From 59a5e540ac083758c3105e47f9a01ab19cdbf4d8 Mon Sep 17 00:00:00 2001
From: Sik Yoon <younxxxx@gmail.com>
Date: Sun, 26 May 2024 07:53:45 +0900
Subject: [PATCH] Update filtering

---
 src/strategy_team/future_strategy_long.rs  | 43 ++++++++++++++++++++++
 src/strategy_team/future_strategy_short.rs | 42 +++++++++++++++++++++
 2 files changed, 85 insertions(+)

diff --git a/src/strategy_team/future_strategy_long.rs b/src/strategy_team/future_strategy_long.rs
index b960cb9..6fd61bd 100644
--- a/src/strategy_team/future_strategy_long.rs
+++ b/src/strategy_team/future_strategy_long.rs
@@ -278,6 +278,45 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
                 }
             }
         }
+
+        let opclo_sample_length: usize = 60; // 15 candle samsples
+        let mut target_profit_percent = 0.0;
+        if let Some(price_30m_vec) = all_data.rt_price_30m_vec.get(&element.symbol) {
+            let vec_len = price_30m_vec.len();
+            if let Some(candles) =
+                price_30m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
+            {
+                let windows = candles.windows(2);
+                let mut sum_amplitude_candles = 0.0;
+                let mut sum_ratio_amp_body = 0.0;
+                let mut average_amplitude = 0.0;
+
+                for window in windows {
+                    sum_amplitude_candles += ((window.last().unwrap().high_price
+                        - window.last().unwrap().low_price)
+                        * 100.0)
+                        / window.first().unwrap().close_price;
+                }
+                let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
+                let mut amplitude_variance = 0.0;
+
+                let windows = candles.windows(2);
+                for window in windows {
+                    amplitude_variance += ((((window.last().unwrap().high_price
+                        - window.last().unwrap().low_price)
+                        * 100.0)
+                        / window.first().unwrap().close_price)
+                        - average_amplitude)
+                        .powi(2);
+                }
+                amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
+                let standard_deviation_amplitude = amplitude_variance.sqrt();
+                target_profit_percent =
+                    average_amplitude + (standard_deviation_amplitude * 2.0);
+            }
+        }
+
+
         // TODO: BNB 코인이 있으면
         // let base_qty_to_be_ordered =
         //     element.base_qty_ordered.round_dp_with_strategy(
@@ -294,6 +333,10 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
             // }
             if over_turned == true && server_epoch - element.registered_server_epoch > 1_800_000 {
                 is_sell = true;
+            } else if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent * 2.5 {
+                is_sell = true;
+            } else if target_profit_percent.is_normal() && element.pure_profit_percent < target_profit_percent * -1.5 {
+                is_sell = true;
             }
 
             if is_sell == true {
diff --git a/src/strategy_team/future_strategy_short.rs b/src/strategy_team/future_strategy_short.rs
index aeb0919..74d5d04 100644
--- a/src/strategy_team/future_strategy_short.rs
+++ b/src/strategy_team/future_strategy_short.rs
@@ -277,6 +277,44 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
                 }
             }
         }
+
+        let opclo_sample_length: usize = 60; // 15 candle samsples
+        let mut target_profit_percent = 0.0;
+        if let Some(price_30m_vec) = all_data.rt_price_30m_vec.get(&element.symbol) {
+            let vec_len = price_30m_vec.len();
+            if let Some(candles) =
+                price_30m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
+            {
+                let windows = candles.windows(2);
+                let mut sum_amplitude_candles = 0.0;
+                let mut sum_ratio_amp_body = 0.0;
+                let mut average_amplitude = 0.0;
+
+                for window in windows {
+                    sum_amplitude_candles += ((window.last().unwrap().high_price
+                        - window.last().unwrap().low_price)
+                        * 100.0)
+                        / window.first().unwrap().close_price;
+                }
+                let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
+                let mut amplitude_variance = 0.0;
+
+                let windows = candles.windows(2);
+                for window in windows {
+                    amplitude_variance += ((((window.last().unwrap().high_price
+                        - window.last().unwrap().low_price)
+                        * 100.0)
+                        / window.first().unwrap().close_price)
+                        - average_amplitude)
+                        .powi(2);
+                }
+                amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
+                let standard_deviation_amplitude = amplitude_variance.sqrt();
+                target_profit_percent =
+                    average_amplitude + (standard_deviation_amplitude * 2.0);
+            }
+        }
+
         // TODO: BNB 코인이 있으면
         // let base_qty_to_be_ordered =
         //     element.base_qty_ordered.round_dp_with_strategy(
@@ -293,6 +331,10 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
             // }
             if over_turned == true && server_epoch - element.registered_server_epoch > 1_800_000 {
                 is_sell = true;
+            } else if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent * 2.5 {
+                is_sell = true;
+            } else if target_profit_percent.is_normal() && element.pure_profit_percent < target_profit_percent * -1.5 {
+                is_sell = true;
             }
             
             if is_sell == true {