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Improve supertrend strategy #799

Merged
merged 16 commits into from Jul 7, 2022
Merged

Improve supertrend strategy #799

merged 16 commits into from Jul 7, 2022

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andycheng123
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@andycheng123 andycheng123 commented Jul 6, 2022 •
edited 

winningRatio: "1.50000000"
numOfLossTrade: 4
numOfProfitTrade: 6
grossProfit: "9510.58490673"
grossLoss: "-1616.37687265"
profits:
    - "962.02614650"
    - "1492.98331752"
    - "2013.07243890"
    - "0.00006635"
    - "557.31764608"
    - "4485.18529138"
losses:
    - "-402.85689998"
    - "-384.84449514"
    - "-376.47721820"
    - "-452.19825933"
mostProfitableTrade: "4485.18529138"
mostLossTrade: "-452.19825933"
profitFactor: "-5.88389073"
totalNetProfit: "7894.20803408"

BACK-TEST REPORT
===============================================
START TIME: Tue, 01 Mar 2022 00:00:00 UTC
END TIME: Thu, 30 Jun 2022 00:00:00 UTC
INITIAL TOTAL BALANCE: BalanceMap[BTC: 1, USDT: 10000]
FINAL TOTAL BALANCE: BalanceMap[BTC: 1.885876, USDT: 0.0000659]
binance BTCUSDT PROFIT AND LOSS REPORT
===============================================
TRADES SINCE: 2022-03-01 21:04:59.999 +0000 UTC
NUMBER OF TRADES: 19
AVERAGE COST: $ 20,199.45
BASE ASSET POSITION: 0.885876
TOTAL BUY VOLUME: 3.49511477
TOTAL SELL VOLUME: 2.60923877
CURRENT PRICE: $ 20,122.58
CURRENCY FEES:
 - FEE: 152.2463837
PROFIT: $ 7,894.21
UNREALIZED PROFIT: -$ 68.10
INITIAL ASSET IN USDT ~= 53160.00000 USDT (1 BTC = 43160)
FINAL ASSET IN USDT ~= 37948.69074 USDT (1 BTC = 20122.58)
REALIZED PROFIT: +7894.20803408 USDT
UNREALIZED PROFIT: -68.09728812 USDT
ASSET DECREASED: -15211.30925402 USDT (-28.61%)

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@andycheng123 andycheng123 requested review from c9s and zenixls2 July 6, 2022 03:16
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codecov bot commented Jul 6, 2022 •
edited

Codecov Report

Merging #799 (f877775) into main (e778db1) will not change coverage.
The diff coverage is n/a.

Impacted file tree graph

@@           Coverage Diff           @@
##             main     #799   +/-   ##
=======================================
  Coverage   19.35%   19.35%           
=======================================
  Files         359      359           
  Lines       27302    27302           
=======================================
  Hits         5283     5283           
  Misses      21503    21503           
  Partials      516      516

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@andycheng123 andycheng123 changed the title Improve supertrend strategy WIP: Improve supertrend strategy Jul 6, 2022
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@andycheng123 andycheng123 changed the title WIP: Improve supertrend strategy Improve supertrend strategy Jul 6, 2022
c9s
c9s reviewed Jul 6, 2022
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pkg/strategy/supertrend/strategy.go Outdated
s.fastDEMA.Update((*klines)[i].GetClose().Float64())
}
}
if klines, ok := kLineStore.KLinesOfInterval(s.slowDEMA.Interval); ok {
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pull out this preload code to a function?

c9s
c9s reviewed Jul 6, 2022
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pkg/strategy/supertrend/strategy.go Outdated
@@ -174,22 +252,26 @@ func (s *Strategy) setupIndicators() {
}
s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier}
s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}}
s.Supertrend.Bind(kLineStore)
// Preload
if klines, ok := kLineStore.KLinesOfInterval(s.Supertrend.Interval); ok {
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ditto.

c9s
c9s reviewed Jul 6, 2022
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pkg/strategy/supertrend/strategy.go
default:
lgSignal = types.DirectionNone
}
}
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can you pull this out to a function?

c9s
c9s reviewed Jul 6, 2022
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pkg/strategy/supertrend/strategy.go Outdated
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy(ID, &Strategy{})
}

// LinGre is Linear Regression baseline
type LinGre struct {
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Move this to a single file?

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It's not enough to be a standalone indicator
should it be in a single file?

c9s
c9s reviewed Jul 6, 2022
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pkg/strategy/supertrend/strategy.go

currentTakeProfitPrice fixedpoint.Value
currentStopLossPrice fixedpoint.Value

// ExitMethods Exit methods
ExitMethods []bbgo.ExitMethod `json:"exits"`
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use bbgo.ExitMethodSet

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ExitMethodSet is not in this branch yet
replace it later?

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Re-estimated karma: this pull request may get 474 BBG

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Re-estimated karma: this pull request may get 507 BBG

@andycheng123 andycheng123 changed the title Improve supertrend strategy WIP: Improve supertrend strategy Jul 6, 2022
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Re-estimated karma: this pull request may get 515 BBG

@andycheng123 andycheng123 changed the title WIP: Improve supertrend strategy Improve supertrend strategy Jul 6, 2022
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Re-estimated karma: this pull request may get 534 BBG

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Re-estimated karma: this pull request may get 539 BBG

c9s
c9s reviewed Jul 6, 2022
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config/supertrend.yaml Outdated
@@ -18,8 +18,8 @@ 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: "2022-04-01"
endTime: "2022-04-30"
startTime: "2022-03-01"
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let's always start from 2022-01-01 ?

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Re-estimated karma: this pull request may get 554 BBG

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Re-estimated karma: this pull request may get 559 BBG

@andycheng123 andycheng123 merged commit 72f18c1 into c9s:main Jul 7, 2022
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Hi @andycheng123,

Well done! 564 BBG has been sent to your polygon wallet. Please check the following tx:

https://polygonscan.com/tx/0x0825524fe2de2bec4323f2fce06c090b62d7110723b3619e59b722d6c605b59f

Thank you for your contribution!

@andycheng123 andycheng123 deleted the improve/supertrend-strategy branch July 7, 2022 02:43
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@c9s c9s c9s approved these changes

@zenixls2 zenixls2 Awaiting requested review from zenixls2

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