persistable sclass MultiPullbackJuicer extends StopLossJuicer { sclass Level { // Starting at juice value minJuiceValue, keep keepPercentage of the juice. // Keep percentages between levels are interpolated linearly. // No keeping at all below first minJuiceValue. settable double minJuiceValue; settable double keepPercentage; toString { ret "Keep " + keepPercentage + "% starting at " + formatDouble2(minJuiceValue); } } settableWithVar new L levels; // Highest juice value seen settableWithVar double crest = -infinity(); settableWithVar double currentMaxPullback; { onCalculatingCloseSignals(signals -> { if (juiceValue > crest) crest(juiceValue); if (crest < 0) ret; double keepPercentage = getKeepPercentageForJuiceValue(crest); if (keepPercentage > 100) ret; double toKeep = crest*(keepPercentage/100); currentMaxPullback(crest-toKeep); var signal = new CloseSignal().createdBy(this).reason("Profit"); if (currentMaxPullback == 0) signal.strength(100); else signal.strength(doubleRatio(crest-juiceValue, currentMaxPullback)*100); signals.add(signal); }); } double getKeepPercentageForJuiceValue(double juice) { for (int i = l(levels)-1; i >= 0; i--) { Level level = levels.get(i); if (juice < level.minJuiceValue) continue; Level nextLevel = get(levels, i+1); if (nextLevel == null) ret level.keepPercentage; ret blend(level.keepPercentage, nextLevel.keepPercentage, transformToZeroToOne(juice, level.minJuiceValue, nextLevel.minJuiceValue)); } ret 101; } void addLevel(double minJuiceValue, double keepPercentage) { levels.add(new Level().minJuiceValue(minJuiceValue).keepPercentage(keepPercentage)); } toString { ret commaCombine( shortClassName(this), !stopLossEnabled ? null : "Stop loss: " + formatDouble2(stopLossLimit()), levels, crest == -infinity() ? null : "Highest profit seen: " + formatDouble2(crest), currentMaxPullback == 0 ? null : "Current max pullback: " + formatDouble2(currentMaxPullback), ); } void copyTransientValuesFrom(AbstractJuicer juicer) { if (juicer cast MultiPullbackJuicer) crest(juicer.crest); } }