minor overhaul to trend_ema strat - added whipsaw filtering via std. …

…deviation (--neutral_rate=auto), trim preroll of sim result graph

commands/sim.js

@@ -84,7 +84,7 @@ module.exports = function container (get, set, clear) {
           console.log('buy hold', buy_hold.format('0.00000000').yellow + ' (' + n(buy_hold_profit).format('0.00%') + ')')
           console.log('vs. buy hold', n(s.balance.currency).subtract(buy_hold).divide(buy_hold).format('0.00%').yellow)
           console.log(s.my_trades.length + ' trades over ' + s.day_count + ' days (avg ' + n(s.my_trades.length / s.day_count).format('0.00') + ' trades/day)')
-          var data = s.lookback.map(function (period) {
+          var data = s.lookback.slice(0, s.lookback.length - so.min_periods).map(function (period) {
             return {
               time: period.time,
               open: period.open,

extensions/trend_ema/strategy.js

@@ -10,10 +10,11 @@ module.exports = function container (get, set, clear) {
       this.option('period', 'period length', String, '1h')
       this.option('min_periods', 'min. number of history periods', Number, 36)
       this.option('trend_ema', 'number of periods for trend EMA', Number, 34)
-      this.option('buy_rate', 'buy if trend ema rate between 0 and this positive float', Number, 0)
-      this.option('sell_rate', 'sell if trend ema rate between 0 and this negative float', Number, 0)
-      this.option('max_buy_duration', 'avoid buy if trend duration over this number', Number, 1)
-      this.option('max_sell_duration', 'avoid sell if trend duration over this number', Number, 1)
+      this.option('buy_rate', 'buy if trend EMA rate between neutral_rate and this positive float', Number, 0)
+      this.option('sell_rate', 'sell if trend EMA rate between neutral_rate * -1 and this negative float', Number, 0)
+      this.option('neutral_rate', 'avoid signals when trend EMA rate is under this absolute value', Number, 'auto')
+      this.option('max_buy_duration', 'avoid buy if trend duration over this number', Number, 0)
+      this.option('max_sell_duration', 'avoid sell if trend duration over this number', Number, 0)
       this.option('oversold_rsi_periods', 'number of periods for oversold RSI', Number, 14)
       this.option('oversold_rsi', 'buy when RSI reaches this value', Number, 0)
     },
@@ -29,8 +30,15 @@ module.exports = function container (get, set, clear) {
     },
 
     onPeriod: function (s, cb) {
+      if (s.options.neutral_rate === 'auto' || s.options.neutral_rate_auto) {
+        s.options.neutral_rate_auto = true
+        get('lib.stddev')(s, 'trend_ema_stddev', Math.floor(s.options.trend_ema / 2), 'trend_ema_rate')
+        if (typeof s.period.trend_ema_stddev === 'number') {
+          s.options.neutral_rate = s.period.trend_ema_stddev
+        }
+      }
       if (typeof s.period.oversold_rsi === 'number') {
-        if (s.period.oversold_rsi <= s.options.oversold_rsi) {
+        if (s.period.oversold_rsi <= s.options.oversold_rsi && !s.oversold) {
           s.oversold = true
           console.log(('\noversold at ' + s.period.oversold_rsi + ' RSI, preparing to buy\n').cyan)
         }
@@ -43,24 +51,24 @@ module.exports = function container (get, set, clear) {
         }
       }
       if (typeof s.period.trend_ema_rate === 'number') {
-        if (s.period.trend_ema_rate >= 0) {
+        if (s.period.trend_ema_rate > s.options.neutral_rate) {
           if (s.trend !== 'up') {
             s.acted_on_trend = false
             s.trend_duration = 0
           }
           s.trend_duration++
           s.trend = 'up'
-          s.signal = (!s.options.buy_rate || s.period.trend_ema_rate <= s.options.buy_rate) && (!s.options.max_buy_duration || s.trend_duration <= s.options.max_buy_duration) && !s.acted_on_trend ? 'buy' : null
+          s.signal = (!s.options.buy_rate || s.period.trend_ema_rate <= s.options.buy_rate) && (!s.options.max_buy_duration || !s.trend || s.trend_duration <= s.options.max_buy_duration) && !s.acted_on_trend ? 'buy' : null
           s.cancel_down = false
         }
-        else if (!s.cancel_down) {
+        else if (!s.cancel_down && s.period.trend_ema_rate < (s.options.neutral_rate * -1)) {
           if (s.trend !== 'down') {
             s.acted_on_trend = false
             s.trend_duration = 0
           }
           s.trend_duration++
           s.trend = 'down'
-          s.signal = (!s.options.sell_rate || s.period.trend_ema_rate >= s.options.sell_rate) && (!s.options.max_sell_duration || s.trend_duration <= s.options.max_sell_duration) && !s.acted_on_trend ? 'sell' : null
+          s.signal = (!s.options.sell_rate || s.period.trend_ema_rate >= s.options.sell_rate) && (!s.options.max_sell_duration || !s.trend || s.trend_duration <= s.options.max_sell_duration) && !s.acted_on_trend ? 'sell' : null
         }
       }
       cb()
@@ -69,11 +77,21 @@ module.exports = function container (get, set, clear) {
     onReport: function (s) {
       var cols = []
       if (typeof s.period.trend_ema_rate === 'number') {
-        cols.push(z(8, n(s.period.trend_ema_rate).format('0.0000'), ' ')[s.period.trend_ema_rate >= 0 ? 'green' : 'red'])
+        var color = 'grey'
+        if (s.period.trend_ema_rate > s.options.neutral_rate) {
+          color = 'green'
+        }
+        else if (s.period.trend_ema_rate < (s.options.neutral_rate * -1)) {
+          color = 'red'
+        }
+        cols.push(z(8, n(s.period.trend_ema_rate).format('0.0000'), ' ')[color])
       }
       else {
         cols.push('         ')
       }
+      if (typeof s.period.trend_ema_stddev === 'number') {
+        cols.push(z(8, n(s.period.trend_ema_stddev).format('0.0000'), ' ').grey)
+      }
       return cols
     }
   }

lib/_codemap.js

@@ -5,5 +5,6 @@ module.exports = {
   'ema': require('./ema'),
   'engine': require('./engine'),
   'normalize-selector': require('./normalize-selector'),
-  'rsi': require('./rsi')
+  'rsi': require('./rsi'),
+  'stddev': require('./stddev')
 }

lib/stddev.js

@@ -0,0 +1,24 @@
+module.exports = function container (get, set, clear) {
+  return function stddev (s, key, length, source_key) {
+    if (typeof s.period[source_key] === 'number') {
+      var sum = s.period[source_key]
+      var sum_len = 1
+      for (var idx = 0; idx < length; idx++) {
+        if (typeof s.lookback[idx][source_key] === 'number') {
+          sum += s.lookback[idx][source_key]
+          sum_len++
+        }
+        else {
+          break;
+        }
+      }
+      var avg = sum / sum_len
+      var var_sum = 0
+      for (var idx = 0; idx < sum_len - 1; idx++) {
+        var_sum += Math.pow(s.lookback[idx][source_key] - avg, 2)
+      }
+      var variance = var_sum / sum_len
+      s.period[key] = Math.sqrt(variance)
+    }
+  }
+}