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persistable sclass TrailingStopJuicer extends StopLossJuicer { // juice points to start trailing at settableWithVar double trailStart = 1; // pullback juice points from crest to close position settableWithVar double callbackRate = 0.3; // Highest juice value seen - we start at 0 settableWithVar double crest = 0; *(double *trailStart, double *callbackRate) {} // just for cosmetics - which signal strength // we assign when trailStart is hit double firstPartOfJourney() { ret 90; } { onCalculatingCloseSignals(signals -> { if (juiceValue > crest) crest(juiceValue); var signal = new CloseSignal().createdBy(this); double strength; S reason; if (crest < trailStart) { reason = formatDouble1(trailStart) + "% trailing stop"; strength = max(crest, 0)/trailStart*firstPartOfJourney(); } else { reason = formatDouble1(callbackRate) + "% callback"; strength = callbackRate <= 0 ? 100 : blend(firstPartOfJourney(), 100, doubleRatio(crest-juiceValue, callbackRate)); } if (strength >= 100) reason = "Trailing stop"; signal.reason(reason); signal.strength(strength); signals.add(signal); }); } toString { ret commaCombine( shortClassName(this), "Stop loss: " + formatDouble2(stopLossLimit()), "Trail start: " + formatDouble2(trailStart()), "Callback rate: " + formatDouble2(callbackRate()), "Highest profit seen: " + formatDouble2(crest), ); } void copyTransientValuesFrom(AbstractJuicer juicer) { if (juicer cast selfType) crest(juicer.crest); } }
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: | 152 / 236 |
Version history: | 5 change(s) |
Referenced in: | #1003674 - Standard Classes + Interfaces (LIVE continued in #1034167) |