Schaff Trend Cycle

[rob2112]

Hi all, I would like to thank Mike and the community for all the wonderful work on Gekko!
Even if I'm not a javascript expert I tried to give my small contribution writing the code as a native indicator (STC.js):

Code:

// SCHAFF TREND CYCLE INDICATOR
// ported to Gekko from ProRealCode.com Indicator: https://www.prorealcode.com/prorealtime-indicators/schaff-trend-cycle2/
// 2018 rob2112

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

var Indicator = function(config) {
 this.input = 'price'
 this.result = false;
 this.TCLen = config.TCLen;
 this.Factor = config.Factor;
 this.MA1Len = config.MA1Len;
 this.MA2Len = config.MA2Len;
 this.MA1 = new EMA(this.MA1Len);
 this.MA2 = new EMA(this.MA2Len);
 this.XMAChistory = [];
 this.PFhistory = [];
 this.PF = 0;
 this.PFF = 0;    
 this.prevPF = 0;
 this.prevPFF = 0;
}

Indicator.prototype.update = function (candle)
{
 // macd
 this.MA1.update(candle);
 this.MA2.update(candle);
 this.XMAC = this.MA1.result-this.MA2.result;    

 // macd stochastic
 this.XMAChistory.push(this.XMAC);

 if(_.size(this.XMAChistory) > this.TCLen)
        // remove oldest XMAC value
        this.XMAChistory.shift();
 this.Value1 = _.min(this.XMAChistory);
 this.Value2 = _.max(this.XMAChistory) - this.Value1;
 
 // %Fast K of macd
 if (this.Value2 > 0) this.Frac1 = ((this.XMAC -this.Value1)/this.Value2) * 100;
 else this.Value2 = this. prevValue2;
 
 // smoothed %Fast D of macd
 this.PF = this.prevPF + this.Factor*(this.Frac1-this.prevPF);    
 
 // %Fast D stochastic
 this.PFhistory.push(this.PF);

 if(_.size(this.PFhistory) > this.TCLen)
        // remove oldest PF value
        this.PFhistory.shift();
 this.Value3 = _.min(this.PFhistory);
 this.Value4 = _.max(this.PFhistory) - this.Value3;

 // %Fast K of PF
 if (this.Value4 > 0) this.Frac2 = ((this.PF -this.Value3)/this.Value4)* 100;
 else this.Value4 = this. prevValue4;

 // smoothed %Fast D of PF
 this.PFF = this.prevPFF + this.Factor*(this.Frac2-this.prevPFF);
    
 this.result = this.PFF;

 if (this.Value2) this.prevValue2 = this.Value2;
 if (this.Value4) this.prevValue4 = this.Value4;
 if (this.PF) this.prevPF = this.PF;
 if (this.PFF) this.prevPFF = this.PFF;

}

module.exports = Indicator;

 
this is a test strategy which buys and sells at oversold/overbought crossing (testSTC.js):

Code:

// This is a basic example strategy for Gekko.
// For more information on everything please refer
// to this document:
//
// https://gekko.wizb.it/docs/strategies/creating_a_strategy.html
//

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

// Let's create our own strat
var strat = {};

// Prepare everything our method needs
strat.init = function() {
 this.input = 'candle';
 this.currentTrend = 'long';
 this.requiredHistory = 0;
 this.STC = this.addIndicator('stc', 'STC', this.settings);
}

// What happens on every new candle?
strat.update = function(candle) {

 this.stc = this.indicators.stc.result;    

}

// For debugging purposes.
strat.log = function() {
 console.log('STC:'+this.stc.toFixed(3));
 //log.debug('\t', this.stc.toFixed(3));
    
}

// Based on the newly calculated
// information, check if we should
// update or not.
strat.check = function() {

 // Test advice buying when exiting oversold condition and selling when exiting overbought condition
 if(this.stc > 20 && this.prevstc < 20) this.advice('long');
 if(this.stc < 80 && this.prevstc > 80) this.advice('short');
 
 this.prevstc = this.stc;

 
}

module.exports = strat;

and finally this is the code for testSTC.toml:

Code:

TCLen = 10
Factor = 0.5
MA1Len = 23
MA2Len = 50

I couldn't make any serious test, just briefly compared with plotted indicator values, however I compared my result with Zschoro's implementation and found some different values.
Maybe somebody can have a look at the code or has some thoughts about how to test it against known correct results.