RSI戦略の修正

config.yml

@@ -5,6 +5,6 @@
 assetName: "SOLUSDT"
 duration: "30m"
 start: "20200801"
-end: "20210930"
-simpleInterest: true 
-positionPersentage: 0.3
+end: "20230930"
+simpleInterest: false
+positionPersentage: 0.9

main.go

@@ -18,7 +18,7 @@ func main() {
 	// strategey.DonchainBacktest()
 	// strategey.EmaBacktest()
 	// strategey.SuperTrendBacktest()
-	strategey.RSIBryyrtBacktest()
+	strategey.RSIBetterBacktest()
 
 	// strategey.EmaBacktest()
 	// strategey.RunBacktestST()

pkg/analytics/drawdown.go

@@ -1,6 +1,7 @@
 package analytics
 
 import (
+	"fmt"
 	"math"
 	"sort"
 	dbquery "v1/pkg/data/query"
@@ -91,6 +92,7 @@ func MaxDrawdownPercent(s *execute.SignalEvents) float64 {
 			// TODO: Handle other sides if necessary
 			continue
 		}
+		fmt.Println(signal.AccountBalance)
 		if signal.AccountBalance > peak { // Update peak value if account balance is higher
 			peak = signal.AccountBalance
 		}

pkg/execute/signal.go

@@ -125,6 +125,19 @@ func (s *SignalEvents) CanBuy(t time.Time) bool {
 	return false
 }
 
+func (s *SignalEvents) CanClose(t time.Time) bool {
+	lenSignals := len(s.Signals)
+	if lenSignals == 0 {
+		return false
+	}
+
+	lastSignal := s.Signals[lenSignals-1]
+	if lastSignal.Side == "BUY" && lastSignal.Time.Before(t) {
+		return true
+	}
+	return false
+}
+
 func (s *SignalEvents) CanSell(t time.Time) bool {
 	lenSignals := len(s.Signals)
 	if lenSignals == 0 {
@@ -195,3 +208,31 @@ func (s *SignalEvents) Sell(strategyName string, assetName string, duration stri
 	s.Signals = append(s.Signals, signalEvent)
 	return true
 }
+
+func (s *SignalEvents) Close(strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) bool {
+
+	if !s.CanClose(date) {
+
+		return false
+	}
+	signalId := uuid.New()
+	signalEvent := SignalEvent{
+		SignalId:       signalId,
+		Time:           date,
+		StrategyName:   strategyName,
+		AssetName:      assetName,
+		Duration:       duration,
+		Side:           "SELL",
+		Price:          price,
+		Size:           size,
+		AccountBalance: accountBalance,
+	}
+
+	// if save {
+	// 	signalEvent.Save()
+
+	// }
+
+	s.Signals = append(s.Signals, signalEvent)
+	return true
+}

pkg/strategey/rsi_better.go

@@ -53,7 +53,7 @@ func (df *DataFrameCandle) BetterRsiStrategy(period int, buyThread float64, dcPe
 		sl := atr[i] * slRatio
 		// tp := atr[i] * tpRatio
 
-		if (values[i-1] < buyThread && values[i] <= buyThread && c[i-1] < donchain.Low[i-2] && c[i] <= donchain.Low[i-1]) && choppyEma[i] > 60 && !isBuyHolding {
+		if ((values[i-1] < buyThread && values[i] >= buyThread) && (c[i-1] < donchain.Low[i-2] && c[i] >= donchain.Low[i-1])) && choppyEma[i] > 60 && !isBuyHolding {
 			// fee := 1 - 0.01
 			if simple {
 				buySize = account.SimpleTradeSize(1)
@@ -194,7 +194,7 @@ func RunBetterRsiOptimize() {
 
 }
 
-func RSIBryyrtBacktest() {
+func RSIBetterBacktest() {
 
 	df, account, _ := RadyBacktest()
 

pkg/trader/acount.go

@@ -13,8 +13,7 @@ func NewAccount(initialBalance float64) *Account {
 
 func (a *Account) TradeSize(persetege float64) float64 {
 
-	fee := 1 - 0.01
-	size := a.Balance * persetege * fee
+	size := a.Balance * persetege
 	// fmt.Println("トレードサイズ内でのアカウントバランス", a.Balance)
 	return size
 }
@@ -26,7 +25,9 @@ func (a *Account) SimpleTradeSize(amount int) float64 {
 }
 
 func (a *Account) Buy(price, size float64) bool {
-	cost := price * size
+
+	fee := 1 - 0.01
+	cost := price * size * fee
 	if cost > a.Balance {
 		return false
 	}