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strategy: add harmonic shark pattern recognition
strategy: add harmonic shark pattern recognition
1 parent 315f7da commit 006575a

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5 files changed

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lines changed

5 files changed

+619
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lines changed

‎config/harmonic.yaml

+33
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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exchangeStrategies:
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- on: binance
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harmonic:
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symbol: BTCBUSD
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interval: 1s
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window: 500
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quantity: 0.05
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backtest:
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sessions:
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- binance
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startTime: "2022-09-30"
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endTime: "2022-10-01"
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symbols:
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- BTCBUSD
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accounts:
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binance:
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balances:
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BTC: 1.0
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BUSD: 40_000.0

‎pkg/cmd/strategy/builtin.go

+1
Original file line numberDiff line numberDiff line change
@@ -17,6 +17,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/fmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/funding"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/harmonic"
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_ "github.com/c9s/bbgo/pkg/strategy/irr"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"

‎pkg/strategy/harmonic/shark.go

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package harmonic
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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var zeroTime time.Time
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//go:generate callbackgen -type SHARK
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type SHARK struct {
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types.IntervalWindow
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types.SeriesBase
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Lows floats.Slice
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Highs floats.Slice
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LongScores floats.Slice
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ShortScores floats.Slice
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Values floats.Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &SHARK{}
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func (inc *SHARK) Update(high, low, price float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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}
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inc.Highs.Update(high)
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inc.Lows.Update(low)
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if inc.Highs.Length() < inc.Window || inc.Lows.Length() < inc.Window {
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return
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}
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longScore := inc.SharkLong(inc.Highs, inc.Lows, price, inc.Window)
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shortScore := inc.SharkShort(inc.Highs, inc.Lows, price, inc.Window)
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inc.LongScores.Push(longScore)
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inc.ShortScores.Push(shortScore)
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inc.Values.Push(longScore - shortScore)
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}
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func (inc *SHARK) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *SHARK) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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}
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func (inc *SHARK) Length() int {
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return len(inc.Values)
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}
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func (inc *SHARK) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *SHARK) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(indicator.KLineHighPriceMapper(k), indicator.KLineLowPriceMapper(k), indicator.KLineClosePriceMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *SHARK) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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}
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func (inc SHARK) SharkLong(highs, lows floats.Slice, p float64, lookback int) float64 {
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score := 0.
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for x := 5; x < lookback; x++ {
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if lows.Index(x-1) > lows.Index(x) && lows.Index(x) < lows.Index(x+1) {
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X := lows.Index(x)
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for a := 4; a < x; a++ {
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if highs.Index(a-1) < highs.Index(a) && highs.Index(a) > highs.Index(a+1) {
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A := highs.Index(a)
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XA := math.Abs(X - A)
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hB := A - 0.382*XA
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lB := A - 0.618*XA
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for b := 3; b < a; b++ {
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if lows.Index(b-1) > lows.Index(b) && lows.Index(b) < lows.Index(b+1) {
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B := lows.Index(b)
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if hB > B && B > lB {
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//log.Infof("got point B:%f", B)
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AB := math.Abs(A - B)
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hC := B + 1.618*AB
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lC := B + 1.13*AB
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for c := 2; c < b; c++ {
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if highs.Index(c-1) < highs.Index(c) && highs.Index(c) > highs.Index(c+1) {
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C := highs.Index(c)
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if hC > C && C > lC {
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//log.Infof("got point C:%f", C)
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XC := math.Abs(X - C)
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hD := C - 0.886*XC
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lD := C - 1.13*XC
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//for d := 1; d < c; d++ {
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//if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) {
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D := p //lows.Index(d)
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if hD > D && D > lD {
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BC := math.Abs(B - C)
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hD2 := C - 1.618*BC
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lD2 := C - 2.24*BC
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if hD2 > D && D > lD2 {
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//log.Infof("got point D:%f", D)
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score++
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}
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}
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//}
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//}
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}
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}
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}
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}
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}
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}
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}
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}
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}
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}
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return score
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}
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func (inc SHARK) SharkShort(highs, lows floats.Slice, p float64, lookback int) float64 {
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score := 0.
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for x := 5; x < lookback; x++ {
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if highs.Index(x-1) < highs.Index(x) && highs.Index(x) > highs.Index(x+1) {
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X := highs.Index(x)
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for a := 4; a < x; a++ {
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if lows.Index(a-1) > lows.Index(a) && lows.Index(a) < lows.Index(a+1) {
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A := lows.Index(a)
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XA := math.Abs(X - A)
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lB := A + 0.382*XA
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hB := A + 0.618*XA
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for b := 3; b < a; b++ {
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if highs.Index(b-1) > highs.Index(b) && highs.Index(b) < highs.Index(b+1) {
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B := highs.Index(b)
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if hB > B && B > lB {
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//log.Infof("got point B:%f", B)
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AB := math.Abs(A - B)
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lC := B - 1.618*AB
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hC := B - 1.13*AB
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for c := 2; c < b; c++ {
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if lows.Index(c-1) < lows.Index(c) && lows.Index(c) > lows.Index(c+1) {
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C := lows.Index(c)
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if hC > C && C > lC {
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//log.Infof("got point C:%f", C)
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XC := math.Abs(X - C)
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lD := C + 0.886*XC
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hD := C + 1.13*XC
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//for d := 1; d < c; d++ {
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//if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) {
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D := p //lows.Index(d)
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if hD > D && D > lD {
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BC := math.Abs(B - C)
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lD2 := C + 1.618*BC
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hD2 := C + 2.24*BC
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if hD2 > D && D > lD2 {
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//log.Infof("got point D:%f", D)
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score++
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}
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}
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//}
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//}
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}
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}
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}
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}
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}
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}
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}
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}
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}
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}
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return score
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}

‎pkg/strategy/harmonic/shark_callbacks.go

+15
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