Merge pull request #932 from c9s/feature/bolllmaker-trendEMA

feature: strategy/bolllmaker trend ema

config/bollmaker.yaml

@@ -16,8 +16,8 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2022-01-01"
-  endTime: "2022-07-18"
+  startTime: "2022-05-01"
+  endTime: "2022-08-14"
   sessions:
   - binance
   symbols:
@@ -40,6 +40,9 @@ exchangeStrategies:
     # quantity is the base order quantity for your buy/sell order.
     quantity: 0.05
 
+    # amount is used for fixed-amount order, for example, use fixed 20 USDT order for BTCUSDT market
+    # amount: 20
+
     # useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
     # The back-test engine is kline-based, so the ticker price api is not supported.
     # Turn this on if you want to do real trading.
@@ -56,13 +59,28 @@ exchangeStrategies:
     # For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
     minProfitSpread: 0.1%
 
-    # EXPERIMENTAL
-    #   Dynamic spread is an experimental feature. Use at your own risk!
+    # trendEMA detects the trend by a given EMA
+    # when EMA goes up (the last > the previous), allow buy and sell
+    # when EMA goes down (the last < the previous), disable buy, allow sell
+    # uncomment this to enable it:
+    trendEMA:
+      interval: 1d
+      window: 7
+      maxGradient: 1.5
+      minGradient: 1.01
+
+    # ==================================================================
+    # Dynamic spread is an experimental feature. it will override the fixed spread settings above.
+    #
+    # dynamicSpread enables the automatic adjustment to bid and ask spread.
+    # Choose one of the scaling strategy to enable dynamicSpread:
+    #   - amplitude: scales by K-line amplitude
+    #   - weightedBollWidth: scales by weighted Bollinger band width (explained below)
+    # ==================================================================
     #
-    #   dynamicSpread enables the automatic adjustment to bid and ask spread.
-    #   Choose one of the scaling strategy to enable dynamicSpread:
-    #     - amplitude: scales by K-line amplitude
-    #     - weightedBollWidth: scales by weighted Bollinger band width (explained below)
+    # =========================================
+    # dynamicSpread with amplitude
+    # =========================================
     # dynamicSpread:
     #   amplitude: # delete other scaling strategy if this is defined
     #     # window is the window of the SMAs of spreads
@@ -85,21 +103,27 @@ exchangeStrategies:
     #           # when in down band, holds 1.0 by maximum
     #           # when in up band, holds 0.05 by maximum
     #           range: [ 0.001, 0.002 ]
-    #   weightedBollWidth: # delete other scaling strategy if this is defined
-    #     # Scale spread base on weighted Bollinger band width ratio between default and neutral bands.
-    #     # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
-    #     # And the neutral band: from bn_lower to bn_upper
-    #     # Set the sigmoid weighting function:
-    #     #   - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
-    #     #   - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
-    #     # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
-    #     #   - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
-    #     #   - The wider neutral band get greater ratio
-    #     #   - To ask spread, the higher neutral band get greater ratio
-    #     #   - To bid spread, the lower neutral band get greater ratio
-    #     # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
     #
-    #     # Sensitivity factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
+    # =========================================
+    # dynamicSpread with weightedBollWidth
+    # =========================================
+    # dynamicSpread:
+    #   # weightedBollWidth scales spread base on weighted Bollinger bandwidth ratio between default and neutral bands.
+    #   #
+    #   # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
+    #   # And the neutral band: from bn_lower to bn_upper
+    #   # Set the sigmoid weighting function:
+    #   #   - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
+    #   #   - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
+    #   # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
+    #   #   - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
+    #   #   - The wider neutral band get greater ratio
+    #   #   - To ask spread, the higher neutral band get greater ratio
+    #   #   - To bid spread, the lower neutral band get greater ratio
+    #   # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
+    #
+    #   weightedBollWidth: # delete other scaling strategy if this is defined
+    #     # sensitivity is a factor of the weighting function: 1 / (1 + exp(-(x - bd_mid) * sensitivity / (bd_upper - bd_lower)))
     #     # A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
     #     sensitivity: 1.0
     #
@@ -118,10 +142,10 @@ exchangeStrategies:
     #           domain: [ 0.1, 0.5 ]
     #           range: [ 0.001, 0.002 ]
 
-
     # maxExposurePosition is the maximum position you can hold
     # +10 means you can hold 10 ETH long position by maximum
     # -10 means you can hold -10 ETH short position by maximum
+    # uncomment this if you want a fixed position exposure.
     # maxExposurePosition: 3.0
     maxExposurePosition: 10
 
@@ -151,6 +175,10 @@ exchangeStrategies:
     # downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
     downtrendSkew: 1.2
 
+    # defaultBollinger is a long-term time frame bollinger
+    # this bollinger band is used for controlling your position (how much you can hold)
+    # when price is near the upper band, it holds less.
+    # when price is near the lower band, it holds more.
     defaultBollinger:
       interval: "1h"
       window: 21
@@ -164,10 +192,10 @@ exchangeStrategies:
       bandWidth: 2.0
 
     # tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
-    tradeInBand: false
+    tradeInBand: true
 
     # buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
-    buyBelowNeutralSMA: false
+    buyBelowNeutralSMA: true
 
     exits:
 

pkg/bbgo/order_executor_general.go

@@ -271,6 +271,16 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
 		return nil
 	}
 
+	// check base balance and adjust the close position order
+	if e.position.IsLong() {
+		if baseBalance, ok := e.session.Account.Balance(e.position.Market.BaseCurrency); ok {
+			submitOrder.Quantity = fixedpoint.Min(submitOrder.Quantity, baseBalance.Available)
+		}
+		if submitOrder.Quantity.IsZero() {
+			return fmt.Errorf("insufficient base balance, can not sell: %+v", submitOrder)
+		}
+	}
+
 	tagStr := strings.Join(tags, ",")
 	submitOrder.Tag = tagStr
 

pkg/strategy/bollmaker/doc.go

@@ -0,0 +1,6 @@
+// bollmaker is a maker strategy depends on the bollinger band
+//
+// bollmaker uses two bollinger bands for trading:
+// 1) the first bollinger is a long-term time frame bollinger, it controls your position. (how much you can hold)
+// 2) the second bollinger is a short-term time frame bollinger, it controls whether places the orders or not.
+package bollmaker

pkg/strategy/bollmaker/strategy.go

@@ -58,6 +58,10 @@ type Strategy struct {
 
 	bbgo.QuantityOrAmount
 
+	// TrendEMA is used for detecting the trend by a given EMA
+	// you can define interval and window
+	TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
+
 	// Spread is the price spread from the middle price.
 	// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
 	// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
@@ -185,6 +189,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 		})
 	}
 
+	if s.TrendEMA != nil {
+		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
+	}
+
 	s.ExitMethods.SetAndSubscribe(session, s)
 }
 
@@ -287,6 +295,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 		log.Infof("current %s unrealized profit: %f %s", s.Symbol, s.Position.UnrealizedProfit(midPrice).Float64(), s.Market.QuoteCurrency)
 	}
 
+	// by default, we turn both sell and buy on,
+	// which means we will place buy and sell orders
 	canSell := true
 	canBuy := true
 
@@ -360,6 +370,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 
 	}
 
+	// check balance and switch the orders
 	if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
 		canBuy = false
 	}
@@ -377,11 +388,13 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 
 	if isLongPosition {
 		// for long position if the current price is lower than the minimal profitable price then we should stop sell
+		// this avoid loss trade
 		if midPrice.Compare(minProfitPrice) < 0 {
 			canSell = false
 		}
 	} else if isShortPosition {
 		// for short position if the current price is higher than the minimal profitable price then we should stop buy
+		// this avoid loss trade
 		if midPrice.Compare(minProfitPrice) > 0 {
 			canBuy = false
 		}
@@ -395,6 +408,14 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 		canBuy = false
 	}
 
+	// trend EMA protection
+	if s.TrendEMA != nil {
+		if !s.TrendEMA.GradientAllowed() {
+			log.Infof("trendEMA protection: midPrice price %f, gradient %f, turning buy order off", midPrice.Float64(), s.TrendEMA.Gradient())
+			canBuy = false
+		}
+	}
+
 	if canSell {
 		submitOrders = append(submitOrders, sellOrder)
 	}
@@ -499,6 +520,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	})
 	s.ExitMethods.Bind(session, s.orderExecutor)
 
+	if s.TrendEMA != nil {
+		s.TrendEMA.Bind(session, s.orderExecutor)
+	}
+
 	if bbgo.IsBackTesting {
 		log.Warn("turning of useTickerPrice option in the back-testing environment...")
 		s.UseTickerPrice = false