Timeframes.js

README.md

@@ -1,27 +1,6 @@
-# Gekko [![npm](https://img.shields.io/npm/dm/gekko.svg)]() [![Build Status](https://travis-ci.org/askmike/gekko.png)](https://travis-ci.org/askmike/gekko) [![Build status](https://ci.appveyor.com/api/projects/status/github/askmike/gekko?branch=stable&svg=true)](https://ci.appveyor.com/project/askmike/gekko)
+My mods to the Gekko trading platform
 
-![Gordon Gekko](http://mikevanrossum.nl/static/gekko.jpg)
+config/strategies/timeframes.toml
+strategies/timeframes.js
 
-*The most valuable commodity I know of is information.*
-
--Gordon Gekko
-
-Gekko is a Bitcoin TA trading and backtesting platform that connects to popular Bitcoin exchanges. It is written in JavaScript and runs on [Node.js](http://nodejs.org).
-
-*Use Gekko at your own risk.*
-
-## Documentation
-
-See [the documentation website](https://gekko.wizb.it/docs/introduction/about_gekko.html).
-
-## Installation & Usage
-
-See [the installing Gekko doc](https://gekko.wizb.it/docs/installation/installing_gekko.html).
-
-## Community & Support
-
-Gekko has [a forum](https://forum.gekko.wizb.it/) that is the place for discussions on using Gekko, autometed trading and exchanges. In case you rather want to chat in realtime about Gekko feel free to join the [Gekko Support Discord](https://discord.gg/26wMygt).
-
-## Final
-
-If Gekko helped you in any way, you can always leave me a tip at (BTC) 13r1jyivitShUiv9FJvjLH7Nh1ZZptumwW
+Demonstrates using candleBatcher to create strategy that operates on multiple timeframes

config/strategies/timeframes.toml

@@ -0,0 +1,4 @@
+stopBuffer = 0.015
+profitRatio = 1.5
+lowCross = -20
+highCross = 20

strategies/timeframes.js

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+// skeleton example of strategy that operates on multiple timeframes
+//
+// this is not intended to be an example of a clever or profitable trading strategy!
+//
+// zappra  28/03/18
+
+var log = require('../core/log');
+var util = require('../core/util.js');
+var config = util.getConfig();
+
+const CandleBatcher = require('../core/candleBatcher');
+var MACD = require('../strategies/indicators/MACD.js');
+
+/////////////////////////////////////////////////////////////////////
+var strat = {};
+
+/////////////////////////////////////////////////////////////////////
+strat.init = function() {
+
+  log.debug('Initialising multi timeframe strategy');
+  log.debug('stopBuffer=' + this.settings.stopBuffer + ' profitRatio=' + this.settings.profitRatio);
+
+  // since we're relying on batching 1 minute candles into 15 and 30 minute candles
+  // lets throw if the settings are wrong
+  if (config.tradingAdvisor.candleSize !== 1) {
+    throw "This strategy must run with candleSize=1";
+  }
+
+  // create candle batchers for 15 and 30 minute candles
+  // 15 x 1 minute candle
+  this.batcher15 = new CandleBatcher(15);
+  // 2 x 15 minute candle
+  this.batcher30 = new CandleBatcher(2);
+
+  // supply callbacks for 15 and 30 minute candle functions
+  this.batcher15.on('candle', this.update15);
+  this.batcher30.on('candle', this.update30);
+
+  // indicators
+  var macdParams = {
+    long: 26,
+    short: 12,
+    signal: 9,
+  };
+
+  // gekko will be running on 1 minute timeline internally
+  // so we create and maintain indicators manually in order to update them at correct time
+  // rather than using this.addIndicator
+  this.macd15 = new MACD(macdParams);
+  this.lastResult15 = -1;
+  this.macd30 = new MACD(macdParams);
+  this.lastResult30 = -1;
+
+  // set some initial state
+  this.hodling = false;
+}
+
+/////////////////////////////////////////////////////////////////////
+strat.update = function(candle) {
+  // reset the buy/sell flags before updating
+  this.shouldBuy = false;
+  this.shouldSell = false;
+
+  // do 1 minute processing
+  this.lastPrice = candle.close;
+
+  // update stop and take profit, if applicable
+  if (this.hodling) { 
+      if (candle.close < this.stop) {
+        log.debug('Stop loss triggered - stop loss is ' + this.stop + ', last closing price was ' + candle.close);
+        this.shouldSell = true;
+      }
+      else if (candle.close > this.takeProfit) {
+        log.debug('Taking profit!');
+        this.shouldSell = true;
+      }
+  }
+
+  // write 1 minute candle to 15 minute batcher
+  this.batcher15.write([candle]);
+
+}
+
+/////////////////////////////////////////////////////////////////////
+strat.update15 = function(candle) {
+  // do 15 minute processing
+  this.macd15.update(candle.close);
+
+  // we sell on bearish crossover of high divergence threshold on 15 minute MACD
+  // in the unlikely event that stop loss/take profit didn't trigger
+  var result = this.macd15.result;
+  var cross = this.settings.highCross;
+  if (this.lastResult15 != -1 && this.hodling && result < cross && this.lastResult15 >= cross) {
+      log.debug('Bearish crossover detected on 15 minute MACD');
+      this.shouldSell = true;
+  }
+  this.lastResult15 = result;
+
+  // write 15 minute candle to 30 minute batcher
+  this.batcher30.write([candle]);
+}
+
+/////////////////////////////////////////////////////////////////////
+strat.update30 = function(candle) {
+  // do 30 minute processing
+  this.macd30.update(candle.close);
+
+  // we buy on bullish crossover of low divergence threshold on 30 minute MACD
+  var result = this.macd30.result;
+  var cross = this.settings.lowCross;
+  if (this.lastResult30 != -1 && !this.hodling && result >= cross && this.lastResult30 < cross) {
+      log.debug('Bullish crossover detected on 30 minute MACD');
+      this.shouldBuy = true;
+  }
+  this.lastResult30 = result;
+}
+
+//////////////////////////////////////////////////////////////////////
+strat.check = function() {
+
+    // check for flags set in update functions, and buy/sell accordingly
+    if (!this.hodling && this.shouldBuy) {
+        // buy!
+        log.debug('Buying at ' + this.lastPrice);
+        this.advice('long');
+        this.hodling = true;
+        // setup stop loss and take profit prices
+        var stopDistance = this.lastPrice * this.settings.stopBuffer;
+        this.stop = this.lastPrice - stopDistance;
+        this.takeProfit = this.lastPrice + stopDistance * this.settings.profitRatio;
+        log.debug('Setting stop=' + this.stop + ' and takeProfit=' + this.takeProfit);
+    }
+    else if (this.hodling && this.shouldSell) {
+        // sell!
+        log.debug('Selling at ' + this.lastPrice);
+        this.advice('short');
+        this.hodling = false;
+    }
+}
+
+module.exports = strat;