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New selling filtering

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This commit is contained in:
Sik Yoon 2024-03-10 22:22:36 +09:00
parent 3e7690d998
commit 857763f69e
1 changed files with 27 additions and 52 deletions
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79
src/strategy_team/strategy_006.rs
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@ -8,7 +8,7 @@ use super::{
// BUY conditions
// (1) 1d MACD (3, 7, 30): MACD_current - Signal_current < 0, MACD_prev - Signal_prev < MACD_current - Signal_current
// (2) stoch RSI(3, 3, 2, 2): K_prev < 10, K_prev < K_current
// (2) stoch RSI(30, 30, 2, 2): K_prev < 10, K_prev < K_current
// stoploss: (update) supertrend(10, 1.5) lowerband
// target price: (fixed) stoploss inverse x 3 times profit
pub async fn list_up_for_buy(
@ -51,7 +51,7 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// 1d StochRSI (RSI_len: 3, StochRSI_len: 3, K: 2, D: 2) K_prev < 10, K_prev < K_current
// 1d StochRSI (RSI_len: 30, StochRSI_len: 30, K: 3, D: 3) K_prev < 10, K_prev < K_current
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
@ -169,6 +169,7 @@ pub async fn list_up_for_sell(
}
let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?;
for element in filled_buy_orders {
let mut is_sell = false;
let opclo_sample_length: usize = 10; // 10 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1d_vec) = all_data
@ -198,8 +199,7 @@ pub async fn list_up_for_sell(
let standard_deviation_amplitude = amplitude_variance.sqrt();
// let target_profit_percent = average_amplitude + (standard_deviation_amplitude * (average_ratio_amp_body));
target_profit_percent =
3.0 * (average_amplitude - standard_deviation_amplitude);
target_profit_percent = (average_amplitude - standard_deviation_amplitude);
}
}
@ -232,55 +232,19 @@ pub async fn list_up_for_sell(
&& !element.current_price.is_zero()
{
if element.current_price <= element.stoploss {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
is_sell = true;
} else if element.current_price >= element.target_price {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if element.pure_profit_percent >= 20.0 {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent <= element.pure_profit_percent {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if server_epoch - element.transact_time > (86_400_000) * 7 { // 7 days timeout selling
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
is_sell = true;
} else if element.pure_profit_percent >= target_profit_percent * 3.0 { // absolute sell profit percent
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 5 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 2.0 <= element.pure_profit_percent){ // scaled selling with time up selling (5 days)
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 6 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 1.5 <= element.pure_profit_percent){ // scaled selling with time up selling (6 days)
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 7 { // time up selling
is_sell = true;
}
// TODO: sell_count가 1일 때 적용하기
// else if (supertrend_vec
@ -306,6 +270,17 @@ pub async fn list_up_for_sell(
// )
// .await;
// }
if is_sell == true {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
}
}
}
}