[BOUNTY] Transform a Pine Script indicator to a Gekko indicator

[MeanSquaredError]

Hi,
After some testing and discussion with Road.Apps it seems that the current indicator and strategy need more flexibility in order to be usable in live trading. I won't have the time to work on further improvements, because I am busy with other projects, so I will post the current code here in this thread. Anyone willing to take over the implementation of this feature can use the code as a starting point or just as a reference. Mike, please keep the bounty for whomever decides to take over the project (the strategy is not giving very good results in its current form).

The following code goes to
gekko/strategies/TDM_SEQ.js

Code:

var strat = {
 init: function() {
   this.name = 'TDM_SEQ';
   this.numCountdowns = 0;
   this.pendingAdvice = null;
   this.addIndicator('tdmSeq', 'TDM_SEQ');
 },

 update: function(candle) {
   var seqResult;

   this.indicators.tdmSeq.update(candle);
   seqResult = this.indicators.tdmSeq.result;
   if (this.numCountdowns != seqResult.numCountdowns) {
    console.log('TDM_SEQ(s): New complete countdown (', seqResult.lastCdType, ') after candle on', candle.start);
    this.numCountdowns = seqResult.numCountdowns;
    this.pendingAdvice = seqResult.lastCdType;
   }
 },

 log: function () {},

 check: function() {
   switch (this.pendingAdvice) {
   case 'buy':
     console.log('TDM_SEQ(s): Advising long');
     this.advice('long');
     this.pendingAdvice = null;
     break;
   case 'sell':
     console.log('TDM_SEQ(s): Advising short');
     this.advice('short');
     this.pendingAdvice = null;
     break;
   default:
//      console.log('TDM_SEQ(s): Advising none');
     this.advice();
     break;
   }
 }
};

module.exports = strat;

And the following code goes to
gekko/strategies/indicators/TDM_SEQ.js

Code:

/*
* Tom DeMark's Sequential indicator
*
* The return variable is an object with following properties:
*
* numCountdowns: Number of countdowns found so far (integer)
* lastCdType: Last countdown type. Can be 'buy' or 'sell' (string)
* lastCdPerfectSetup: A boolean flag indicating whether last countdown had a perfect setup. (boolean)
*
*/

var Indicator = function() {
 this.histData = [];
 this.histMax = 20;
 this.state = 'none';
 this.perfectSetup = null;
 this.countdownCandles = null;
 this.countdownCandleEight = null;
 this.stateToNone();
 this.result = {numCountdowns: 0, lastCdType: null, lastCdPerfectSetup: null};
//  console.log('TDM_SEQ(i): Created an indicator');
};

Indicator.prototype.update = function(candle) {
 this.addToHistory(candle);
 this.updateFromHistory();
};

Indicator.prototype.addToHistory = function(candle) {
 this.histData.unshift(candle);
 if (this.histData.length > this.histMax) {
   this.histData.pop();
 }
//  console.log('TDM_SEQ(i): Added a candle:', JSON.stringify(candle));
};

Indicator.prototype.updateFromHistory = function() {
/*
 console.log(
   'TDM_SEQ(i): Variables before candle',
   JSON.stringify({state: this.state, perfectSetup: this.perfectSetup, countdownCandles: this.countdownCandles})
 );
*/
 for (;;) {
   if (this.updateAttempt()) {
     break;
   }
   this.stateToNone();
 }
/*
 console.log(
   'TDM_SEQ(i): Variables after candle',
   JSON.stringify({state: this.state, perfectSetup: this.perfectSetup, countdownCandles: this.countdownCandles})
 );
*/
};

Indicator.prototype.updateAttempt = function() {
 switch (this.state) {
 case 'none':
   if (this.checkBuySetup()) {
//      console.log('TDM_SEQ(i): Found a buy setup');
     this.state = 'buy_countdown';
     this.countdownCandles = 0;
     this.perfectSetup = Math.min(this.histData [0].low, this.histData [1].low) < Math.min(this.histData [2].low, this.histData [3].low);
   } else if (this.checkSellSetup()) {
//      console.log('TDM_SEQ(i): Found a sell setup');
     this.state = 'sell_countdown';
     this.countdownCandles = 0;
     this.perfectSetup = Math.max(this.histData [0].high, this.histData [1].high) > Math.min(this.histData [2].high, this.histData [3].high);
   }
   return (true);
 case 'buy_countdown':
   if (this.checkSellSetup()) {
//      console.log('TDM_SEQ(i): Canceling buy countdown because of a sell setup');
     this.stateToNone();
     return (false);
   }
   if (this.histData [0].close <= this.histData [2].low) {
     ++this.countdownCandles;
   }
   if (this.countdownCandles == 8) {
     this.countdownCandleEight = this.histData [0];
   }
   if ((this.countdownCandles >= 13) && (this.histData [0].low <= this.countdownCandleEight.close)) {
     this.addCountdownToResult('buy');
     this.stateToNone();
   }
   return (true);
 case 'sell_countdown':
   if (this.checkBuySetup()) {
//      console.log('TDM_SEQ(i): Canceling sell countdown because of a buy setup');
     this.stateToNone();
     return (false);
   }
   if (this.histData [0].close >= this.histData [2].high) {
     ++this.countdownCandles;
   }
   if (this.countdownCandles == 8) {
     this.countdownCandleEight = this.histData [0];
   }
   if ((this.countdownCandles >= 13) && (this.histData [0].high >= this.countdownCandleEight.close)) {
     this.addCountdownToResult('sell');
     this.stateToNone();
   }
   return (true);
 default:
//    console.log('TDM_SEQ(i): Unknown state', this.state);
   this.stateToNone();
   return (false);
 }
};

Indicator.prototype.checkBuySetup = function() {
 var i;

 if (this.histData.length < 13) {
   return (false);
 }
 for (i = 0; i < 9; ++i) {
   if (this.histData [i].close >= this.histData [i+4].close) {
       return (false);
   }
 }
 return (true);
};

Indicator.prototype.checkSellSetup = function() {
 var i;

 if (this.histData.length < 13) {
   return (false);
 }
 for (i = 0; i < 9; ++i) {
   if (this.histData [i].close <= this.histData [i+4].close) {
       return (false);
   }
 }
 return (true);
};

Indicator.prototype.stateToNone = function() {
 this.state = 'none';
 this.perfectSetup = null;
 this.countdownCandles = null;
 this.countdownCandleEight = null;
};

Indicator.prototype.addCountdownToResult = function(type) {
 ++this.result.numCountdowns;
 this.result.lastCdType = type;
 this.result.lastCdPerfectSetup = this.perfectSetup;
};

module.exports = Indicator;