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简单的node.js修改，如何确定变量是增加还是减少？

[英]Simple node.js modification, how to determine if a variable is increasing or decreasing?

 原文  2018-06-02 07:58:53  2   1    javascript/ node.js/ gekko

问题描述

从技术上讲，问题是关于Javascript（node.js）的问题，尤其是关于使用它进行编码的Gekko软件。 我正在尝试对其中一种交易策略做一个非常简单的修改： MACD 。 涉及的文件有：

MACD配置文件： gekko / config / strategies / MACD.toml 

short = 10
long = 21
signal = 9

[thresholds]
down = -0.025
up = 0.025
persistence = 1

MACD指标文件： gekko / strategies / indicators / MACD.js 

// required indicators
var EMA = require('./EMA.js');

var Indicator = function(config) {
  this.input = 'price';
  this.diff = false;
  this.short = new EMA(config.short);
  this.long = new EMA(config.long);
  this.signal = new EMA(config.signal);
}

Indicator.prototype.update = function(price) {
  this.short.update(price);
  this.long.update(price);
  this.calculateEMAdiff();
  this.signal.update(this.diff);
  this.result = this.diff - this.signal.result;
}

Indicator.prototype.calculateEMAdiff = function() {
  var shortEMA = this.short.result;
  var longEMA = this.long.result;

  this.diff = shortEMA - longEMA;
}

module.exports = Indicator;

最后，要修改的文件是MACD策略： gekko / strategies / MACD.js 

/*

  MACD - DJM 31/12/2013

  (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
  };

  // 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);
}

// 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;

当满足以下所有条件时，此MACD策略建议买入：

  • macddiff > this.settings.thresholds.up
  • this.trend.duration> = this.settings.thresholds.persistence

并在出现相反情况时建议卖出：

  • macddiff < this.settings.thresholds.up
  • this.trend.duration> = this.settings.thresholds.persistence


好的，我需要的修改是：

  • 一种新的购买条件： 当实际macddiff值大于其紧邻的前一个值时

  • 一种新的卖出条件： 当实际macddiff值小于其直接的先前值时


例如，假设15分钟烛台： 

2018/06/12 00:00        macddiff = 5.3452
2018/06/12 00:15        macddiff = 7.5891 ----> **BUY**, because 7.5891 > 5.3452
2018/06/12 00:30        macddiff = 8.4982
2018/06/12 00:45        macddiff = 10.4389
2018/06/12 01:00        macddiff = 4.2340 ----> **SELL**, because 4.2340 < 10.4389
2018/06/12 01:15        macddiff = -2.4902
2018/06/12 01:30        macddiff = -1.9049 ---> **BUY**, because -1.9049 > -2.490

如何才能做到这一点？ 必须对gekko / strategies / MACD.js文件进行哪些修改？ 请提供具有完整修改的完整文件。

Gekko论坛中的另一个答案可能是util，但...不幸的是，我无法正确理解它。

提前致谢！

1 个解决方案

解决方案1
 0  2018-06-04 17:05:08

/*
  MACD - DJM 31/12/2013 LUCCHI 07/06/2018
  (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
  };

  // 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);
}

// 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));
}

var macddiffLastValue // ADDED THIS LINE recipient for last value

method.check = function() {
  var macddiff = this.indicators.macd.result;

  if(macddiff > macddiffLastValue) { // Modified Check

    // 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();
  }
  macddiffLastValue = macddiff // ADDED THIS LINE keep last value
}

module.exports = method;

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