Add strategies that utilize TA-Lib and Tulip-Lib

extensions/strategies/ta_srsi_bollinger/strategy.js

@@ -0,0 +1,161 @@
+let z = require('zero-fill')
+  , n = require('numbro')
+  , ta_srsi = require('../../../lib/ta_stochrsi')
+  , ta_bollinger = require('../../../lib/ta_bollinger')
+  , Phenotypes = require('../../../lib/phenotype')
+module.exports = {
+  name: 'srsi_bollinger',
+  description: 'Stochastic RSI BollingerBand Strategy',
+
+  getOptions: function () {
+    this.option('period', 'period length, same as --period_length', String, '5m')
+    this.option('period_length', 'period length, same as --period', String, '5m')
+    this.option('min_periods', 'min. number of history periods', Number, 200)
+    this.option('rsi_periods', 'number of RSI periods', 14)
+    this.option('srsi_periods', 'number of Stochastic RSI periods',Number, 9)
+    this.option('srsi_k', '%D line', Number, 3)
+    this.option('srsi_d', '%D line', Number, 3)
+    this.option('srsi_k_sell', 'K must be above this before selling', Number, 60)
+    this.option('srsi_k_buy', 'K must be below this before buying', Number, 30)
+    this.option('srsi_dType','D type mode : SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA'),
+
+    //'SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3'
+
+
+    this.option('bollinger_size', 'period size', Number, 14)
+    this.option('bollinger_updev', 'Upper Bollinger Time Divisor', Number, 2)
+    this.option('bollinger_dndev', 'Lower Bollinger Time Divisor', Number, 2)
+    this.option('bollinger_dType','mode: : SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA')
+    this.option('bollinger_upper_bound_pct', 'pct the current price should be near the bollinger upper bound before we sell', Number, 1)
+    this.option('bollinger_lower_bound_pct', 'pct the current price should be near the bollinger lower bound before we buy', Number, 1)
+
+
+  },
+
+
+  calculate: function (s) {
+
+    if (s.in_preroll) return 
+
+  },
+
+  onPeriod: function (s, cb) {
+    //make sure we have all values
+    if (s.in_preroll) return cb()
+
+    ta_bollinger(s,'tabollinger',s.options.bollinger_size, s.options.bollinger_updev, s.options.bollinger_dndev, s.options.bollinger_dType).
+      then(function(inbol){
+        ta_srsi(s, 'srsi', s.options.srsi_periods, s.options.srsi_k, s.options.srsi_d, s.options.srsi_dType).
+          then(function(inres) {
+
+            if (!inres) return cb()
+            var divergent = inres.outFastK[inres.outFastK.length-1] - inres.outFastD[inres.outFastD.length-1]
+            s.period.srsi_D = inres.outFastD[inres.outFastD.length-1]
+            s.period.srsi_K = inres.outFastK[inres.outFastK.length-1]
+            var last_divergent = inres.outFastK[inres.outFastK.length-2] - inres.outFastD[inres.outFastD.length-2]
+            var _switch = 0//s.lookback[0]._switch
+            var nextdivergent = (( divergent + last_divergent ) /2) + (divergent - last_divergent) 
+            if ((last_divergent <= 0 && (divergent > 0)) ) _switch = 1 // price rising 
+            if ((last_divergent >= 0 && (divergent < 0)) ) _switch = -1 // price falling
+
+            s.period.divergent = divergent
+            s.period._switch = _switch
+
+
+
+            let upperBound = inbol.outRealUpperBand[inbol.outRealUpperBand.length-1] 
+            let lowerBound = inbol.outRealLowerBand[inbol.outRealLowerBand.length-1] 
+            let midBound =inbol.outRealMiddleBand[inbol.outRealMiddleBand.length-1]
+            if (!s.period.bollinger) s.period.bollinger = {}
+
+            s.period.bollinger.upperBound = upperBound
+            s.period.bollinger.lowerBound = lowerBound
+            s.period.bollinger.midBound = midBound
+
+
+            // K is fast moving
+
+            s.signal = null
+            if (_switch != 0  ) 
+            {
+              if (s.period.close > ((upperBound / 100) * (100 - s.options.bollinger_upper_bound_pct))  && nextdivergent < divergent && _switch == -1 && s.period.srsi_K > s.options.srsi_k_sell) 
+              {
+                s.signal = 'sell'
+              } 
+              else
+              if (s.period.close < ((lowerBound / 100) * (100 + s.options.bollinger_lower_bound_pct))   &&  nextdivergent >= divergent  && _switch == 1    && s.period.srsi_K < s.options.srsi_k_buy) 
+              {
+                s.signal = 'buy'
+              } 
+
+            }
+
+            cb()
+          }).catch(function(){
+            cb()})
+
+      }).catch(function(){
+        cb()})
+
+  },
+
+  onReport: function (s) {
+    var cols = []
+    if (s.period.bollinger) {
+      if (s.period.bollinger.upperBound && s.period.bollinger.lowerBound) {
+        let upperBound = s.period.bollinger.upperBound
+        let lowerBound = s.period.bollinger.lowerBound
+        var color = 'grey'
+        if (s.period.close > (upperBound / 100) * (100 - s.options.bollinger_upper_bound_pct)) {
+          color = 'green'
+        } else if (s.period.close < (lowerBound / 100) * (100 + s.options.bollinger_lower_bound_pct)) {
+          color = 'red'
+        }
+        cols.push(z(8, n(s.period.close).format('+00.0000'), ' ')[color])
+        cols.push(z(8, n(lowerBound).format('0.000000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(upperBound).format('0.000000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(s.period.srsi_D).format('0.0000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(s.period.srsi_K).format('0.0000').substring(0,7), ' ').cyan)
+        cols.push(z(5, n(s.period.divergent).format('0').substring(0,7), ' ').cyan)
+        cols.push(z(2, n(s.period._switch).format('0').substring(0,2), ' ').cyan)
+      }
+    }
+    else {
+      cols.push('         ')
+    }
+    return cols
+  },
+
+  phenotypes: 
+        {
+          // -- common
+          period_length: Phenotypes.ListOption(['1m', '2m', '3m', '4m', '5m', '10m','15m']),//, '10m','15m','30m','45m','60m'
+          min_periods: Phenotypes.Range(52, 150),
+          markdown_buy_pct: Phenotypes.RangeFactor(-1.0, 1.0, 0.1),
+          markup_sell_pct: Phenotypes.RangeFactor(-1.0, 1.0, 0.1),
+          order_type: Phenotypes.ListOption(['maker', 'taker']),
+          sell_stop_pct: Phenotypes.RangeFactor(0.0, 50.0,0.1),
+          buy_stop_pct: Phenotypes.RangeFactor(0.0, 50.0,0.1),
+          profit_stop_enable_pct: Phenotypes.RangeFactor(0.0, 5.0, 0.1),
+          profit_stop_pct: Phenotypes.RangeFactor(0.0, 50.0, 0.1),
+
+          // -- strategy
+          rsi_periods: Phenotypes.Range(10, 20),
+          srsi_periods: Phenotypes.Range(5, 30),
+          srsi_k: Phenotypes.Range(1, 30),
+          srsi_d: Phenotypes.Range(1, 30),
+          srsi_k_sell: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          srsi_k_buy: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          srsi_dType:  Phenotypes.ListOption(['SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3']),
+
+
+
+          bollinger_size: Phenotypes.RangeFactor(10, 25, 1),
+          bollinger_updev: Phenotypes.RangeFactor(1, 3.0, 0.1),
+          bollinger_dndev: Phenotypes.RangeFactor(1, 3.0, 0.1),
+          bollinger_dType: Phenotypes.ListOption(['SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3']),
+          bollinger_upper_bound_pct: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          bollinger_lower_bound_pct: Phenotypes.RangeFactor(0.0, 100.0, 1.0)
+
+        }
+}

extensions/strategies/ta_stoch_bollinger/strategy.js

@@ -0,0 +1,150 @@
+let z = require('zero-fill')
+  , n = require('numbro')
+  , ta_stoch = require('../../../lib/ta_stoch')
+  , ta_bollinger = require('../../../lib/ta_bollinger')
+  , Phenotypes = require('../../../lib/phenotype')
+module.exports = {
+  name: 'ta_stoch_bollinger',
+  description: 'Stochastic BollingerBand Strategy',
+
+  getOptions: function () {
+    this.option('period', 'period length, same as --period_length', String, '5m')
+    this.option('period_length', 'period length, same as --period', String, '5m')
+    this.option('min_periods', 'min. number of history periods', Number, 200)
+    this.option('rsi_periods', 'Time period for building the Fast-K line', Number, 14)
+    this.option('stoch_periods', 'Time period for building the Fast-K line', Number, 5)
+    this.option('stoch_k', 'Smoothing for making the Slow-K line. Usually set to 3', Number, 3)
+    this.option('stoch_k_ma_type','Type of Moving Average for Slow-K : SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA'),
+    this.option('stoch_d', 'Smoothing for making the Slow-D line', Number, 3)
+    this.option('stoch_d_ma_type','Type of Moving Average for Slow-D : SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA'),
+    this.option('stoch_k_sell', 'K must be above this before selling', Number, 70)
+    this.option('stoch_k_buy', 'K must be below this before buying', Number, 30)
+
+    this.option('bollinger_size', 'period size', Number, 14)
+    this.option('bollinger_updev', '', Number, 2)
+    this.option('bollinger_dndev', '', Number, 2)
+    this.option('bollinger_dType','mode: : SMA,EMA,WMA,DEMA,TEMA,TRIMA,KAMA,MAMA,T3', String, 'SMA')
+    this.option('bollinger_upper_bound_pct', 'pct the current price should be near the bollinger upper bound before we sell', Number,0)
+    this.option('bollinger_lower_bound_pct', 'pct the current price should be near the bollinger lower bound before we buy', Number, 0)
+  },
+
+
+  calculate: function (s) { 
+    if (s.in_preroll) return 
+  },
+
+  onPeriod: function (s, cb) {
+    //make sure we have all values
+    if (s.in_preroll) return cb()
+    ta_bollinger(s,'tabollinger',s.options.bollinger_size, s.options.bollinger_updev, s.options.bollinger_dndev, s.options.bollinger_dType).
+      then(function(inbol){
+        ta_stoch(s, 'stoch',  s.options.stoch_periods, s.options.stoch_k, s.options.stoch_k_ma_type, s.options.stoch_d, s.options.stoch_d_ma_type).
+          then(function(inres) {
+
+            if (!inres) return cb()
+            var divergent = inres.k[inres.k.length-1] - inres.d[inres.k.length-1]
+            s.period.stoch_D = inres.d[inres.d.length-1]
+            s.period.stoch_K = inres.k[inres.k.length-1]
+            var last_divergent = inres.k[inres.k.length-2] - inres.d[inres.d.length-2]
+            var _switch = 0
+            var nextdivergent = (( divergent + last_divergent ) /2) + (divergent - last_divergent) 
+            if ((last_divergent <= 0 && (divergent > 0)) ) _switch = 1 // price rising 
+            if ((last_divergent >= 0 && (divergent < 0)) ) _switch = -1 // price falling
+
+            s.period.divergent = divergent
+            s.period._switch = _switch
+
+            let upperBound = inbol.outRealUpperBand[inbol.outRealUpperBand.length-1] 
+            let lowerBound = inbol.outRealLowerBand[inbol.outRealLowerBand.length-1] 
+            let midBound =inbol.outRealMiddleBand[inbol.outRealMiddleBand.length-1]
+            if (!s.period.bollinger) s.period.bollinger = {}
+
+            s.period.bollinger.upperBound = upperBound
+            s.period.bollinger.lowerBound = lowerBound
+            s.period.bollinger.midBound = midBound
+
+
+            // K is fast moving
+
+            s.signal = null
+            if (_switch != 0  ) 
+            {
+              if (s.period.close >= midBound && s.period.close >= ((upperBound / 100) * (100 +  s.options.bollinger_upper_bound_pct)) && nextdivergent < divergent && _switch == -1 && s.period.stoch_K > s.options.stoch_k_sell) 
+              {
+                s.signal = 'sell'
+              } 
+              else
+              if (s.period.close < (lowerBound / 100) * (100 + s.options.bollinger_lower_bound_pct)   &&  nextdivergent >= divergent  && _switch == 1    && s.period.stoch_K < s.options.stoch_k_buy) 
+              {
+                s.signal = 'buy'
+              } 
+            }
+
+            cb()
+          }).catch(function(){
+            cb()})
+
+      }).catch(function(){
+        cb()})
+  },
+
+  onReport: function (s) {
+    var cols = []
+    if (s.period.bollinger) {
+      if (s.period.bollinger.upperBound && s.period.bollinger.lowerBound) {
+        let upperBound = s.period.bollinger.upperBound
+        let lowerBound = s.period.bollinger.lowerBound
+        var color = 'grey'
+        if (s.period.close > (upperBound / 100) * ( 100 + s.options.bollinger_upper_bound_pct)) { color = 'green'
+        } 
+        if (s.period.close < (lowerBound / 100) * ( 100 - s.options.bollinger_lower_bound_pct)) { color = 'red'
+        }
+        cols.push(z(8, n(s.period.close).format('+00.0000'), ' ')[color])
+        cols.push(z(8, n(lowerBound).format('0.000000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(upperBound).format('0.000000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(s.period.stoch_D).format('0.0000').substring(0,7), ' ').cyan)
+        cols.push(z(8, n(s.period.stoch_K).format('0.0000').substring(0,7), ' ').cyan)
+        cols.push(z(5, n(s.period.divergent).format('0').substring(0,7), ' ').cyan)
+        cols.push(z(2, n(s.period._switch).format('0').substring(0,2), ' ').cyan)
+      }
+    }
+    else {
+      cols.push('         ')
+    }
+    return cols
+  },
+
+  phenotypes: 
+        {
+          // -- common
+          period_length: Phenotypes.ListOption(['1m', '2m', '3m', '4m', '5m', '10m','15m']),//, '10m','15m','30m','45m','60m'
+          min_periods: Phenotypes.Range(52, 150),
+          markdown_buy_pct: Phenotypes.RangeFactor(-1.0, 1.0, 0.1),
+          markup_sell_pct: Phenotypes.RangeFactor(-1.0, 1.0, 0.1),
+          order_type: Phenotypes.ListOption(['maker', 'taker']),
+          sell_stop_pct: Phenotypes.RangeFactor(0.0, 50.0,0.1),
+          buy_stop_pct: Phenotypes.RangeFactor(0.0, 50.0,0.1),
+          profit_stop_enable_pct: Phenotypes.RangeFactor(0.0, 5.0, 0.1),
+          profit_stop_pct: Phenotypes.RangeFactor(0.0, 50.0, 0.1),
+
+          // -- strategy
+          rsi_periods: Phenotypes.Range(10, 30),
+          stoch_periods: Phenotypes.Range(5, 30),
+          stoch_k: Phenotypes.Range(1, 10),
+          stoch_k_ma_type: Phenotypes.ListOption(['SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3']),
+          stoch_d: Phenotypes.Range(1, 10),
+          stoch_k_sell: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          stoch_k_buy: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          stoch_d_ma_type:  Phenotypes.ListOption(['SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3']),
+
+
+
+          bollinger_size: Phenotypes.RangeFactor(10, 25, 1),
+          bollinger_updev: Phenotypes.RangeFactor(1, 3.0, 0.1),
+          bollinger_dndev: Phenotypes.RangeFactor(1, 3.0, 0.1),
+          bollinger_dType: Phenotypes.ListOption(['SMA','EMA','WMA','DEMA','TEMA','TRIMA','KAMA','MAMA','T3']),
+          bollinger_upper_bound_pct: Phenotypes.RangeFactor(0.0, 100.0, 1.0),
+          bollinger_lower_bound_pct: Phenotypes.RangeFactor(0.0, 100.0, 1.0)
+
+        }
+}