core/strategy.py
Giulio De Pasquale 047f4cf84b screen testing
2020-12-04 15:28:21 +00:00

54 lines
2.0 KiB
Python

from typing import List
from bfxapi import Position
from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind
from bfxbot.utils import TAKER_FEE, net_pl_percentage
class TrailingStopStrategy(Strategy):
BREAK_EVEN_PERC = TAKER_FEE
MIN_PROFIT_PERC = TAKER_FEE * 2.5
GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 1.5
MAX_LOSS_PERC = -3.75
OFFER_PERC = 0.01
TRAIL_STOP_PERCENTAGES = {
PositionState.MINIMUM_PROFIT: 0.27,
PositionState.PROFIT: 0.14
}
def position_on_tick(self, position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
events = []
pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE)
prev = ss.previous_position_w(position.id)
if pl_perc > self.GOOD_PROFIT_PERC:
state = PositionState.PROFIT
elif self.MIN_PROFIT_PERC <= pl_perc < self.GOOD_PROFIT_PERC:
state = PositionState.MINIMUM_PROFIT
elif 0.0 <= pl_perc < self.MIN_PROFIT_PERC:
state = PositionState.BREAK_EVEN
elif self.MAX_LOSS_PERC < pl_perc < 0.0:
state = PositionState.LOSS
else:
state = PositionState.CRITICAL
if not prev or prev.state == state:
return state, events
if state ==PositionState.PROFIT:
events.append(Event(EventKind.REACHED_GOOD_PROFIT, position.id, ss.current_tick))
elif state == PositionState.MINIMUM_PROFIT:
events.append(Event(EventKind.REACHED_MIN_PROFIT, position.id, ss.current_tick))
elif state == PositionState.BREAK_EVEN:
events.append(Event(EventKind.REACHED_BREAK_EVEN, position.id, ss.current_tick))
elif state== PositionState.LOSS:
events.append(Event(EventKind.REACHED_LOSS, position.id, ss.current_tick))
else:
events.append(Event(EventKind.REACHED_MAX_LOSS, position.id, ss.current_tick))
events.append(Event(EventKind.CLOSE_POSITION, position.id, ss.current_tick))
return state, events