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strategies/StochRSI.js

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+/*
+
+  StochRSI - SamThomp 11/06/2014
+
+  (updated by askmike) @ 30/07/2016
+
+ */
+// helpers
+var _ = require('lodash');
+var log = require('../core/log.js');
+
+var RSI = require('./indicators/RSI.js');
+
+// let's create our own method
+var method = {};
+
+// prepare everything our method needs
+method.init = function() {
+  this.interval = this.settings.interval;
+
+  this.trend = {
+    direction: 'none',
+    duration: 0,
+    persisted: false,
+    adviced: false
+  };
+
+  this.requiredHistory = this.tradingAdvisor.historySize;
+
+  // define the indicators we need
+  this.addIndicator('rsi', 'RSI', { interval: this.interval });
+
+	this.RSIhistory = [];
+}
+
+// what happens on every new candle?
+method.update = function(candle) {
+	this.rsi = this.indicators.rsi.result;
+
+	this.RSIhistory.push(this.rsi);
+
+	if(_.size(this.RSIhistory) > this.interval)
+		// remove oldest RSI value
+		this.RSIhistory.shift();
+
+	this.lowestRSI = _.min(this.RSIhistory);
+	this.highestRSI = _.max(this.RSIhistory);
+	this.stochRSI = ((this.rsi - this.lowestRSI) / (this.highestRSI - this.lowestRSI)) * 100;
+}
+
+// for debugging purposes log the last
+// calculated parameters.
+method.log = function() {
+  var digits = 8;
+
+  log.debug('calculated StochRSI properties for candle:');
+  log.debug('\t', 'rsi:', this.rsi.toFixed(digits));
+	log.debug("StochRSI min:\t\t" + this.lowestRSI.toFixed(digits));
+	log.debug("StochRSI max:\t\t" + this.highestRSI.toFixed(digits));
+	log.debug("StochRSI Value:\t\t" + this.stochRSI.toFixed(2));
+}
+
+method.check = function() {
+	if(this.stochRSI > this.settings.thresholds.high) {
+		// new trend detected
+		if(this.trend.direction !== 'high')
+			this.trend = {
+				duration: 0,
+				persisted: false,
+				direction: 'high',
+				adviced: false
+			};
+
+		this.trend.duration++;
+
+		log.debug('In high since', this.trend.duration, 'candle(s)');
+
+		if(this.trend.duration >= this.settings.thresholds.persistence)
+			this.trend.persisted = true;
+
+		if(this.trend.persisted && !this.trend.adviced) {
+			this.trend.adviced = true;
+			this.advice('short');
+		} else
+			this.advice();
+
+	} else if(this.stochRSI < this.settings.thresholds.low) {
+
+		// new trend detected
+		if(this.trend.direction !== 'low')
+			this.trend = {
+				duration: 0,
+				persisted: false,
+				direction: 'low',
+				adviced: false
+			};
+
+		this.trend.duration++;
+
+		log.debug('In low since', this.trend.duration, 'candle(s)');
+
+		if(this.trend.duration >= this.settings.thresholds.persistence)
+			this.trend.persisted = true;
+
+		if(this.trend.persisted && !this.trend.adviced) {
+			this.trend.adviced = true;
+			this.advice('long');
+		} else
+			this.advice();
+
+	} else {
+		// trends must be on consecutive candles
+		this.trend.duration = 0;
+		log.debug('In no trend');
+
+		this.advice();
+	}
+
+}
+
+module.exports = method;