Not logged in.  Login/Logout/Register | List snippets | | Create snippet | Upload image | Upload data

55
LINES

< > BotCompany Repo | #1036526 // LivePullbackToProfitAnalysis (backup with single PTP)

JavaX fragment (include)

1  
persistable sclass LivePullbackToProfitAnalysis {
2  
  settable double pullbackLimit = 1.0;
3  
  settable double adversity = 0.2;
4  
  settable boolean isShort;
5  
  settable long startTime;
6  
  settable double openingPrice;
7  
  settable double crest = 0;
8  
  settable double maxPullback;
9  
  settable PullbackToProfit ptp;
10  
  
11  
  double priceToProfit(double price) {
12  
    var profit = asPercentIncrease(price, openingPrice());
13  
    if (isShort()) profit = neg(profit);
14  
    ret profit-adversity();
15  
  }
16  
  
17  
  void add aka feed(PricePoint pp) {
18  
    if (startTime == 0) {
19  
      startTime(pp.time());
20  
      openingPrice(pp.price());
21  
    }
22  
    
23  
    var price = pp.price();
24  
    var time = pp.time();
25  
    var profit = priceToProfit(price);
26  
            
27  
    crest = max(crest, profit);
28  
    var pullback = crest-profit;
29  
    maxPullback = max(maxPullback, pullback);
30  
      
31  
    if (done()) ret;
32  
      
33  
    var result = new PullbackToProfit().pullback(maxPullback).profit(crest-maxPullback);
34  
      
35  
    if (ptp == null || !ptp.replaces(result))
36  
      ptp(result
37  
        .isShort(isShort)
38  
        .timestamp(time)
39  
        .startTime(startTime()));
40  
  }
41  
  
42  
  double cleanness() {
43  
    ret ptp == null ? 0 : ptp.cleanness();
44  
  }
45  
  
46  
  double profit() {
47  
    ret ptp == null ? negativeInfinity() : ptp.profit();
48  
  }
49  
  
50  
  bool done() {
51  
    ret maxPullback >= pullbackLimit();
52  
  }
53  
  
54  
  toString { ret ptp == null ? "Unstarted PTP analysis" : str(ptp); }
55  
}

Author comment

Began life as a copy of #1036519

download  show line numbers  debug dex  old transpilations   

Travelled to 3 computer(s): elmgxqgtpvxh, mqqgnosmbjvj, wnsclhtenguj

No comments. add comment

Snippet ID: #1036526
Snippet name: LivePullbackToProfitAnalysis (backup with single PTP)
Eternal ID of this version: #1036526/1
Text MD5: e242a57c4d4be891928318b4cf0c6267
Author: stefan
Category: javax / trading
Type: JavaX fragment (include)
Public (visible to everyone): Yes
Archived (hidden from active list): No
Created/modified: 2023-01-22 17:02:05
Source code size: 1463 bytes / 55 lines
Pitched / IR pitched: No / No
Views / Downloads: 72 / 79
Referenced in: [show references]