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strategies/varPPO.js

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+// helpers
+var _ = require('lodash');
+var log = require('../core/log');
+
+// configuration
+var config = require('../core/util').getConfig();
+var settings = config.varPPO;
+var momentum = settings.momentum;
+var momentumName = momentum.toLowerCase();
+var momentumSettings = config[momentum];
+
+// let's create our own method
+var method = {};
+
+// prepare everything our method needs
+method.init = function() {
+  this.trend = {
+   direction: 'none',
+   duration: 0,
+   persisted: false,
+   adviced: false
+  };
+
+  this.requiredHistory = this.tradingAdvisor.historySize;
+
+  // define the indicators we need
+  this.addIndicator('ppo', 'PPO', config.PPO);
+  this.addIndicator(momentumName, momentum, momentumSettings);
+}
+
+// what happens on every new candle?
+method.update = function(candle) {
+  // nothing!
+}
+
+// for debugging purposes log the last
+// calculated parameters.
+method.log = function(candle) {
+  var digits = 8;
+  var ppo = this.indicators.ppo.result;
+  var result = ppo.ppo;
+  var signal = ppo.PPOsignal;
+  var hist = ppo.PPOhist;
+  var momentumResult = this.indicators[momentumName][momentumName];
+
+  log.debug('\t', 'PPO:', result.toFixed(digits));
+  log.debug('\t', 'PPOsignal:', signal.toFixed(digits));
+  log.debug('\t', 'PPOhist:', hist.toFixed(digits));
+  log.debug('\t', momentum + ':', momentumResult.toFixed(digits));
+  log.debug('\t', 'price:', candle.close.toFixed(digits));
+}
+
+method.check = function() {
+  var ppo = this.indicators.ppo.result;
+  var hist = ppo.PPOhist;
+
+  var value = this.indicators[momentumName][momentumName];
+
+  var thresholds = {
+    low: momentumSettings.thresholds.low + hist * settings.thresholds.weightLow,
+    high: momentumSettings.thresholds.high + hist * settings.thresholds.weightHigh
+  };
+
+  if(value < thresholds.low) {
+
+    // new trend detected
+    if(this.trend.direction !== 'up')
+      this.trend = {
+        duration: 0,
+        persisted: false,
+        direction: 'up',
+        adviced: false
+      };
+
+    this.trend.duration++;
+
+    log.debug('In uptrend since', this.trend.duration, 'candle(s)');
+
+    if(this.trend.duration >= 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 if(value > thresholds.high) {
+
+    // new trend detected
+    if(this.trend.direction !== 'down')
+      this.trend = {
+        duration: 0,
+        persisted: false,
+        direction: 'down',
+        adviced: false
+      };
+
+    this.trend.duration++;
+
+    log.debug('In downtrend since', this.trend.duration, 'candle(s)');
+
+    if(this.trend.duration >= 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 {
+
+    log.debug('In no trend');
+
+    // we're not in an up nor in a downtrend
+    // but for now we ignore sideways trends
+    //
+    // read more @link:
+    //
+    // https://github.com/askmike/gekko/issues/171
+
+    // this.trend = {
+    //   direction: 'none',
+    //   duration: 0,
+    //   persisted: false,
+    //   adviced: false
+    // };
+
+    this.advice();
+  }
+
+}
+
+module.exports = method;