add strategie

strategies/frantche-MACD-RSI.js

@@ -0,0 +1,140 @@
+/*
+
+  Frantche MACD RSI - DJM 14/06/2021
+
+  (updated a couple of times since, check git history)
+
+ */
+
+// 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() {
+  // keep state about the current trend
+  // here, on every new candle we use this
+  // state object to check if we need to
+  // report it.
+  this.trend = {
+    direction: 'none',
+    duration: 0,
+    persisted: false,
+    adviced: false
+  };
+
+  log.debug(this.settings);
+
+
+  // how many candles do we need as a base
+  // before we can start giving advice?
+  this.requiredHistory = this.tradingAdvisor.historySize;
+
+  // define the indicators we need
+  this.addIndicator('macd', 'MACD', this.settings);
+  this.addIndicator('rsi', 'RSI', this.settings);
+
+}
+
+// what happens on every new candle?
+method.update = function(candle) {
+  // nothing!
+}
+
+// for debugging purposes: log the last calculated
+// EMAs and diff.
+method.log = function() {
+  var digits = 8;
+  var macd = this.indicators.macd;
+
+  var diff = macd.diff;
+  var signal = macd.signal.result;
+
+  log.debug('calculated MACD properties for candle:');
+  log.debug('\t', 'short:', macd.short.result.toFixed(digits));
+  log.debug('\t', 'long:', macd.long.result.toFixed(digits));
+  log.debug('\t', 'macd:', diff.toFixed(digits));
+  log.debug('\t', 'signal:', signal.toFixed(digits));
+  log.debug('\t', 'macdiff:', macd.result.toFixed(digits));
+}
+
+method.check = function() {
+  var macddiff = this.indicators.macd.result;
+
+  if(macddiff > this.settings.thresholds.up) {
+
+    // new trend detected
+    if(this.trend.direction !== 'up')
+      // reset the state for the new trend
+      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 >= 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 if(macddiff < this.settings.thresholds.down) {
+
+    // new trend detected
+    if(this.trend.direction !== 'down')
+      // reset the state for the new trend
+      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 >= 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 {
+
+    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;