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1 | persistable sclass PullbackToProfitAnalysisBase { |
2 | settable double pullbackLimit = 1.0; |
3 | settable double adversity = 0.2; |
4 | settable boolean isShort; |
5 | settable TickerSequence ticker; |
6 | settable long startTime; |
7 | settable L<PullbackToProfit> ptpList; |
8 | settable double openingPrice; |
9 | |
10 | double priceToProfit(double price) { |
11 | var profit = asPercentIncrease(price, openingPrice()); |
12 | if (isShort()) profit = neg(profit); |
13 | ret profit-adversity(); |
14 | } |
15 | |
16 | run { |
17 | if (notNull(ptpList())) ret; |
18 | if (startTime == 0) startTime = ticker().startTime(); |
19 | var idx1 = ticker().indexOfTimestamp(startTime()); |
20 | openingPrice(ticker().getPrice(idx1)); |
21 | var crest = 0.0; //negativeInfinity |
22 | var maxPullback = 0.0; |
23 | |
24 | ptpList = new L; |
25 | |
26 | int n = ticker().size(); |
27 | for (int idx = idx1; idx < n; idx++) { |
28 | var price = ticker().getPrice(idx); |
29 | var time = ticker().getTimestamp(idx); |
30 | var profit = priceToProfit(price); |
31 | |
32 | crest = max(crest, profit); |
33 | var pullback = crest-profit; |
34 | maxPullback = max(maxPullback, pullback); |
35 | |
36 | if (maxPullback >= pullbackLimit()) { |
37 | printConcat("Ending at pullback ", maxPullback, " (", formatMinutes(time-startTime()), ")"); |
38 | break; |
39 | } |
40 | |
41 | var result = new PullbackToProfit().pullback(maxPullback).profit(crest-maxPullback); |
42 | |
43 | var prev = last(ptpList()); |
44 | if (prev != null) |
45 | if (prev.replaces(result)) |
46 | continue; |
47 | else if (result.replaces(prev)) |
48 | popLast(ptpList); |
49 | |
50 | ptpList.add(result |
51 | .isShort(isShort) |
52 | .timestamp(time) |
53 | .startTime(startTime())); |
54 | } |
55 | } |
56 | |
57 | double maxCleanness() { |
58 | run(); |
59 | ret doubleMax(map(ptpList(), ptp -> ptp.cleanness()); |
60 | } |
61 | |
62 | PullbackToProfit cleanestPTP() { |
63 | run(); |
64 | ret highestBy(ptpList(), ptp -> ptp.cleanness()); |
65 | } |
66 | } |
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Snippet ID: | #1036515 |
Snippet name: | PullbackToProfitAnalysisBase |
Eternal ID of this version: | #1036515/18 |
Text MD5: | ae29d1420498e607b8773fbafb764946 |
Transpilation MD5: | c1a8c8e22f2a0a0d089851cc6afa2479 |
Author: | stefan |
Category: | javax / trading |
Type: | JavaX fragment (include) |
Public (visible to everyone): | Yes |
Archived (hidden from active list): | No |
Created/modified: | 2023-01-21 23:35:04 |
Source code size: | 1961 bytes / 66 lines |
Pitched / IR pitched: | No / No |
Views / Downloads: | 185 / 321 |
Version history: | 17 change(s) |
Referenced in: | [show references] |