Strategy_SigmaChannel.js

import { CMA } from "./Indicator.js";
import { Param, paramType_Bool } from "./Param.js";
class CStrategy_SigmaChannel {
    constructor() {
        this.params = [
            Param("период", { min: 2, step: 1, progressive: true }, 100, { start: 2, end: 10000 }),
            Param("число сигм для открытия", { min: 1, step: 1 }, 2, { start: 1, end: 5 }),
            Param("число сигм для закрытия", { min: 0, step: 1 }, 0, { start: 1, end: 5 }),
            Param("только покупки", paramType_Bool, false),
            //Param("Weighted", paramType_Bool, 0)
            //{ name: "Period 1", type: paramType_Period, {min: 1, step: 1, progressive: true}),
            //{ name: "Period 2", {min: 1, step: 1, progressive: true}),
        ];
        this.name = "SigmaChannel";
    }
    getSignaller(param) {
        const period = param[0];
        const sigmasForOpen = param[1];
        const sigmasForClose = Math.min(param[2], sigmasForOpen);
        const onlyBuy = param[3] == 1;
        let _ma = new CMA(period);
        let _prices = [];
        let _sigma;
        let _signal;
        let _highLevelInd = { value() { return _sigma != null ? _ma.value() + sigmasForOpen * _sigma : null; }, name: "High edge" };
        let _lowLevelInd = { value() { return _sigma != null ? _ma.value() - sigmasForOpen * _sigma : null; }, name: "Low edge" };
        return {
            onNewBars(bars) {
                let start = Math.max(bars.length - period, 0);
                for (let i = start; i < bars.length; i++) {
                    let bar = bars[i];
                    _ma.push(bar.close);
                    _prices.push(bar.close);
                    if (_prices.length == period + 100)
                        _prices.splice(0, 100);
                }
                //_signal= undefined;
            },
            getSignal() {
                //if (_signal!=undefined) return _signal;
                let maValue = _ma.value();
                if (maValue == null)
                    return null;
                let sum = 0;
                for (let i = _prices.length - period; i < _prices.length - 1; i++)
                    sum += (_prices[i] - maValue) ** 2;
                let sigma = _sigma = Math.sqrt(sum / period);
                let price = _prices[_prices.length - 1];
                let offset = price - maValue;
                if (_signal)
                    if (offset * Math.sign(_signal) >= sigma * sigmasForClose)
                        _signal = 0;
                if (!_signal)
                    if (Math.abs(offset) >= sigma * sigmasForOpen)
                        _signal = -Math.sign(offset);
                    else
                        _signal = 0;
                if (onlyBuy && _signal == -1)
                    _signal = 0;
                return _signal;
            },
            minRequiredDepthBars: period,
            indicators: [_ma, _highLevelInd, _lowLevelInd]
        };
    }
}
export const Strategy_SigmaChannel = new CStrategy_SigmaChannel;