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strategies/CCI.js

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+// helpers
+var _ = require('lodash');
+var log = require('../core/log.js');
+
+// let's create our own method
+var method = {};
+
+// prepare everything our method needs
+method.init = function() {
+  this.currentTrend;
+  this.requiredHistory = this.tradingAdvisor.historySize;
+
+  this.age = 0;
+  this.trend = {
+    direction: 'undefined',
+    duration: 0,
+    persisted: false,
+    adviced: false
+  };
+  this.historySize = this.settings.history;
+  this.ppoadv = 'none';
+  this.uplevel = this.settings.thresholds.up;
+  this.downlevel = this.settings.thresholds.down;
+  this.persisted = this.settings.thresholds.persistence;
+
+  // log.debug("CCI started with:\nup:\t", this.uplevel, "\ndown:\t", this.downlevel, "\npersistence:\t", this.persisted);
+  // define the indicators we need
+  this.addIndicator('cci', 'CCI', this.settings);
+}
+
+// what happens on every new candle?
+method.update = function(candle) {
+}
+
+// for debugging purposes: log the last calculated
+// EMAs and diff.
+method.log = function(candle) {
+    var cci = this.indicators.cci;
+    if (typeof(cci.result) == 'boolean') {
+        log.debug('Insufficient data available. Age: ', cci.size, ' of ', cci.maxSize);
+        return;
+    }
+
+    log.debug('calculated CCI properties for candle:');
+    log.debug('\t', 'Price:\t\t', candle.close.toFixed(8));
+    log.debug('\t', 'CCI tp:\t', cci.tp.toFixed(8));
+    log.debug('\t', 'CCI tp/n:\t', cci.avgtp.toFixed(8));
+    log.debug('\t', 'CCI md:\t', cci.mean.toFixed(8));
+    if (typeof(cci.result) == 'boolean' )
+        log.debug('\t In sufficient data available.');
+    else
+        log.debug('\t', 'CCI:\t\t', cci.result.toFixed(2));
+}
+
+/*
+ *
+ */
+method.check = function(candle) {
+
+    var lastPrice = candle.close;
+
+    this.age++;
+    var cci = this.indicators.cci;
+
+    if (typeof(cci.result) == 'number') {
+
+        // overbought?
+        if (cci.result >= this.uplevel && (this.trend.persisted || this.persisted == 0) && !this.trend.adviced && this.trend.direction == 'overbought' ) {
+            this.trend.adviced = true;
+            this.trend.duration++;
+            this.advice('short');
+        } else if (cci.result >= this.uplevel && this.trend.direction != 'overbought') {
+            this.trend.duration = 1;
+            this.trend.direction = 'overbought';
+            this.trend.persisted = false;
+            this.trend.adviced = false;
+            if (this.persisted == 0) {
+                this.trend.adviced = true;
+                this.advice('short');
+            }
+        } else if (cci.result >= this.uplevel) {
+            this.trend.duration++;
+            if (this.trend.duration >= this.persisted) {
+                this.trend.persisted = true;
+            }
+        } else if (cci.result <= this.downlevel && (this.trend.persisted || this.persisted == 0) && !this.trend.adviced && this.trend.direction == 'oversold') {
+            this.trend.adviced = true;
+            this.trend.duration++;
+            this.advice('long');
+        } else if (cci.result <= this.downlevel && this.trend.direction != 'oversold') {
+            this.trend.duration = 1;
+            this.trend.direction = 'oversold';
+            this.trend.persisted = false;
+            this.trend.adviced = false;
+            if (this.persisted == 0) {
+                this.trend.adviced = true;
+                this.advice('long');
+            }
+        } else if (cci.result <= this.downlevel) {
+            this.trend.duration++;
+            if (this.trend.duration >= this.persisted) {
+                this.trend.persisted = true;
+            }
+        } else {
+            if( this.trend.direction != 'nodirection') {
+                this.trend = {
+                    direction: 'nodirection',
+                    duration: 0,
+                    persisted: false,
+                    adviced: false
+                };
+            } else {
+                this.trend.duration++;
+            }
+            this.advice();
+        }
+
+    } else {
+        this.advice();
+    }
+
+    log.debug("Trend: ", this.trend.direction, " for ", this.trend.duration);
+}
+
+module.exports = method;