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Merge pull request c9s#799 from andycheng123/improve/supertrend-strategy
Improve supertrend strategy
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,65 @@ | ||
| package supertrend | ||
|
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| import ( | ||
| "github.com/c9s/bbgo/pkg/bbgo" | ||
| "github.com/c9s/bbgo/pkg/indicator" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| ) | ||
|
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| type DoubleDema struct { | ||
| Interval types.Interval `json:"interval"` | ||
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| // FastDEMAWindow DEMA window for checking breakout | ||
| FastDEMAWindow int `json:"fastDEMAWindow"` | ||
| // SlowDEMAWindow DEMA window for checking breakout | ||
| SlowDEMAWindow int `json:"slowDEMAWindow"` | ||
| fastDEMA *indicator.DEMA | ||
| slowDEMA *indicator.DEMA | ||
| } | ||
|
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| // getDemaSignal get current DEMA signal | ||
| func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction { | ||
| var demaSignal types.Direction = types.DirectionNone | ||
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| if closePrice > dd.fastDEMA.Last() && closePrice > dd.slowDEMA.Last() && !(openPrice > dd.fastDEMA.Last() && openPrice > dd.slowDEMA.Last()) { | ||
| demaSignal = types.DirectionUp | ||
| } else if closePrice < dd.fastDEMA.Last() && closePrice < dd.slowDEMA.Last() && !(openPrice < dd.fastDEMA.Last() && openPrice < dd.slowDEMA.Last()) { | ||
| demaSignal = types.DirectionDown | ||
| } | ||
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| return demaSignal | ||
| } | ||
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| // preloadDema preloads DEMA indicators | ||
| func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) { | ||
| if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok { | ||
| for i := 0; i < len(*klines); i++ { | ||
| dd.fastDEMA.Update((*klines)[i].GetClose().Float64()) | ||
| } | ||
| } | ||
| if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok { | ||
| for i := 0; i < len(*klines); i++ { | ||
| dd.slowDEMA.Update((*klines)[i].GetClose().Float64()) | ||
| } | ||
| } | ||
| } | ||
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| // setupDoubleDema initializes double DEMA indicators | ||
| func (dd *DoubleDema) setupDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval) { | ||
| dd.Interval = interval | ||
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| // DEMA | ||
| if dd.FastDEMAWindow == 0 { | ||
| dd.FastDEMAWindow = 144 | ||
| } | ||
| dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}} | ||
| dd.fastDEMA.Bind(kLineStore) | ||
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| if dd.SlowDEMAWindow == 0 { | ||
| dd.SlowDEMAWindow = 169 | ||
| } | ||
| dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}} | ||
| dd.slowDEMA.Bind(kLineStore) | ||
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| dd.preloadDema(kLineStore) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,73 @@ | ||
| package supertrend | ||
|
|
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| import ( | ||
| "github.com/c9s/bbgo/pkg/bbgo" | ||
| "github.com/c9s/bbgo/pkg/indicator" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| ) | ||
|
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| // LinGre is Linear Regression baseline | ||
| type LinGre struct { | ||
| types.IntervalWindow | ||
| baseLineSlope float64 | ||
| } | ||
|
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| // Update Linear Regression baseline slope | ||
| func (lg *LinGre) Update(klines []types.KLine) { | ||
| if len(klines) < lg.Window { | ||
| lg.baseLineSlope = 0 | ||
| return | ||
| } | ||
|
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| var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0 | ||
| end := len(klines) - 1 // The last kline | ||
| for i := end; i >= end-lg.Window+1; i-- { | ||
| val := klines[i].GetClose().Float64() | ||
| per := float64(end - i + 1) | ||
| sumX += per | ||
| sumY += val | ||
| sumXSqr += per * per | ||
| sumXY += val * per | ||
| } | ||
| length := float64(lg.Window) | ||
| slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX) | ||
| average := sumY / length | ||
| endPrice := average - slope*sumX/length + slope | ||
| startPrice := endPrice + slope*(length-1) | ||
| lg.baseLineSlope = (length - 1) / (endPrice - startPrice) | ||
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| log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope) | ||
| } | ||
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| func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { | ||
| if lg.Interval != interval { | ||
| return | ||
| } | ||
|
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| lg.Update(window) | ||
| } | ||
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| func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) { | ||
| updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate) | ||
| } | ||
|
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| // GetSignal get linear regression signal | ||
| func (lg *LinGre) GetSignal() types.Direction { | ||
| var lgSignal types.Direction = types.DirectionNone | ||
|
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| switch { | ||
| case lg.baseLineSlope > 0: | ||
| lgSignal = types.DirectionUp | ||
| case lg.baseLineSlope < 0: | ||
| lgSignal = types.DirectionDown | ||
| } | ||
|
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| return lgSignal | ||
| } | ||
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| // preloadLinGre preloads linear regression indicator | ||
| func (lg *LinGre) preload(kLineStore *bbgo.MarketDataStore) { | ||
| if klines, ok := kLineStore.KLinesOfInterval(lg.Interval); ok { | ||
| lg.Update((*klines)[0:]) | ||
| } | ||
| } |
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