[SHARE] Simple RSI BULL/BEAR strategy

Code:
/*

    RSI Bull and Bear + ADX modifier

    1. Use different RSI-strategies depending on a longer trend

    2. But modify this slighly if shorter BULL/BEAR is detected

    -

    12 feb 2017

    -

    (CC-BY-SA 4.0) Tommie Hansen

    https://creativecommons.org/licenses/by-sa/4.0/

*/



// req's

var log = require ('../core/log.js');

var config = require ('../core/util.js').getConfig();



// strategy

var strat = {

    

    /* INIT */

    init: function()

    {

        this.name = 'RSI Bull and Bear + ADX';

        this.requiredHistory = config.tradingAdvisor.historySize;

        this.resetTrend();        

        

        // debug? set to flase to disable all logging/messages/stats (improves performance)

        this.debug = false;

        

        // performance

        config.backtest.batchSize = 1000; // increase performance

        config.silent = true;

        config.debug = false;

        

        // SMA

        this.addTulipIndicator('maSlow', 'sma', { optInTimePeriod: this.settings.SMA_long });

        this.addTulipIndicator('maFast', 'sma', { optInTimePeriod: this.settings.SMA_short });

        

        // RSI

        this.addTulipIndicator('BULL_RSI', 'rsi', { optInTimePeriod: this.settings.BULL_RSI });

        this.addTulipIndicator('BEAR_RSI', 'rsi', { optInTimePeriod: this.settings.BEAR_RSI });

        

        // ADX

        this.addTulipIndicator('ADX', 'adx', { optInTimePeriod: this.settings.ADX })

        

        

        // debug stuff

        this.startTime = new Date();

        

        // add min/max if debug

        if( this.debug ){

            this.stat = {

                adx: { min: 1000, max: 0 },

                bear: { min: 1000, max: 0 },

                bull: { min: 1000, max: 0 }

            };

        }

        

    }, // init()

    

    

    /* RESET TREND */

    resetTrend: function()

    {

        var trend = {

            duration: 0,

            direction: 'none',

            longPos: false,

        };

    

        this.trend = trend;

    },

    

    

    /* get low/high for backtest-period */

    lowHigh: function( val, type )

    {

        let cur;

        if( type == 'bear' ) {

            cur = this.stat.bear;

            if( val < cur.min ) this.stat.bear.min = val; // set new

            else if( val > cur.max ) this.stat.bear.max = val;

        }

        else if( type == 'bull' ) {

            cur = this.stat.bull;

            if( val < cur.min ) this.stat.bull.min = val; // set new

            else if( val > cur.max ) this.stat.bull.max = val;

        }

        else {

            cur = this.stat.adx;

            if( val < cur.min ) this.stat.adx.min = val; // set new

            else if( val > cur.max ) this.stat.adx.max = val;

        }

    },

    

    

    /* CHECK */

    check: function()

    {

        // get all indicators

        let ind = this.tulipIndicators,

            maSlow = ind.maSlow.result.result,

            maFast = ind.maFast.result.result,

            rsi,

            adx = ind.ADX.result.result;

        

        

            

        // BEAR TREND

        if( maFast < maSlow )

        {

            rsi = ind.BEAR_RSI.result.result;

            let rsi_hi = this.settings.BEAR_RSI_high,

                rsi_low = this.settings.BEAR_RSI_low;

            

            // ADX trend strength?

            if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + 15;

            else if( adx < this.settings.ADX_low ) rsi_low = rsi_low -5;

                

            if( rsi > rsi_hi ) this.short();

            else if( rsi < rsi_low ) this.long();

            

            if(this.debug) this.lowHigh( rsi, 'bear' );

        }



        // BULL TREND

        else

        {

            rsi = ind.BULL_RSI.result.result;

            let rsi_hi = this.settings.BULL_RSI_high,

                rsi_low = this.settings.BULL_RSI_low;

            

            // ADX trend strength?

            if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + 5;        

            else if( adx < this.settings.ADX_low ) rsi_low = rsi_low -5;

                

            if( rsi > rsi_hi ) this.short();

            else if( rsi < rsi_low )  this.long();

            if(this.debug) this.lowHigh( rsi, 'bull' );

        }

        

        // add adx low/high if debug

        if( this.debug ) this.lowHigh( adx, 'adx');

    

    }, // check()

    

    

    /* LONG */

    long: function()

    {

        if( this.trend.direction !== 'up' ) // new trend? (only act on new trends)

        {

            this.resetTrend();

            this.trend.direction = 'up';

            this.advice('long');

            if( this.debug ) log.info('Going long');

        }

        

        if( this.debug )

        {

            this.trend.duration++;

            log.info('Long since', this.trend.duration, 'candle(s)');

        }

    },

    

    

    /* SHORT */

    short: function()

    {

        // new trend? (else do things)

        if( this.trend.direction !== 'down' )

        {

            this.resetTrend();

            this.trend.direction = 'down';

            this.advice('short');

            if( this.debug ) log.info('Going short');

        }

        

        if( this.debug )

        {

            this.trend.duration++;

            log.info('Short since', this.trend.duration, 'candle(s)');

        }

    },

    

    

    /* END backtest */

    end: function()

    {

        let seconds = ((new Date()- this.startTime)/1000),

            minutes = seconds/60,

            str;

            

        minutes < 1 ? str = seconds.toFixed(2) + ' seconds' : str = minutes.toFixed(2) + ' minutes';

        

        log.info('====================================');

        log.info('Finished in ' + str);

        log.info('====================================');

    

        // print stats and messages if debug

        if(this.debug)

        {

            let stat = this.stat;

            log.info('BEAR RSI low/high: ' + stat.bear.min + ' / ' + stat.bear.max);

            log.info('BULL RSI low/high: ' + stat.bull.min + ' / ' + stat.bull.max);

            log.info('ADX min/max: ' + stat.adx.min + ' / ' + stat.adx.max);

        }

        

    }

    

};



module.exports = strat;