First Implementation of simulation logic in a constant
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Luis Fernando Molina committed
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-63
+106
-63
@@ -785,7 +785,7 @@
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/* Strategy and Phases */
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let strategy = 0;
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let strategyNumber = 0;
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let strategyPhase = 0; // So far we will consider 5 possible phases: 0 = Initial state, 1 = Signal to buy, 2 = Buy, 3 = After Buy, 4 = Sell.
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/* Stop Loss Management */
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@@ -832,6 +832,59 @@
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let initialBuffer = 3;
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let conditionsHeadersSent = false;
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const simulationLogic = {
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strategies: [
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{
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name: "Trend Following",
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entryPoint: {
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situations: [
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{
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name: "Price Collapsing",
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conditions: [
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{
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name: "%B Moving Average going up",
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code: "percentageBandwidth2.movingAverage > percentageBandwidth1.movingAverage && percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage"
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},
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{
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name: "%B Bandwidth going up",
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code: "percentageBandwidth2.bandwidth < percentageBandwidth1.bandwidth && percentageBandwidth1.bandwidth < percentageBandwidth.bandwidth"
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},
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{
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name: "Candles Min going down",
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code: "candles[i - 2].min > candles[i - 1].min && candles[i - 1].min > candle.min"
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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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{
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name: "Range Trading",
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entryPoint: {
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situations: [
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{
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name: "Gentle Up Trend",
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conditions: [
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{
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name: "Sub-Channel going up",
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code: "subChannel.direction === 'Up'"
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},
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{
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name: "Sub-Channel Side|Gentle|Medium",
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code: "subChannel.slope === 'Side' || subChannel.slope === 'Gentle' || subChannel.slope === 'Medium'"
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},
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{
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name: "Candle Close above Lower Band",
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code: "candle.close > 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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]
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};
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/* Main Simulation Loop: We go thourgh all the candles at this time period. */
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for (let i = 0 + initialBuffer; i < candles.length; i++) {
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@@ -865,56 +918,37 @@
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conditionsArrayRecord.push(candle.begin);
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conditionsArrayRecord.push(candle.end);
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newCondition(
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"%B Moving Average going up",
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(percentageBandwidth2.movingAverage > percentageBandwidth1.movingAverage &&
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percentageBandwidth1.movingAverage > percentageBandwidth.movingAverage)
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);
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for (let j = 0; j < simulationLogic.strategies.length; j++) {
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newCondition(
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"%B Bandwidth going up",
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(percentageBandwidth2.bandwidth < percentageBandwidth1.bandwidth &&
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percentageBandwidth1.bandwidth < percentageBandwidth.bandwidth)
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);
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let strategy = simulationLogic.strategies[j];
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newCondition(
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"Candles Min going down",
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(candles[i - 2].min > candles[i - 1].min &&
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candles[i - 1].min > candle.min)
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);
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for (let k = 0; k < strategy.entryPoint.situations.length; k++) {
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newCondition(
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"Sub-Channel going up",
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(subChannel.direction === 'Up')
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);
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let situation = strategy.entryPoint.situations[k];
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newCondition(
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"Sub-Channel Side|Gentle|Medium",
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(
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subChannel.slope === 'Side' ||
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subChannel.slope === 'Gentle' ||
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subChannel.slope === 'Medium'
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)
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);
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for (let m = 0; m < situation.conditions.length; m++) {
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newCondition(
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"Candle Close above Lower Band",
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(candle.close > band.movingAverage + band.deviation)
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);
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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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function newCondition(name, value) {
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newCondition(key, condition.code);
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}
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}
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}
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function newCondition(key, code) {
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let condition;
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condition = {
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name: name,
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value: value
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key: key,
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value: eval(code)
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};
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conditions.set(condition.name, condition);
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conditions.set(condition.key, condition);
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if (conditionsHeadersSent === false) {
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conditionsArrayRecord.push('"' + condition.name + '"');
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conditionsArrayRecord.push('"' + condition.key + '"');
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} else {
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if (condition.value) {
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conditionsArrayRecord.push(1);
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@@ -928,7 +962,7 @@
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/* While we are outside all strategies, we evaluate whether it is time to enter one or not. */
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if (strategy === 0 &&
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if (strategyNumber === 0 &&
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balanceAssetA > minimunBalanceA) {
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/*
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@@ -942,29 +976,38 @@
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*/
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/* Strategy 1 Entering Condition */
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checkEntryPoints();
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if (
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strategyPhase === 0 &&
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conditions.get("%B Moving Average going up").value &&
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conditions.get("%B Bandwidth going up").value &&
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conditions.get("Candles Min going down").value
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) {
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strategyPhase = 1;
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strategy = 1;
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function checkEntryPoints() {
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};
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for (let j = 0; j < simulationLogic.strategies.length; j++) {
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/* Strategy 2 Entering Condition */
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let strategy = simulationLogic.strategies[j];
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if (
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strategyPhase === 0 &&
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conditions.get("Sub-Channel going up").value &&
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conditions.get("Sub-Channel Side|Gentle|Medium").value &&
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conditions.get("Candle Close above Lower Band").value
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) {
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strategyPhase = 1;
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strategy = 2;
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for (let k = 0; k < strategy.entryPoint.situations.length; k++) {
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let situation = strategy.entryPoint.situations[k];
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let passed = true;
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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 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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strategyPhase = 1;
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strategyNumber = j + 1;
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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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}
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@@ -1000,7 +1043,7 @@
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if (strategyPhase < 4) { // When a buy condition has not been detected yet.
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if (strategy === 1) {
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if (strategyNumber === 1) {
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/* Strategy #1: Trend Following. */
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@@ -1029,7 +1072,7 @@
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candle.close > band.movingAverage
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) {
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strategyPhase = 0;
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strategy = 0;
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strategyNumber = 0;
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};
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/* Sell Condition #1 */
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@@ -1186,7 +1229,7 @@
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}
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}
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if (strategy === 2) {
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if (strategyNumber === 2) {
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/* Strategy #2: Range Trading. */
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@@ -1211,7 +1254,7 @@
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) {
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strategyPhase = 0;
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strategy = 0;
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strategyNumber = 0;
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}
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@@ -1306,7 +1349,7 @@
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addRecord();
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strategy = 0;
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strategyNumber = 0;
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stopLoss = 0;
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sellRate = 0;
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buyOrder = 0;
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@@ -1346,7 +1389,7 @@
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anualizedRateOfReturn: anualizedRateOfReturn,
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sellRate: sellRate,
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lastProfitPercent: lastProfitPercent,
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strategy: strategy,
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strategy: strategyNumber,
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strategyPhase: strategyPhase,
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buyOrder: buyOrder,
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stopLossPhase: stopLossPhase,
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