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set flag Reparse. replace real with double. replace Real with Double. replace price with float. // Persistence: // MPM3.BotInActionis persistable which in turn means // MPM3, Position, Juicer and other classes are also persistable. // We don't persist Position.ticker for space reasons though. persistable sclass MPM3 { // MARKET (trading platform) // How much percentual slippage we have for each position on // average plus the fees for the position. // Obviously dependent on the market (trading site) we are using. settable real marketAdversity = 0.12 + 0.08; // SELF-IMPOSED LIMITS // How long a position can be held at the longest gettable real maxPositionDuration = minutesToMS(60); real minimalMaxDuration() { ret minutesToMS(1); } // correct user if they are stupid selfType maxPositionDuration(real whatUserWants) { maxPositionDuration = max(whatUserWants, minimalMaxDuration()); this; } // POSITIONS // An open(ed) position persistable record Position(transient TickerSequence ticker, real openingTime, real direction) { // Set this to a non-null value if this is a real position on a real market settable O irlInfo; real openingPrice() { ret ticker.priceAtTimestamp(openingTime); } real profitAtTime(real time) { ret (ticker.priceAtTimestamp(time)/openingPrice()*100-100)*direction - marketAdversity; } real openingTime() { ret openingTime; } } persistable record LivePosition(Position p) { settable Juicer juicer; // highest profit this position has reached settable real crest = -infinity(); settable real time; // time we last updated this position settable real profit; // expected profit at that time simplyCached real maxClosingTime() { ret min(p.openingTime+maxPositionDuration, p.ticker.endTime()); } bool shouldClose() { ret time >= maxClosingTime() || profit < (profit < 0 ? -juicer.lossTolerance : crest-juicer.pullback); } // >= 1 to close // otherwise keep open real closeSignal() { // How close are we to the max closing time? real signal = transformToZeroToOne(time, p.openingTime(), maxClosingTime()); // How close are we to our loss limit? if (profit < 0) signal = max(signal, doubleRatio(-profit, juicer.lossTolerance)); else // How close are we to the pullback limit? signal = max(signal, transformToZeroToOne(profit, crest, crest-juicer.pullback)); ret signal; } } record ClosedPosition(Position p, real closingTime) { real profit = Double.NaN; MPM3 mpm() { ret MPM3.this; } TickerSequence ticker() { ret p.ticker; } real direction() { ret p.direction; } real openingTime() { ret p.openingTime; } real closingTime() { ret closingTime; } real openingPrice() { ret p.openingPrice(); } real closingPrice() { ret ticker().priceAtTimestamp(closingTime); } real duration() { ret closingTime()-openingTime(); } real profit() { if (isNaN(profit)) profit = p.profitAtTime(closingTime); ret profit; } } // Wrappers for L and L // (maybe not needed?) sclass LivePositions { L positions = syncL(); } sclass ClosedPositions { L positions = syncL(); } // BOT (Eye + Juicer) persistable srecord Juicer(real lossTolerance, real pullback) {} abstract sclass Eye { // returns -1 to open short, 1 to open long // and anything in between to do nothing abstract real adviseDirection(TickerPoint tickerPoint); } // time = ms to look back srecord SimpleEye(long lookbackTime, real minMove) extends Eye { real adviseDirection(TickerPoint tickerPoint) { real move = calculateMove(tickerPoint); if (isNaN(move)) ret 0; real relativeMove = doubleRatio(move, minMove); ret clamp(relativeMove, -1, 1); } real calculateMove(TickerPoint tickerPoint) { if (!tickerPoint.canLookback(lookbackTime)) ret Double.NaN; real currentPrice = tickerPoint.currentPrice(); real before = tickerPoint.lookback(lookbackTime); ret currentPrice/before*100-100; } } srecord TradingBot(Eye eye, Juicer juicer) { *(real lookbackMinutes, real minMove, real maxLoss, real pullback) { eye = new SimpleEye(minutesToMS(lookbackMinutes), minMove); juicer = new Juicer(maxLoss, pullback); } } sclass BotInAction { TradingBot botConfiguration; // Both open and closed positions may be purely simulated or // mirrors of positions actually made IRL (see Position.irlInfo). new ListWithChangeListeners openPositions; new ListWithChangeListeners closedPositions; } ClosedPosition runJuicer(Position p, Juicer j) { TickerSequence ticker = p.ticker; long time = lround(p.openingTime); double maxClosingTime = min(time+maxPositionDuration, ticker.endTime()); real crest = -infinity(); while (time < maxClosingTime) { time = ticker.nextTimestamp(time); real profit = p.profitAtTime(time); crest = max(crest, profit); if (profit < (profit < 0 ? -j.lossTolerance : crest-j.pullback)) break; } ret new ClosedPosition(p, time); } record noeq Backtest(TickerSequence ticker, TradingBot bot) extends Convergent { new L closedPositions; long time; double latestAllowedOpeningTime() { ret ticker.endTime()-maxPositionDuration; } void step { if (time == 0) time = ticker.startTime(); if (time > latestAllowedOpeningTime()) ret with done = true; TickerPoint tickerPoint = new(ticker, time); real direction = bot.eye.adviseDirection(tickerPoint); if (abs(direction) < 1) // No position to open, move to next timestamp time = ticker.nextTimestamp(time); else { // We have a position to open var position = new Position(ticker, time, direction); // Ask juicer when to close position var closedPosition = runJuicer(position, bot.juicer); // Add to record of positions made closedPositions.add(closedPosition); // Move on to next timestamp time = ticker.nextTimestamp(closedPosition.closingTime); } } } }