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@@ -8,9 +8,12 @@ import (
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)
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const (
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- ATR_MULTIPLIER = 1.5
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- ATR_PERIOD = 14
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- ATR_HHV = 8
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+ ATR_MULTIPLIER = 1.5
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+ ATR_PERIOD = 14
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+ ATR_HHV = 10
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+ ATR_STOPLOSS_THRESHOLD = 1
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+
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+ EXTRA_POSITION_THRESHOLD = 1.002
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)
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var Strategy = alpacaQQQ{}
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@@ -64,11 +67,12 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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for side, symbol := range s.PositionSymbols() {
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var (
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- position sentio.Position
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- quote *sentio.Quote
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- bars []sentio.Bar
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- sl float64
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- ok bool
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+ position sentio.Position
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+ quote *sentio.Quote
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+ bars []sentio.Bar
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+ stoploss float64
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+ uptrending bool
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+ ok bool
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)
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// no need to trade BASE quote
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@@ -92,8 +96,10 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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}
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trailing := indicator.AtrTrailingStopLoss(h, l, c, ATR_PERIOD, ATR_MULTIPLIER, ATR_HHV)
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- sl = trailing[len(trailing)-1]
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- fmt.Printf("ATR Trailing StopLoss: [%f]\n", sl)
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+ stoploss = trailing[len(trailing)-1]
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+ uptrending = trailing[len(trailing)-1] > trailing[len(trailing)-2]
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+
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+ fmt.Printf("ATR Trailing StopLoss: [%s: %f; uptrading: %v]\n", symbol, stoploss, uptrending)
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}
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if portfolio != nil {
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@@ -113,7 +119,7 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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}
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// Close position if BidPrice less than StopLoss
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- if ok && quote.BidPrice < sl {
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+ if ok && !uptrending && quote.BidPrice/stoploss < ATR_STOPLOSS_THRESHOLD {
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return []sentio.StrategyOrder{{
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Symbol: symbol,
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Action: sentio.OrderSell,
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@@ -144,7 +150,7 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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}
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// Prevent BUYs for delayed probas
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- if ts.Add(time.Minute * time.Duration(int64(s.Interval()/2))).Before(now) {
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+ if ts.Add(time.Minute * time.Duration(int64(s.Interval()/2))).Before(now.Round(time.Minute)) {
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continue
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}
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@@ -153,20 +159,15 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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continue
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}
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- // Prevent BUYs if BID price less than StopLoss
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- if quote.BidPrice < sl {
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- continue
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- }
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-
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if sentio.LONG == side && proba > 1 {
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size := float64(0)
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- if ok && position.GetAvgPrice()/position.GetCurrentPrice() > 1.002 {
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+ if ok && position.GetAvgPrice()/position.GetCurrentPrice() > EXTRA_POSITION_THRESHOLD {
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// extra position with cheaper price
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- size = .4
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+ size = .5
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} else if !ok && proba > 1.0008 {
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// new trade position
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- size = .6
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+ size = .7
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}
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if size > 0 {
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@@ -183,12 +184,12 @@ func (s alpacaQQQ) Handle(market sentio.Market, ts time.Time, proba float64) ([]
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if sentio.SHORT == side && proba < 1 {
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size := float64(0)
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- if ok && position.GetAvgPrice()/position.GetCurrentPrice() > 1.002 {
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+ if ok && position.GetAvgPrice()/position.GetCurrentPrice() > EXTRA_POSITION_THRESHOLD {
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// extra position with cheaper price
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- size = .4
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+ size = .5
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} else if !ok && proba < .9990 {
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// new trade position
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- size = .6
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+ size = .7
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}
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if size > 0 {
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