|
||||
}
|
||||
|
||||
variable.currentTrade.lastTradeROI = variable.lastTradeROI;
|
||||
variable.current.position.lastTradeROI = variable.lastTrade.ROI;
|
||||
|
||||
if (variable.lastTradeProfitLoss > 0) {
|
||||
variable.hits++;
|
||||
if (variable.lastTrade.profitLoss > 0) {
|
||||
variable.episode.hits++;
|
||||
} else {
|
||||
variable.fails++;
|
||||
variable.episode.fails++;
|
||||
}
|
||||
|
||||
if (variable.baseAsset === variable.marketBaseAsset) {
|
||||
variable.ROI = (variable.initialBalanceBaseAsset + variable.accumulatedProfitLoss) / variable.initialBalanceBaseAsset - 1;
|
||||
variable.hitRatio = variable.hits / variable.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.ROI / variable.days * 365;
|
||||
variable.episode.ROI = (variable.initialBalanceBaseAsset + variable.episode.profitLoss) / variable.initialBalanceBaseAsset - 1;
|
||||
variable.episode.hitRatio = variable.episode.hits / variable.episode.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.episode.ROI / variable.episode.days * 365;
|
||||
} else {
|
||||
variable.ROI = (variable.initialBalanceQuotedAsset + variable.accumulatedProfitLoss) / variable.initialBalanceQuotedAsset - 1;
|
||||
variable.hitRatio = variable.hits / variable.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.ROI / variable.days * 365;
|
||||
variable.episode.ROI = (variable.initialBalanceQuotedAsset + variable.episode.profitLoss) / variable.initialBalanceQuotedAsset - 1;
|
||||
variable.episode.hitRatio = variable.episode.hits / variable.episode.tradesCount;
|
||||
variable.anualizedRateOfReturn = variable.episode.ROI / variable.episode.days * 365;
|
||||
}
|
||||
|
||||
addRecord();
|
||||
@@ -2047,16 +2053,16 @@
|
||||
if (variable.strategyStage === 'Close Stage') {
|
||||
if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
|
||||
|
||||
variable.currentStrategy.number = variable.strategyIndex
|
||||
variable.currentStrategy.end = candle.end;
|
||||
variable.currentStrategy.endRate = candle.min;
|
||||
variable.currentStrategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
|
||||
variable.current.strategy.number = variable.strategyIndex
|
||||
variable.current.strategy.end = candle.end;
|
||||
variable.current.strategy.endRate = candle.min;
|
||||
variable.current.strategy.status = 1; // This means the strategy is closed, i.e. that has a begin and end.
|
||||
|
||||
variable.strategyIndex = -1;
|
||||
variable.strategyStage = 'No Stage';
|
||||
|
||||
timerToCloseStage = 0
|
||||
variable.distanceToLast.triggerOff = 1;
|
||||
variable.distanceToEvent.triggerOff = 1;
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage."); }
|
||||
} else {
|
||||
@@ -2075,32 +2081,32 @@
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> addRecord -> Entering function."); }
|
||||
let simulationRecord;
|
||||
|
||||
if (variable.balanceBaseAsset === Infinity) {
|
||||
variable.balanceBaseAsset = Number.MAX_SAFE_INTEGER
|
||||
if (variable.current.balance.baseAsset === Infinity) {
|
||||
variable.current.balance.baseAsset = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
if (variable.balanceQuotedAsset === Infinity) {
|
||||
variable.balanceQuotedAsset = Number.MAX_SAFE_INTEGER
|
||||
if (variable.current.balance.quotedAsset === Infinity) {
|
||||
variable.current.balance.quotedAsset = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
simulationRecord = {
|
||||
begin: candle.begin,
|
||||
end: candle.end,
|
||||
balanceBaseAsset: variable.balanceBaseAsset,
|
||||
balanceQuotedAsset: variable.balanceQuotedAsset,
|
||||
accumulatedProfitLoss: variable.accumulatedProfitLoss,
|
||||
lastTradeProfitLoss: variable.lastTradeProfitLoss,
|
||||
balanceBaseAsset: variable.current.balance.baseAsset,
|
||||
balanceQuotedAsset: variable.current.balance.quotedAsset,
|
||||
accumulatedProfitLoss: variable.episode.profitLoss,
|
||||
lastTradeProfitLoss: variable.lastTrade.profitLoss,
|
||||
stopLoss: variable.stopLoss,
|
||||
tradesCount: variable.tradesCount,
|
||||
hits: variable.hits,
|
||||
fails: variable.fails,
|
||||
hitRatio: variable.hitRatio,
|
||||
ROI: variable.ROI,
|
||||
periods: variable.periods,
|
||||
days: variable.days,
|
||||
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,
|
||||
positionRate: variable.tradePositionRate,
|
||||
lastTradeROI: variable.lastTradeROI,
|
||||
lastTradeROI: variable.lastTrade.ROI,
|
||||
strategy: variable.strategyIndex,
|
||||
takeProfit: variable.takeProfit,
|
||||
stopLossPhase: variable.stopLossPhase,
|
||||
@@ -2118,10 +2124,10 @@
|
||||
marketQuotedAsset: '"' + variable.marketQuotedAsset + '"' ,
|
||||
positionPeriods: variable.positionPeriods,
|
||||
positionDays: variable.positionDays,
|
||||
distanceToLastTriggerOn: variable.distanceToLast.triggerOn,
|
||||
distanceToLastTriggerOff: variable.distanceToLast.triggerOff,
|
||||
distanceToLastTakePosition: variable.distanceToLast.takePosition,
|
||||
distanceToLastClosePosition: variable.distanceToLast.closePosition
|
||||
distanceToEventTriggerOn: variable.distanceToEvent.triggerOn,
|
||||
distanceToEventTriggerOff: variable.distanceToEvent.triggerOff,
|
||||
distanceToEventTakePosition: variable.distanceToEvent.takePosition,
|
||||
distanceToEventClosePosition: variable.distanceToEvent.closePosition
|
||||
}
|
||||
|
||||
recordsArray.push(simulationRecord);
|
||||
@@ -2141,24 +2147,24 @@
|
||||
Lets see if there will be an open strategy ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (currentStrategy.begin !== 0 && variable.currentStrategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
variable.currentStrategy.status = 2; // This means the strategy is open, i.e. that has a begin but no end.
|
||||
variable.currentStrategy.end = candle.end
|
||||
if (currentStrategy.begin !== 0 && variable.current.strategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
variable.current.strategy.status = 2; // This means the strategy is open, i.e. that has a begin but no end.
|
||||
variable.current.strategy.end = candle.end
|
||||
}
|
||||
|
||||
/* Prepare the information for the Strategies File*/
|
||||
if (currentStrategy.begin !== 0 && variable.currentStrategy.end !== 0)
|
||||
if (currentStrategy.begin !== 0 && variable.current.strategy.end !== 0)
|
||||
{
|
||||
strategiesArray.push(currentStrategy);
|
||||
|
||||
variable.currentStrategy = {
|
||||
variable.current.strategy = {
|
||||
begin: 0,
|
||||
end: 0,
|
||||
status: 0,
|
||||
number: 0,
|
||||
beginRate: 0,
|
||||
endRate: 0,
|
||||
triggerOnSituation: ''
|
||||
situationName: ''
|
||||
}
|
||||
}
|
||||
|
||||
@@ -2166,27 +2172,27 @@
|
||||
Lets see if there will be an open trade ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (variable.currentTrade.begin !== 0 && variable.currentTrade.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
variable.currentTrade.status = 2; // This means the trade is open
|
||||
variable.currentTrade.end = candle.end
|
||||
variable.currentTrade.endRate = candle.close
|
||||
if (variable.current.position.begin !== 0 && variable.current.position.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
variable.current.position.status = 2; // This means the trade is open
|
||||
variable.current.position.end = candle.end
|
||||
variable.current.position.endRate = candle.close
|
||||
|
||||
/* Here we will calculate the ongoing variable.ROI */
|
||||
/* Here we will calculate the ongoing variable.episode.ROI */
|
||||
if (variable.baseAsset === variable.marketBaseAsset) {
|
||||
variable.currentTrade.lastTradeROI = (tradePositionRate - candle.close) / variable.tradePositionRate * 100
|
||||
variable.current.position.lastTradeROI = (tradePositionRate - candle.close) / variable.tradePositionRate * 100
|
||||
} else {
|
||||
variable.currentTrade.lastTradeROI = (candle.close - variable.tradePositionRate) / variable.tradePositionRate * 100
|
||||
variable.current.position.lastTradeROI = (candle.close - variable.tradePositionRate) / variable.tradePositionRate * 100
|
||||
}
|
||||
}
|
||||
|
||||
/* Prepare the information for the Trades File */
|
||||
if (variable.currentTrade.begin !== 0 && variable.currentTrade.end !== 0) {
|
||||
if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) {
|
||||
|
||||
variable.currentTrade.profit = variable.lastTradeProfitLoss;
|
||||
variable.current.position.profit = variable.lastTrade.profitLoss;
|
||||
|
||||
tradesArray.push(variable.currentTrade);
|
||||
tradesArray.push(variable.current.position);
|
||||
|
||||
variable.currentTrade = {
|
||||
variable.current.position = {
|
||||
begin: 0,
|
||||
end: 0,
|
||||
status: 0,
|
||||
@@ -2194,7 +2200,7 @@
|
||||
exitType: 0,
|
||||
beginRate: 0,
|
||||
endRate: 0,
|
||||
takePositionSituation: ''
|
||||
situationName: ''
|
||||
}
|
||||
}
|
||||
|
||||
@@ -2225,7 +2231,7 @@
|
||||
}
|
||||
}
|
||||
|
||||
if (variable.periods > lastPeriodAnnounced) {
|
||||
if (variable.episode.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. */
|
||||
@@ -2253,12 +2259,12 @@
|
||||
|
||||
/* 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.periods
|
||||
newAnnouncementRecord.periods = variable.episode.periods
|
||||
newAnnouncementRecord.value = value
|
||||
} else {
|
||||
newAnnouncementRecord = {
|
||||
key: key,
|
||||
periods: variable.periods,
|
||||
periods: variable.episode.periods,
|
||||
value: value
|
||||
}
|
||||
variable.announcements.push(newAnnouncementRecord)
|
||||
|
||||
Reference in new issue
Block a user