fix buyandhold strategy

c9s · Dec 14, 2020 · 6d15c62 · 6d15c62
1 parent 81c7d3c
commit 6d15c62
Showing 1 changed file with 25 additions and 2 deletions.
diff --git a/pkg/strategy/buyandhold/strategy.go b/pkg/strategy/buyandhold/strategy.go
@@ -21,23 +21,41 @@ func init() {
 type Strategy struct {
 	Symbol string `json:"symbol"`
 
-	Interval          string           `json:"interval"`
+	Interval          types.Interval   `json:"interval"`
 	BaseQuantity      float64          `json:"baseQuantity"`
 	MinDropPercentage fixedpoint.Value `json:"minDropPercentage"`
 	MinDropChange     fixedpoint.Value `json:"minDropChange"`
+
+	MovingAverageWindow int `json:"movingAverageWindow"`
 }
 
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
-	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	if s.Interval == "" {
+		s.Interval = types.Interval5m
+	}
+
+	if s.MovingAverageWindow == 0 {
+		s.MovingAverageWindow = 99
+	}
+
 	// buy when price drops -8%
 	market, ok := session.Market(s.Symbol)
 	if !ok {
 		return fmt.Errorf("market %s is not defined", s.Symbol)
 	}
 
+	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
+	if !ok {
+		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
+	}
+
+	var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
+	var ema = standardIndicatorSet.EWMA(iw)
+
 	session.Stream.OnKLine(func(kline types.KLine) {
 		// skip k-lines from other symbols
 		if kline.Symbol != s.Symbol {
@@ -61,6 +79,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			return
 		}
 
+		if kline.Close > ema.Last() {
+			log.Warnf("kline close price %f is above EMA %s %f", kline.Close, ema.IntervalWindow, ema.Last())
+			return
+		}
+
 		changeP := change / kline.Open
 
 		if s.MinDropPercentage != 0 {