Merge pull request #799 from andycheng123/improve/supertrend-strategy

Improve supertrend strategy

Author: andycheng123

config/supertrend.yaml

@@ -19,7 +19,7 @@ backtest:
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
   startTime: "2022-01-01"
-  endTime: "2022-06-18"
+  endTime: "2022-06-30"
   symbols:
   - BTCUSDT
   accounts:
@@ -36,7 +36,7 @@ exchangeStrategies:
     symbol: BTCUSDT
 
     # interval is how long do you want to update your order price and quantity
-    interval: 1h
+    interval: 5m
 
     # leverage is the leverage of the orders
     leverage: 1.0
@@ -48,15 +48,31 @@ exchangeStrategies:
     # Supertrend indicator parameters
     superTrend:
       # ATR window used by Supertrend
-      averageTrueRangeWindow: 39
+      averageTrueRangeWindow: 49
       # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
-      averageTrueRangeMultiplier: 3
+      averageTrueRangeMultiplier: 4
+
+    # Use linear regression as trend confirmation
+    linearRegression:
+      interval: 5m
+      window: 80
 
     # TP according to ATR multiple, 0 to disable this
-    takeProfitMultiplier: 3
+    TakeProfitAtrMultiplier: 0
 
     # Set SL price to the low of the triggering Kline
-    stopLossByTriggeringK: true
+    stopLossByTriggeringK: false
+
+    # TP/SL by reversed supertrend signal
+    stopByReversedSupertrend: false
+
+    # TP/SL by reversed DEMA signal
+    stopByReversedDema: false
+
+    # TP/SL by reversed linear regression signal
+    stopByReversedLinGre: false
 
-    # TP/SL by reversed signals
-    tpslBySignal: true
+    exits:
+      # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
+      - roiStopLoss:
+          percentage: 4%

doc/strategy/supertrend.md

@@ -23,12 +23,27 @@ Supertrend strategy needs margin enabled in order to submit short orders, and yo
         - The MA window of the ATR indicator used by Supertrend. 
     - `averageTrueRangeMultiplier`
         - Multiplier for calculating upper and lower bond prices, the higher, the stronger the trends are, but also makes it less sensitive.
-- `takeProfitMultiplier`
+- `linearRegression`
+    - Use linear regression as trend confirmation
+    - `interval`
+        - Time interval of linear regression
+    - `window`
+        - Window of linear regression
+- `takeProfitAtrMultiplier`
     - TP according to ATR multiple, 0 to disable this.
 - `stopLossByTriggeringK`
-    - Set SL price to the low of the triggering Kline.
-- `tpslBySignal`
-    - TP/SL by reversed signals.
+    - Set SL price to the low/high of the triggering Kline.
+- `stopByReversedSupertrend`
+    - TP/SL by reversed supertrend signal.
+- `stopByReversedDema`
+    - TP/SL by reversed DEMA signal.
+- `stopByReversedLinGre`
+    - TP/SL by reversed linear regression signal.
+- `exits`
+    - Exit methods to TP/SL
+    - `roiStopLoss`
+        - The stop loss percentage of the position ROI (currently the price change)
+        - `percentage`
 
 
 #### Examples

pkg/strategy/supertrend/double_dema.go

@@ -0,0 +1,65 @@
+package supertrend
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type DoubleDema struct {
+	Interval types.Interval `json:"interval"`
+
+	// FastDEMAWindow DEMA window for checking breakout
+	FastDEMAWindow int `json:"fastDEMAWindow"`
+	// SlowDEMAWindow DEMA window for checking breakout
+	SlowDEMAWindow int `json:"slowDEMAWindow"`
+	fastDEMA       *indicator.DEMA
+	slowDEMA       *indicator.DEMA
+}
+
+// getDemaSignal get current DEMA signal
+func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
+	var demaSignal types.Direction = types.DirectionNone
+
+	if closePrice > dd.fastDEMA.Last() && closePrice > dd.slowDEMA.Last() && !(openPrice > dd.fastDEMA.Last() && openPrice > dd.slowDEMA.Last()) {
+		demaSignal = types.DirectionUp
+	} else if closePrice < dd.fastDEMA.Last() && closePrice < dd.slowDEMA.Last() && !(openPrice < dd.fastDEMA.Last() && openPrice < dd.slowDEMA.Last()) {
+		demaSignal = types.DirectionDown
+	}
+
+	return demaSignal
+}
+
+// preloadDema preloads DEMA indicators
+func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
+		}
+	}
+	if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
+		for i := 0; i < len(*klines); i++ {
+			dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
+		}
+	}
+}
+
+// setupDoubleDema initializes double DEMA indicators
+func (dd *DoubleDema) setupDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval) {
+	dd.Interval = interval
+
+	// DEMA
+	if dd.FastDEMAWindow == 0 {
+		dd.FastDEMAWindow = 144
+	}
+	dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
+	dd.fastDEMA.Bind(kLineStore)
+
+	if dd.SlowDEMAWindow == 0 {
+		dd.SlowDEMAWindow = 169
+	}
+	dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
+	dd.slowDEMA.Bind(kLineStore)
+
+	dd.preloadDema(kLineStore)
+}

pkg/strategy/supertrend/lingre.go

@@ -0,0 +1,73 @@
+package supertrend
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// LinGre is Linear Regression baseline
+type LinGre struct {
+	types.IntervalWindow
+	baseLineSlope float64
+}
+
+// Update Linear Regression baseline slope
+func (lg *LinGre) Update(klines []types.KLine) {
+	if len(klines) < lg.Window {
+		lg.baseLineSlope = 0
+		return
+	}
+
+	var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
+	end := len(klines) - 1 // The last kline
+	for i := end; i >= end-lg.Window+1; i-- {
+		val := klines[i].GetClose().Float64()
+		per := float64(end - i + 1)
+		sumX += per
+		sumY += val
+		sumXSqr += per * per
+		sumXY += val * per
+	}
+	length := float64(lg.Window)
+	slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
+	average := sumY / length
+	endPrice := average - slope*sumX/length + slope
+	startPrice := endPrice + slope*(length-1)
+	lg.baseLineSlope = (length - 1) / (endPrice - startPrice)
+
+	log.Debugf("linear regression baseline slope: %f", lg.baseLineSlope)
+}
+
+func (lg *LinGre) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if lg.Interval != interval {
+		return
+	}
+
+	lg.Update(window)
+}
+
+func (lg *LinGre) Bind(updater indicator.KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(lg.handleKLineWindowUpdate)
+}
+
+// GetSignal get linear regression signal
+func (lg *LinGre) GetSignal() types.Direction {
+	var lgSignal types.Direction = types.DirectionNone
+
+	switch {
+	case lg.baseLineSlope > 0:
+		lgSignal = types.DirectionUp
+	case lg.baseLineSlope < 0:
+		lgSignal = types.DirectionDown
+	}
+
+	return lgSignal
+}
+
+// preloadLinGre preloads linear regression indicator
+func (lg *LinGre) preload(kLineStore *bbgo.MarketDataStore) {
+	if klines, ok := kLineStore.KLinesOfInterval(lg.Interval); ok {
+		lg.Update((*klines)[0:])
+	}
+}