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1 | persistable sclass TrailingStopJuicer extends StopLossJuicer {
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2 | // juice points to start trailing at |
3 | settableWithVar double trailStart = 1; |
4 | |
5 | // pullback juice points from crest to close position |
6 | settableWithVar double callbackRate = 0.3; |
7 | |
8 | // Highest juice value seen - we start at 0 |
9 | settableWithVar double crest = 0; |
10 | |
11 | *(double *trailStart, double *callbackRate) {}
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12 | |
13 | // just for cosmetics - which signal strength |
14 | // we assign when trailStart is hit |
15 | double firstPartOfJourney() { ret 90; }
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16 | |
17 | {
|
18 | onCalculatingCloseSignals(signals -> {
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19 | if (juiceValue > crest) |
20 | crest(juiceValue); |
21 | |
22 | var signal = new CloseSignal().createdBy(this); |
23 | double strength; |
24 | S reason; |
25 | if (crest < trailStart) {
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26 | reason = formatDouble1(trailStart) + "% trailing stop"; |
27 | strength = max(crest, 0)/trailStart*firstPartOfJourney(); |
28 | } else {
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29 | reason = formatDouble1(callbackRate) + "% callback"; |
30 | strength = |
31 | callbackRate <= 0 ? 100 |
32 | : blend(firstPartOfJourney(), 100, doubleRatio(crest-juiceValue, callbackRate)); |
33 | } |
34 | if (strength >= 100) |
35 | reason = "Trailing stop"; |
36 | signal.reason(reason); |
37 | signal.strength(strength); |
38 | signals.add(signal); |
39 | }); |
40 | } |
41 | |
42 | toString {
|
43 | ret commaCombine( |
44 | shortClassName(this), |
45 | "Stop loss: " + formatDouble2(stopLossLimit()), |
46 | "Trail start: " + formatDouble2(trailStart()), |
47 | "Callback rate: " + formatDouble2(callbackRate()), |
48 | "Highest profit seen: " + formatDouble2(crest), |
49 | ); |
50 | } |
51 | |
52 | void copyTransientValuesFrom(AbstractJuicer juicer) {
|
53 | if (juicer cast selfType) |
54 | crest(juicer.crest); |
55 | } |
56 | } |
Began life as a copy of #1036517
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| Snippet ID: | #1036560 |
| Snippet name: | TrailingStopJuicer - juicer with trailing stop + separate stop loss |
| Eternal ID of this version: | #1036560/6 |
| Text MD5: | 733685c8aefee51db6ef9f246c7cd217 |
| Transpilation MD5: | 94d3f3a64611d3d3b3106b7ad8fccd3f |
| Author: | stefan |
| Category: | javax |
| Type: | JavaX fragment (include) |
| Public (visible to everyone): | Yes |
| Archived (hidden from active list): | No |
| Created/modified: | 2023-03-22 19:34:00 |
| Source code size: | 1749 bytes / 56 lines |
| Pitched / IR pitched: | No / No |
| Views / Downloads: | 92 / 153 |
| Version history: | 5 change(s) |
| Referenced in: | [show references] |