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sclass NoLoseCloudStrategy extends G22CandleBasedStrategyWithMultiStopLossJuicer is IntegrityCheckable { settableWithVar int fastPeriod = 10; // the "slow" MA settableWithVar int slowPeriod = 15; // the fast MA (for opening) settableWithVar int slowestPeriod = 60; // the fast MA (for opening) settableWithVar double cloudThickness = 5; // false = only manual openLong() and openShort(), // not based on indicators. // true = auto-open positions indefinitely depending on // indicators. settableWithVar bool autoPositions = true; // temporal fields follow S fieldsToReset() { ret lineCombine(super.fieldsToReset(), [[ ma1 ma2 ma3 cloudTop movingAverage1_cache movingAverage2_cache movingAverage3_cache cloudTop cloudBottom candleOverlapWithCloud showCloud lastShowCloud signal ]]); } settableWithVar double ma1; settableWithVar double ma2; settableWithVar double ma3; settableWithVar double cloudTop; settableWithVar double cloudBottom; settableWithVar bool candleOverlapWithCloud; settableWithVar bool showCloud; settableWithVar bool lastShowCloud; settableWithVar int signal; // -1, 0 or 1 bool upTrend() { ret ma1 > ma2; } bool slowUpTrend() { ret ma1 > ma3; } bool trendValid() { ret upTrend() == slowUpTrend(); } settable transient O visualizer; double cloudMin() { ret min(cloudTop, cloudBottom); } double cloudMax() { ret max(cloudTop, cloudBottom); } void strategyStep { candleOverlapWithCloud(rangesOverlap( doubleRange(cloudMin(), cloudMax()), doubleRange(completedCandle().low(), completedCandle().high()))); showCloud(trendValid() && candleOverlapWithCloud()); bool entrySignal = showCloud && !lastShowCloud; signal(entrySignal ? upTrend() ? 1 : -1 : 0); if (signal != 0 && drift() == 0) openPosition(signal); } simplyCached MAIndicator movingAverage1() { ret new MAIndicator(fastPeriod); } simplyCached MAIndicator movingAverage2() { ret new MAIndicator(slowPeriod); } simplyCached MAIndicator movingAverage3() { ret new MAIndicator(slowestPeriod); } L<CandleBasedIndicator> indicators() { ret ll(movingAverage1(), movingAverage2(), movingAverage3()); } { granularity(5); onNewPrice(price -> strategyStep()); onCandleCompleted(candle -> { lastShowCloud(showCloud()); ma1(movingAverage1()!); ma2(movingAverage2()!); ma3(movingAverage3()!); strategyStep(); }); } LS status() { ret listCombine( "MA periods: " + fastPeriod + " " + slowPeriod + " " + slowestPeriod, "Do: " + (!autoPositions ? "Only manual positions" : commaCombine(stringIf(doLongs(), "Longs"), stringIf(doShorts(), "Shorts"))), "Moving averages: " + formatDouble_significant(ma1, 4) + ", " + formatDouble_significant(ma2, 4) + ", " + formatDouble_significant(ma3, 4), super.status() ); } void afterStep :: before { } bool doShorts() { true; } bool doLongs() { true; } int candlesNeededBeforeOperational() { ret intMax(fastPeriod, slowPeriod, slowestPeriod); } bool usingCells() { false; } public void integrityCheck { movingAverage1().integrityCheck(); movingAverage2().integrityCheck(); movingAverage3().integrityCheck(); } }
Began life as a copy of #1036572
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Snippet ID: | #1036614 |
Snippet name: | NoLoseCloudStrategy - an MA cloud + "no-lose" multi stop loss approach [dev.] |
Eternal ID of this version: | #1036614/6 |
Text MD5: | ffc87643fba17ebe2b4c470ab6c8c19d |
Transpilation MD5: | 682575fdc1c165996518ab0410b56a9f |
Author: | stefan |
Category: | javax / trading |
Type: | JavaX fragment (include) |
Public (visible to everyone): | Yes |
Archived (hidden from active list): | No |
Created/modified: | 2023-04-29 08:57:04 |
Source code size: | 3471 bytes / 112 lines |
Pitched / IR pitched: | No / No |
Views / Downloads: | 160 / 276 |
Version history: | 5 change(s) |
Referenced in: | [show references] |