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Carlos Rodriguez
committed
strat abstraction, regression of -1.50% over buy/hold
1 parent 9b7dc72 commit f1f64fb

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13 files changed

+239
-188
lines changed

13 files changed

+239
-188
lines changed

‎_codemap.js‎

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@@ -3,7 +3,8 @@ module.exports = {
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_maps: [
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require('./commands/_codemap'),
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require('./db/_codemap'),
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require('./lib/_codemap')
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require('./lib/_codemap'),
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require('./strategies/_codemap')
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],
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'conf': null,
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'exchanges.list': []

‎boot.js‎

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@@ -4,9 +4,7 @@ module.exports = function (cb) {
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var c = require('./conf')
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}
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catch (e) {
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var err = new Error('conf error')
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err.code = 'CONF'
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return cb(err, zenbot)
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c = {}
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}
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var defaults = require('./defaults')
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Object.keys(defaults).forEach(function (k) {

‎commands/_codemap.js‎

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@@ -2,20 +2,14 @@ module.exports = {
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_ns: 'zenbot',
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_folder: 'commands',
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'list[0]': '#commands.init',
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'list[10]': '#commands.extend',
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'list[20]': '#commands.list-selectors',
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'list[30]': '#commands.watch',
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'list[40]': '#commands.watcher',
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'list[50]': '#commands.backfill',
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'list[60]': '#commands.sim',
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'init': require('./init'),
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'extend': require('./extend'),
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'list-selectors': require('./list-selectors'),
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'ls': '#commands.list-selectors',
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'watch': require('./watch'),
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'watcher': require('./watcher'),
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'backfill': require('./backfill'),
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'sim': require('./sim')
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}

‎commands/sim.js‎

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‎conf.js.tpl‎

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This file was deleted.

‎defaults.js‎

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@@ -1,12 +1,20 @@
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var path = require('path')
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module.exports = {
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watcher_poll_selectors: 10000,
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mongo_host: 'localhost',
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mongo_port: 27017,
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mongo_db: 'zenbot4',
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mongo_username: null,
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mongo_password: null,
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strategy: 'trend_ema_rate',
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watcher_error_backoff: 30000,
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watcher_poll_new: 10000,
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backfill_days: 90,
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request_timeout: 10000,
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backfill_min_gap: 600000,
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default_strategy: path.resolve(__dirname, 'strategies', 'incremental_speculation.js'),
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lookback_size: 200
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lookback_size: 200,
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fee_pct: 0.25,
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start_capital: 1000,
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markup_pct: 0.01,
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markdown_pct: 0.01,
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bid_adjust_time: 300000,
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max_sell_loss_pct: -10
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}

‎lib/_codemap.js‎

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@@ -2,7 +2,9 @@ module.exports = {
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_ns: 'zenbot',
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_folder: 'lib',
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'ema': require('./ema'),
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'list-selectors': require('./list-selectors'),
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'load-strategy': require('./load-strategy'),
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'normalize-selector': require('./normalize-selector')
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'normalize-selector': require('./normalize-selector'),
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'rsi': require('./rsi')
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}

‎lib/ema.js‎

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@@ -0,0 +1,16 @@
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module.exports = function container (get, set, clear) {
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return function ema (s, key, length) {
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if (s.lookback.length >= length) {
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var prev_ema = s.lookback[0][key]
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if (!prev_ema) {
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var sum = 0
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s.lookback.slice(0, length).forEach(function (period) {
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sum += period.close
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})
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prev_ema = sum / length
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}
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var multiplier = 2 / (length + 1)
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s.period[key] = (s.period.close - prev_ema) * multiplier + prev_ema
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}
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}
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}

‎lib/rsi.js‎

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module.exports = function container (get, set, clear) {
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return function rsi (s, key, length) {
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if (s.lookback.length >= length) {
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var avg_gain = s.lookback[0][key + '_avg_gain']
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var avg_loss = s.lookback[0][key + '_avg_loss']
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if (typeof avg_gain === 'undefined') {
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var gain_sum = 0
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var loss_sum = 0
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var last_close
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s.lookback.slice(0, length).forEach(function (period) {
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if (last_close) {
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if (period.close > last_close) {
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gain_sum += period.close - last_close
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}
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else {
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loss_sum += last_close - period.close
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}
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}
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last_close = period.close
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})
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s.period[key + '_avg_gain'] = gain_sum / length
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s.period[key + '_avg_loss'] = loss_sum / length
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}
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else {
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var current_gain = s.period.close - s.lookback[0].close
26+
s.period[key + '_avg_gain'] = ((avg_gain * (length - 1)) + (current_gain > 0 ? current_gain : 0)) / length
27+
var current_loss = s.lookback[0].close - s.period.close
28+
s.period[key + '_avg_loss'] = ((avg_loss * (length - 1)) + (current_loss > 0 ? current_loss : 0)) / length
29+
}
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var rs = s.period[key + '_avg_gain'] / s.period[key + '_avg_loss']
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s.period[key] = Math.round(100 - (100 / (1 + rs)))
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}
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}
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}

‎package.json‎

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@@ -15,6 +15,7 @@
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"mongodb": "^2.2.25",
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"numbro": "git+https://github.com/carlos8f/numbro.git",
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"run-parallel": "^1.1.6",
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"run-series": "^1.1.4",
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"sosa_mongo": "^1.0.3",
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"timebucket": "^0.4.0",
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"zero-fill": "^2.2.3"

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