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1 | persistable sclass MultiPullbackJuicer extends StopLossJuicer {
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2 | sclass Level {
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3 | // Starting at juice value minJuiceValue, keep keepPercentage of the juice. |
4 | // Keep percentages between levels are interpolated linearly. |
5 | // No keeping at all below first minJuiceValue. |
6 | settable double minJuiceValue; |
7 | settable double keepPercentage; |
8 | |
9 | toString { ret "Keep " + keepPercentage + "% starting at " + formatDouble2(minJuiceValue); }
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10 | } |
11 | |
12 | settableWithVar new L<Level> levels; |
13 | |
14 | // Highest juice value seen |
15 | settableWithVar double crest = -infinity(); |
16 | |
17 | settableWithVar double currentMaxPullback; |
18 | |
19 | {
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20 | onCalculatingCloseSignals(signals -> {
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21 | if (juiceValue > crest) |
22 | crest(juiceValue); |
23 | |
24 | if (crest < 0) ret; |
25 | |
26 | double keepPercentage = getKeepPercentageForJuiceValue(crest); |
27 | if (keepPercentage > 100) ret; |
28 | |
29 | double toKeep = crest*(keepPercentage/100); |
30 | currentMaxPullback(crest-toKeep); |
31 | |
32 | var signal = new CloseSignal().createdBy(this).reason("Profit");
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33 | if (currentMaxPullback == 0) |
34 | signal.strength(100); |
35 | else |
36 | signal.strength(doubleRatio(crest-juiceValue, currentMaxPullback)*100); |
37 | signals.add(signal); |
38 | }); |
39 | } |
40 | |
41 | double getKeepPercentageForJuiceValue(double juice) {
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42 | for (int i = l(levels)-1; i >= 0; i--) {
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43 | Level level = levels.get(i); |
44 | if (juice < level.minJuiceValue) |
45 | continue; |
46 | |
47 | Level nextLevel = get(levels, i+1); |
48 | if (nextLevel == null) |
49 | ret level.keepPercentage; |
50 | |
51 | ret blend(level.keepPercentage, nextLevel.keepPercentage, |
52 | transformToZeroToOne(juice, level.minJuiceValue, nextLevel.minJuiceValue)); |
53 | } |
54 | ret 101; |
55 | } |
56 | |
57 | void addLevel(double minJuiceValue, double keepPercentage) {
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58 | levels.add(new Level().minJuiceValue(minJuiceValue).keepPercentage(keepPercentage)); |
59 | } |
60 | |
61 | toString {
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62 | ret commaCombine( |
63 | shortClassName(this), |
64 | !stopLossEnabled ? null : "Stop loss: " + formatDouble2(stopLossLimit()), |
65 | levels, |
66 | crest == -infinity() ? null : "Highest profit seen: " + formatDouble2(crest), |
67 | currentMaxPullback == 0 ? null : "Current max pullback: " + formatDouble2(currentMaxPullback), |
68 | ); |
69 | } |
70 | |
71 | void copyTransientValuesFrom(AbstractJuicer juicer) {
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72 | if (juicer cast MultiPullbackJuicer) |
73 | crest(juicer.crest); |
74 | } |
75 | } |
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| Snippet ID: | #1036356 |
| Snippet name: | MultiPullbackJuicer - juicer with a different relative pullback for each profit level |
| Eternal ID of this version: | #1036356/17 |
| Text MD5: | 0130f3191d507a21cd34f85eaa3f740d |
| Transpilation MD5: | 57469b1fdcdb7dcdaabe9cb49d650b37 |
| Author: | stefan |
| Category: | javax |
| Type: | JavaX fragment (include) |
| Public (visible to everyone): | Yes |
| Archived (hidden from active list): | No |
| Created/modified: | 2022-12-16 05:05:58 |
| Source code size: | 2455 bytes / 75 lines |
| Pitched / IR pitched: | No / No |
| Views / Downloads: | 164 / 293 |
| Version history: | 16 change(s) |
| Referenced in: | [show references] |