135 lines
3.1 KiB
JavaScript
135 lines
3.1 KiB
JavaScript
/*
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MACD - DJM 31/12/2013
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(updated a couple of times since, check git history)
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*/
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// helpers
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var _ = require('lodash');
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var log = require('../core/log.js');
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// let's create our own method
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var method = {};
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// prepare everything our method needs
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method.init = function() {
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// keep state about the current trend
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// here, on every new candle we use this
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// state object to check if we need to
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// report it.
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this.trend = {
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direction: 'none',
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duration: 0,
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persisted: false,
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adviced: false
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};
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// how many candles do we need as a base
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// before we can start giving advice?
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this.requiredHistory = this.tradingAdvisor.historySize;
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// define the indicators we need
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this.addIndicator('macd', 'MACD', this.settings);
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}
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// what happens on every new candle?
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method.update = function(candle) {
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// nothing!
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}
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// for debugging purposes: log the last calculated
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// EMAs and diff.
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method.log = function() {
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var digits = 8;
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var macd = this.indicators.macd;
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var diff = macd.diff;
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var signal = macd.signal.result;
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log.debug('calculated MACD properties for candle:');
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log.debug('\t', 'short:', macd.short.result.toFixed(digits));
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log.debug('\t', 'long:', macd.long.result.toFixed(digits));
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log.debug('\t', 'macd:', diff.toFixed(digits));
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log.debug('\t', 'signal:', signal.toFixed(digits));
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log.debug('\t', 'macdiff:', macd.result.toFixed(digits));
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}
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method.check = function() {
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var macddiff = this.indicators.macd.result;
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if(macddiff > this.settings.thresholds.up) {
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// new trend detected
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if(this.trend.direction !== 'up')
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// reset the state for the new trend
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this.trend = {
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duration: 0,
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persisted: false,
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direction: 'up',
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adviced: false
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};
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this.trend.duration++;
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log.debug('In uptrend since', this.trend.duration, 'candle(s)');
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if(this.trend.duration >= this.settings.thresholds.persistence)
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this.trend.persisted = true;
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if(this.trend.persisted && !this.trend.adviced) {
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this.trend.adviced = true;
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this.advice('long');
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} else
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this.advice();
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} else if(macddiff < this.settings.thresholds.down) {
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// new trend detected
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if(this.trend.direction !== 'down')
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// reset the state for the new trend
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this.trend = {
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duration: 0,
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persisted: false,
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direction: 'down',
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adviced: false
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};
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this.trend.duration++;
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log.debug('In downtrend since', this.trend.duration, 'candle(s)');
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if(this.trend.duration >= this.settings.thresholds.persistence)
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this.trend.persisted = true;
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if(this.trend.persisted && !this.trend.adviced) {
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this.trend.adviced = true;
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this.advice('short');
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} else
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this.advice();
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} else {
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log.debug('In no trend');
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// we're not in an up nor in a downtrend
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// but for now we ignore sideways trends
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//
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// read more @link:
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//
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// https://github.com/askmike/gekko/issues/171
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// this.trend = {
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// direction: 'none',
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// duration: 0,
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// persisted: false,
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// adviced: false
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// };
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this.advice();
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}
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}
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module.exports = method;
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