Hi friends, I'm looking for someone who can help me with the implementation of my first gekko strategy. I managed to add all the necessary files to the gekko directory so that I do not give an error once started. the problem is that the bot makes zero trade.
[node version:9.5.0 ; npm version:5.6.0; gekko version:0.5.12]
these are the files I used:
This is BB.js (/strategies/indicators/)
This is StochRSI_MACD_BB.js in / strategies /:
and this is toml in / config / strategies /:
[node version:9.5.0 ; npm version:5.6.0; gekko version:0.5.12]
these are the files I used:
This is BB.js (/strategies/indicators/)
Code:
// no required indicators
// Bollinger Bands - Okibcn implementation 2018-01-02
// hand0722 customized 2019-01-09
var Indicator = function(BBSettings) {
this.input = 'price';
this.settings = BBSettings;
// Settings:
// TimePeriod: The amount of samples used for the average.
// NbDevUp: The distance in stdev of the upper band from the SMA.
// NbDevDn: The distance in stdev of the lower band from the SMA.
this.prices = [];
this.diffs = [];
this.age = 0; // age = Warm Up Period
this.sum = 0;
this.sumsq = 0;
this.upper = 0;
this.middle = 0;
this.lower = 0;
}
Indicator.prototype.update = function(price) {
var tail = this.prices[this.age] || 0; // oldest price in window
var diffsTail = this.diffs[this.age] || 0; // oldest average in window
this.prices[this.age] = price;
this.sum += price - tail;
this.middle = this.sum / this.prices.length; // SMA value
// your code:
// this.diffs[this.age] = (price - this.middle);
// customized code (see formula), we have to build a math.pow:
this.diffs[this.age] = Math.pow((price - this.middle), 2);
// your code:
// this.sumsq += this.diffs[this.age] ** 2 - diffsTail ** 2;
// customized code:
this.sumsq += this.diffs[this.age] - diffsTail;
// your code:
// var stdev = Math.sqrt(this.sumsq) / this.prices.length;
// customized code (see formula), we have to build a math.sqrt over the whole expression:
var stdev = Math.sqrt(this.sumsq / this.prices.length);
this.upper = this.middle + this.settings.NbDevUp * stdev;
this.lower = this.middle - this.settings.NbDevDn * stdev;
this.age = (this.age + 1) % this.settings.TimePeriod;
}
module.exports = Indicator;This is StochRSI_MACD_BB.js in / strategies /:
Code:
/*
StochRSI - SamThomp 11/06/2014
(updated by askmike) @ 30/07/2016
*/
// helpers
var _ = require('lodash');
var log = require('../core/log.js');
var RSI = require('./indicators/RSI.js');
// let's create our own method
var method = {};
// prepare everything our method needs
method.init = function() {
this.interval = this.settings.interval;
this.trend = {
direction: 'none',
duration: 0,
persisted: false,
adviced: false
};
this.requiredHistory = this.tradingAdvisor.historySize;
// define the indicators we need
this.addIndicator('rsi', 'RSI', { interval: this.interval });
this.addIndicator('macd', 'MACD', this.settings);
this.addIndicator('bb', 'BB', this.settings.bbands);
this.RSIhistory = [];
}
// what happens on every new candle?
method.update = function(candle) {
this.rsi = this.indicators.rsi.result;
this.RSIhistory.push(this.rsi);
if(_.size(this.RSIhistory) > this.interval)
// remove oldest RSI value
this.RSIhistory.shift();
this.lowestRSI = _.min(this.RSIhistory);
this.highestRSI = _.max(this.RSIhistory);
this.stochRSI = ((this.rsi - this.lowestRSI) / (this.highestRSI - this.lowestRSI)) * 100;
}
// for debugging purposes log the last
// calculated parameters.
method.log = function(candle) {
var digits = 8;
log.debug('calculated StochRSI properties for candle:');
log.debug('\t', 'rsi:', this.rsi.toFixed(digits));
log.debug("StochRSI min:\t\t" + this.lowestRSI.toFixed(digits));
log.debug("StochRSI max:\t\t" + this.highestRSI.toFixed(digits));
log.debug("StochRSI Value:\t\t" + this.stochRSI.toFixed(2));
//MACD
var macd = this.indicators.macd;
var diff = macd.diff;
var signal = macd.signal.result;
var BB = this.indicators.bb;
var price = candle.close;
var macddiff = this.indicators.macd.result;
//BB
var BB = this.indicators.bb;
//BB.lower; BB.upper; BB.middle are your line values
var MACDsaysBUY = macddiff > this.settings.thresholds.up;
var MACDsaysSELL = macddiff <= this.settings.thresholds.down;
var StochRSIsaysBUY = this.stochRSI < this.settings.thresholds.low;
var StochRSIsaysSELL = this.stochRSI >= this.settings.thresholds.high;
var BBsayBUY=price >= (BB.middle-(BB.middle-BB.lower)/4);
var BBsaySELL=price <= BB.lower; //>= BB.upper || price <= BB.lower
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));
log.debug('\t', 'BB.lower:', BB.lower.toFixed(digits));
log.debug('\t', 'BB.middle:', BB.middle.toFixed(digits));
log.debug('\t', 'BB.upper:', BB.upper.toFixed(digits));
log.debug('\t', 'price', price.toFixed(digits));
if(BBsayBUY) {
log.debug('\t', 'BBsaysBUY');
}
if(MACDsaysBUY) {
log.debug('\t', 'MACDsaysBUY');
}
if(StochRSIsaysBUY) {
log.debug('\t', 'StochRSIsaysBUY');
}
if(BBsaySELL) {
log.debug('\t', 'BBsaysSELL');
}
if(MACDsaysSELL) {
log.debug('\t', 'MACDsaysSELL');
}
if(StochRSIsaysSELL) {
log.debug('\t', 'StochRSIsaysSELL');
}
if(MACDsaysSELL && StochRSIsaysSELL) {
log.debug('\t', 'StochRSIsaysSELL and MACDsaysSELL');
}
if(MACDsaysBUY && StochRSIsaysBUY && BBsayBUY) {
log.debug('\t', 'MACDsaysBUY and StochRSIsaysBUY and BBsaysBUY');
}
}
method.check = function(candle) {
//MACD
var macddiff = this.indicators.macd.result;
//BB
var BB = this.indicators.bb;
//BB.lower; BB.upper; BB.middle are your line values
var price = candle.close;
//buy when stochRSI in low and MACD in up
//short->sell, long->buy
var MACDsaysBUY = macddiff > this.settings.thresholds.up;
var MACDsaysSELL = macddiff <= this.settings.thresholds.down;
var StochRSIsaysBUY = this.stochRSI < this.settings.thresholds.low;
var StochRSIsaysSELL = this.stochRSI >= this.settings.thresholds.high;
var BBsayBUY=price >= (BB.middle-(BB.middle-BB.lower)/4);
var BBsaySELL=price <= BB.lower; //>= BB.upper || price <= BB.lower
if(MACDsaysSELL && StochRSIsaysSELL) {
// new trend detected
if(this.trend.direction !== 'high')
this.trend = {
duration: 0,
persisted: false,
direction: 'high',
adviced: false
};
this.trend.duration++;
log.debug('In high 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();
}
//buy when stochRSI in high and MACD in low
else if(MACDsaysBUY && StochRSIsaysBUY && BBsayBUY) {
// new trend detected
if(this.trend.direction !== 'low')
this.trend = {
duration: 0,
persisted: false,
direction: 'low',
adviced: false
};
this.trend.duration++;
log.debug('In low 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 {
// trends must be on consecutive candles
this.trend.duration = 0;
log.debug('In no trend');
this.advice();
}
}
module.exports = method;and this is toml in / config / strategies /:
Code:
interval = 14
short = 12
long = 26
signal = 9
[bbands]
TimePeriod = 20
NbDevDn = 2
NbDevUp = 2
persistence_upper = 10
persistence_lower = 10
[thresholds]
low = 20
high = 80
down = 0.1
persistence = 2