Add simple crossover_vwap strategy with vwap indicator. (DeviaVir#853)

tiagosiebler · DeviaVir · commit 2f54cfe3b584 · 2017-12-13T14:29:26.000+01:00
* Add simple vwap indicator.

* Add simple vwap indicator

* Add crossover_vwap strategy, based on tests with XRP-EUR on kraken.

* Add crossover_vwap strategy, based on tests with XRP-EUR on kraken. Tweaked reporting within strat &amp; defaults.
diff --git a/extensions/strategies/crossover_vwap/_codemap.js b/extensions/strategies/crossover_vwap/_codemap.js
@@ -0,0 +1,6 @@
+module.exports = {
+  _ns: 'zenbot',
+
+  'strategies.crossover_vwap': require('./strategy'),
+  'strategies.list[]': '#strategies.crossover_vwap'
+}
diff --git a/extensions/strategies/crossover_vwap/strategy.js b/extensions/strategies/crossover_vwap/strategy.js
@@ -0,0 +1,102 @@
+var z = require('zero-fill')
+  , n = require('numbro')
+  //, fs = require('fs'), fs_started = false
+;
+
+
+var data = "";
+/*
+if(!fs_started) {
+  fs.appendFile('log.csv', 'pid'+','+'pOpen'+','+'pClose'+','+'emagreen'+','+'smapurple'+','+'smared'+'\n', (err)=>{});
+  fs_started = true;
+}//*/
+module.exports = function container (get, set, clear) {
+  return {
+    name: 'crossover_vwap',
+    description: 'Testing indicator with vwap',
+
+    getOptions: function () {
+      // these are relative to period length. Good tests so far: period=5m or 90m
+      
+      // default start is 30, 108, 60.
+      this.option('emalen1', 'Length of EMA 1', Number, 30 )//green
+      this.option('smalen1', 'Length of SMA 1', Number, 108 )//red
+      this.option('smalen2', 'Length of SMA 2', Number, 60 )//purple
+      this.option('vwap_length', 'Min periods for vwap to start', Number, 10 )//gold
+      this.option('vwap_max', 'Max history for vwap. Increasing this makes it more sensitive to short-term changes', Number, 8000)//gold
+    },
+    
+    /*
+      zenbot sim kraken.XXRP-ZEUR --period="120m" --strategy=crossover_vwap --currency_capital=700 --asset_capital=0 --max_slippage_pct=100 --days=60 --avg_slippage_pct=0.045 --vwap_max=8000 --markup_sell_pct=0.5 --markdown_buy_pct=0.5 --emalen1=50
+      zenbot sim kraken.XXRP-ZEUR --period="120m" --strategy=crossover_vwap --currency_capital=700 --asset_capital=0 --max_slippage_pct=100 --days=60 --avg_slippage_pct=0.045 --vwap_max=8000 --markup_sell_pct=0.5 --markdown_buy_pct=0.5 --emalen1=30
+    */
+    calculate: function (s) {
+        // compute MACD
+        //get('lib.ti_vwap')(s, 'vwap', s.options.vwap_len)//gold
+        get('lib.vwap')(s, 'vwap', s.options.vwap_length, s.options.vwap_max)//gold
+        
+        get('lib.ema')(s, 'ema1', s.options.emalen1)//green
+        get('lib.sma')(s, 'sma1', s.options.smalen1, 'high')//red
+        get('lib.sma')(s, 'sma2', s.options.smalen2)//purple
+    },
+    
+    onPeriod: function (s, cb) { 
+      let pOpen = s.period.open,
+        pClose = s.period.close,
+        emagreen = s.period.ema1,
+        smared = s.period.sma1,
+        smapurple= s.period.sma2,
+        vwapgold = s.period.vwap;
+    
+     // helper functions
+     var trendUp = function(s, cancel){
+        if (s.trend !== 'up') {
+          s.acted_on_trend = false
+        }
+        s.trend = 'up'
+        s.signal = !s.acted_on_trend ? 'buy' : null
+        s.cancel_down = false
+
+        if(cancel)
+          s.cancel_down = true
+      },
+      trendDown = function(s){
+        if (s.trend !== 'down') {
+          s.acted_on_trend = false
+        }
+        s.trend = 'down'
+        s.signal = !s.acted_on_trend ? 'sell' : null
+      };
+      
+      if(emagreen && smared && smapurple && s.period.vwap){
+        
+        if(vwapgold > emagreen) trendUp(s, true)
+        else trendDown(s)
+          
+      }
+      cb()
+    },
+
+    onReport: function (s) {
+      var cols = []
+      let pOpen = s.period.open,
+        pClose = s.period.close,
+        emagreen = s.period.ema1,
+        smared = s.period.sma1,
+        smapurple= s.period.sma2,
+        vwapgold = s.period.vwap
+      
+      if (vwapgold && emagreen) {   
+        var color = "green";
+        if(vwapgold > emagreen) color = "red"
+          
+        cols.push(z(6, n(vwapgold).format('0.00000'), '')['yellow'] + ' ')
+        cols.push(z(6, n(emagreen).format('0.00000'), '')[color] + ' ')
+      }
+      else {
+        cols.push('                ')
+      }
+      return cols
+    }
+  }
+}
diff --git a/lib/_codemap.js b/lib/_codemap.js
@@ -17,5 +17,6 @@ module.exports = {
   'tcf': require('./tcf'),
   'vma': require('./vma'),
   'lrc': require('./lrc'),
-  'adx': require('./adx')
+  'adx': require('./adx'),
+  'vwap': require('./vwap')
 }
diff --git a/lib/vwap.js b/lib/vwap.js
@@ -0,0 +1,30 @@
+module.exports = function container (get, set, clear) {
+  return function vwap (s, key, length, max_period, source_key) {
+    if (!source_key) source_key = 'close'
+    
+    if (s.lookback.length >= length) {
+      if(!s.vwap){
+        s.vwap = 0, 
+        s.vwapMultiplier = 0, 
+        s.vwapDivider = 0,
+        s.vwapCount = 0;
+      }
+      
+      if(max_period && s.vwapCount > max_period){
+        s.vwap = 0, 
+        s.vwapMultiplier = 0, 
+        s.vwapDivider = 0,
+        s.vwapCount = 0;
+      }
+      
+      s.vwapMultiplier = s.vwapMultiplier + parseFloat(s.period[source_key]) * parseFloat(s.period['volume']);
+      s.vwapDivider = s.vwapDivider + parseFloat(s.period['volume']);
+      
+      
+      s.period[key] = s.vwap = s.vwapMultiplier / s.vwapDivider;
+      
+      s.vwapCount++;
+      
+    }
+  }
+}

Original file line number	Diff line number	Diff line change
`@@ -17,5 +17,6 @@ module.exports = {`
`17`	`17`	`'tcf': require('./tcf'),`
`18`	`18`	`'vma': require('./vma'),`
`19`	`19`	`'lrc': require('./lrc'),`
`20`		`- 'adx': require('./adx')`
	`20`	`+ 'adx': require('./adx'),`
	`21`	`+ 'vwap': require('./vwap')`
`21`	`22`	`}`