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Create BB strategy #1623

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Create BB strategy #1623

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47f24ee
Create BB strategy
okibcn Jan 3, 2018
1c7de10
Create BB.js
okibcn Jan 3, 2018
64aa22a
Create BB.toml
okibcn Jan 3, 2018
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4 changes: 4 additions & 0 deletions config/strategies/BB.toml
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[bbands]
TimePeriod = 20
NbDevUp = 2.25
NbDevDn = 2
94 changes: 94 additions & 0 deletions strategies/BB.js
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/*

BB strategy - okibcn 2018-01-03

*/
// helpers
var _ = require('lodash');
var log = require('../core/log.js');

var BB = require('./indicators/BB.js');

// let's create our own method
var method = {};

// prepare everything our method needs
method.init = function() {
this.name = 'BB';
this.nsamples = 0;
this.trend = {
zone: 'none', // none, top, high, low, bottom
duration: 0,
persisted: false
};

this.requiredHistory = this.tradingAdvisor.historySize;

// define the indicators we need
this.addIndicator('bb', 'BB', this.settings.bbands);
}


// for debugging purposes log the last
// calculated parameters.
method.log = function(candle) {
var digits = 8;
var BB = this.indicators.bb;
//BB.lower; BB.upper; BB.middle are your line values

log.debug('______________________________________');
log.debug('calculated BB properties for candle ',this.nsamples);

if (BB.upper>candle.close) log.debug('\t', 'Upper BB:', BB.upper.toFixed(digits));
if (BB.middle>candle.close) log.debug('\t', 'Mid BB:', BB.middle.toFixed(digits));
if (BB.lower>=candle.close) log.debug('\t', 'Lower BB:', BB.lower.toFixed(digits));
log.debug('\t', 'price:', candle.close.toFixed(digits));
if (BB.upper<=candle.close) log.debug('\t', 'Upper BB:', BB.upper.toFixed(digits));
if (BB.middle<=candle.close) log.debug('\t', 'Mid BB:', BB.middle.toFixed(digits));
if (BB.lower<candle.close) log.debug('\t', 'Lower BB:', BB.lower.toFixed(digits));
log.debug('\t', 'Band gap: ', BB.upper.toFixed(digits) - BB.lower.toFixed(digits));
}

method.check = function(candle) {
var BB = this.indicators.bb;
var price = candle.close;
this.nsamples++;

// price Zone detection
var zone = 'none';
if (price >= BB.upper) zone = 'top';
if ((price < BB.upper) && (price >= BB.middle)) zone = 'high';
if ((price > BB.lower) && (price < BB.middle)) zone = 'low';
if (price <= BB.lower) zone = 'bottom';
log.debug('current zone: ',zone);


if (this.trend.zone == zone){
// Ain't no zone change
log.debug('persisted');
this.trend = {
zone: zone, // none, top, high, low, bottom
duration: this.trend.duration+1,
persisted: true
}

this.advice();
}
else {
// There is a zone change
log.debug('Leaving zone: ',this.trend.zone)
if (this.trend.zone == 'top') this.advice('short');
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Rather than two different if statements where the zone equals the same, why not?

if (this.trend.zone === 'top') {
  log.debug('>>>>>   SIGNALING ADVICE SHORT   <<<<<<<<<<<<');
  this.advice('short');
}

Perhaps a switch statement would be more readable?

if (this.trend.zone == 'bottom') this.advice('long');
if (this.trend.zone == 'high') this.advice();
if (this.trend.zone == 'low') this.advice();
if (this.trend.zone == 'top') log.debug( '>>>>> SIGNALING ADVICE SHORT <<<<<<<<<<<<');
if (this.trend.zone == 'bottom') log.debug('>>>>> SIGNALING ADVICE LONG <<<<<<<<<<<<');
this.trend = {
zone: zone, // none, top, high, low, bottom
duration: 0,
persisted: false
}
}
}

module.exports = method;
38 changes: 38 additions & 0 deletions strategies/indicators/BB.js
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// no required indicators
// Bollinger Bands - Okibcn implementation 2018-01-02

var Indicator = function(BBSettings) {
this.input = 'price';
this.settings = BBSettings;
// Settings:
// TimePeriod: The amount of samples used for the average.
// NbDevUp: The distance in stdev of the upper band from the SMA.
// NbDevDn: The distance in stdev of the lower band from the SMA.
this.prices = [];
this.diffs = [];
this.age = 0;
this.sum = 0;
this.sumsq = 0;
this.upper = 0;
this.middle = 0;
this.lower = 0;
}

Indicator.prototype.update = function(price) {
var tail = this.prices[this.age] || 0; // oldest price in window
var diffsTail = this.diffs[this.age] || 0; // oldest average in window

this.prices[this.age] = price;
this.sum += price - tail;
this.middle = this.sum / this.prices.length; // SMA value

this.diffs[this.age] = (price - this.middle);
this.sumsq += this.diffs[this.age] ** 2 - diffsTail ** 2;
var stdev = Math.sqrt(this.sumsq) / this.prices.length;

this.upper = this.middle + this.settings.NbDevUp * stdev;
this.lower = this.middle - this.settings.NbDevDn * stdev;

this.age = (this.age + 1) % this.settings.TimePeriod
}
module.exports = Indicator;