From f42570edc0d83d2b2204f23ff7037eeef45ad0d2 Mon Sep 17 00:00:00 2001 From: Sik Yoon Date: Tue, 28 May 2024 00:35:16 +0900 Subject: [PATCH] Update filtering --- src/strategy_team/future_strategy_long.rs | 47 ++++++++++++---------- src/strategy_team/future_strategy_short.rs | 47 ++++++++++++---------- 2 files changed, 52 insertions(+), 42 deletions(-) diff --git a/src/strategy_team/future_strategy_long.rs b/src/strategy_team/future_strategy_long.rs index 8c92966..899ff05 100644 --- a/src/strategy_team/future_strategy_long.rs +++ b/src/strategy_team/future_strategy_long.rs @@ -33,27 +33,31 @@ pub async fn list_up_for_buy( // sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev) let mut keys_to_remove: HashSet = HashSet::new(); + let ema3 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?; let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?; - let sma3_close = sma(3, &alldata.rt_price_30m_vec, &filtered_data).await?; + let tema3: HashMap> = tema(3, &alldata.rt_price_30m_vec, &filtered_data).await?; let server_epoch = get_server_epoch().await; for (symbol, values) in &mut filtered_data { let mut do_buy = false; let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await; - if let (Some(sma3_open_vec), Some(sma3_close_vec), Some(current_info)) = (sma3_open.get(symbol), sma3_close.get(symbol), price_and_closetime) { + if let (Some(sma3_open_vec), Some(tema3_vec), Some(ema3_vec), Some(current_info)) = (sma3_open.get(symbol), tema3.get(symbol), ema3.get(symbol), price_and_closetime) { if sma3_open_vec.len() > 10 - && sma3_close_vec.len() > 10 - && sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time + && tema3_vec.len() > 10 + && ema3_vec.len() > 10 + && ema3_vec.last().unwrap().close_time > server_epoch + && sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time && sma3_open_vec.last().unwrap().close_time > server_epoch - && sma3_close_vec.last().unwrap().close_time > server_epoch + && tema3_vec.last().unwrap().close_time > server_epoch { - if sma3_open_vec[sma3_open_vec.len()-1].sma_value < sma3_close_vec[sma3_close_vec.len()-1].sma_value - && sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_close_vec[sma3_close_vec.len()-2].sma_value + if sma3_open_vec[sma3_open_vec.len()-1].sma_value < tema3_vec[tema3_vec.len()-1].tema_value + && sma3_open_vec[sma3_open_vec.len()-2].sma_value > tema3_vec[tema3_vec.len()-2].tema_value && sma3_open_vec[sma3_open_vec.len()-1].sma_value < sma3_open_vec[sma3_open_vec.len()-2].sma_value && sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_open_vec[sma3_open_vec.len()-3].sma_value && sma3_open_vec[sma3_open_vec.len()-3].sma_value < sma3_open_vec[sma3_open_vec.len()-4].sma_value - && sma3_close_vec[sma3_close_vec.len()-1].sma_value > sma3_close_vec[sma3_close_vec.len()-2].sma_value - && sma3_close_vec[sma3_close_vec.len()-2].sma_value < sma3_close_vec[sma3_close_vec.len()-3].sma_value - && sma3_close_vec[sma3_close_vec.len()-3].sma_value < sma3_close_vec[sma3_close_vec.len()-4].sma_value + && tema3_vec[tema3_vec.len()-1].tema_value > tema3_vec[tema3_vec.len()-2].tema_value + && tema3_vec[tema3_vec.len()-2].tema_value < tema3_vec[tema3_vec.len()-3].tema_value + && tema3_vec[tema3_vec.len()-3].tema_value < tema3_vec[tema3_vec.len()-4].tema_value + && current_info.0.to_f64().is_some_and(|a| ema3_vec.last().unwrap().ema_value < a) { values.closetime = current_info.1; values.current_price = current_info.0; @@ -262,17 +266,17 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); } let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; - let sma3_close = sma(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; + let tema3 = tema(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; let server_epoch = get_server_epoch().await; for element in filled_positions { let mut is_sell = false; let mut over_turned = false; - if let (Some(sma3_open_vec), Some(sma3_close_vec)) = (sma3_open.get(&element.symbol), sma3_close.get(&element.symbol)) { - if sma3_close_vec.len() > 10 && sma3_open_vec.len() > 10 { - if sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time + if let (Some(sma3_open_vec), Some(tema3_vec)) = (sma3_open.get(&element.symbol), tema3.get(&element.symbol)) { + if tema3_vec.len() > 10 && sma3_open_vec.len() > 10 { + if sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time && sma3_open_vec.last().unwrap().close_time > server_epoch - && sma3_open_vec.last().unwrap().sma_value > sma3_close_vec.last().unwrap().sma_value { + && sma3_open_vec.last().unwrap().sma_value > tema3_vec.last().unwrap().tema_value { over_turned = true; } @@ -312,7 +316,7 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha 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 * 1.0); + average_amplitude - (standard_deviation_amplitude * 1.5); } } @@ -331,13 +335,14 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha // } else if element.pure_profit_percent <= target_profit_percent * -2.0 { // is_sell = true; // } - if over_turned == true && server_epoch - element.registered_server_epoch > 1_800_000 { + // if over_turned == true && server_epoch - element.close_time > 1_800_000 { + // is_sell = true; + // } else + if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent + 0.7 { is_sell = true; - } else if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent * 2.5 { + } else if target_profit_percent.is_normal() && element.pure_profit_percent < (target_profit_percent * -1.0) - 0.7 { is_sell = true; - } else if target_profit_percent.is_normal() && element.pure_profit_percent < target_profit_percent * -1.5 { - is_sell = true; - } else if server_epoch - element.registered_server_epoch > 1_800_000 * 6 { + } else if server_epoch - element.registered_server_epoch > 1_800_000 * 5 && element.pure_profit_percent >= 0.35{ is_sell = true; } diff --git a/src/strategy_team/future_strategy_short.rs b/src/strategy_team/future_strategy_short.rs index 0cb6933..b3a1cb2 100644 --- a/src/strategy_team/future_strategy_short.rs +++ b/src/strategy_team/future_strategy_short.rs @@ -33,27 +33,31 @@ pub async fn list_up_for_buy( // sma3_close(current) < sma3_open (current), sma3_close(prev) > sma3_open (prev) let mut keys_to_remove: HashSet = HashSet::new(); + let ema3 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?; let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?; - let sma3_close = sma(3, &alldata.rt_price_30m_vec, &filtered_data).await?; + let tema3 = tema(3, &alldata.rt_price_30m_vec, &filtered_data).await?; let server_epoch = get_server_epoch().await; for (symbol, values) in &mut filtered_data { let mut do_buy = false; let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await; - if let (Some(sma3_open_vec), Some(sma3_close_vec), Some(current_info)) = (sma3_open.get(symbol), sma3_close.get(symbol), price_and_closetime) { + if let (Some(sma3_open_vec), Some(tema3_vec), Some(ema3_vec), Some(current_info)) = (sma3_open.get(symbol), tema3.get(symbol), ema3.get(symbol), price_and_closetime) { if sma3_open_vec.len() > 10 - && sma3_close_vec.len() > 10 - && sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time + && tema3_vec.len() > 10 + && ema3_vec.len() > 10 + && ema3_vec.last().unwrap().close_time > server_epoch + && sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time && sma3_open_vec.last().unwrap().close_time > server_epoch - && sma3_close_vec.last().unwrap().close_time > server_epoch + && tema3_vec.last().unwrap().close_time > server_epoch { - if sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_close_vec[sma3_close_vec.len()-1].sma_value - && sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value + if sma3_open_vec[sma3_open_vec.len()-1].sma_value > tema3_vec[tema3_vec.len()-1].tema_value + && sma3_open_vec[sma3_open_vec.len()-2].sma_value < tema3_vec[tema3_vec.len()-2].tema_value && sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_open_vec[sma3_open_vec.len()-2].sma_value && sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_open_vec[sma3_open_vec.len()-3].sma_value && sma3_open_vec[sma3_open_vec.len()-3].sma_value > sma3_open_vec[sma3_open_vec.len()-4].sma_value - && sma3_close_vec[sma3_close_vec.len()-1].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value - && sma3_close_vec[sma3_close_vec.len()-2].sma_value > sma3_close_vec[sma3_close_vec.len()-3].sma_value - && sma3_close_vec[sma3_close_vec.len()-3].sma_value > sma3_close_vec[sma3_close_vec.len()-4].sma_value + && tema3_vec[tema3_vec.len()-1].tema_value < tema3_vec[tema3_vec.len()-2].tema_value + && tema3_vec[tema3_vec.len()-2].tema_value > tema3_vec[tema3_vec.len()-3].tema_value + && tema3_vec[tema3_vec.len()-3].tema_value > tema3_vec[tema3_vec.len()-4].tema_value + && current_info.0.to_f64().is_some_and(|a| ema3_vec.last().unwrap().ema_value > a) { values.closetime = current_info.1; values.current_price = current_info.0; @@ -262,17 +266,17 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); } let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; - let sma3_close = sma(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; + let tema3 = tema(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?; let server_epoch = get_server_epoch().await; for element in filled_positions { let mut is_sell = false; let mut over_turned = false; - if let (Some(sma3_open_vec), Some(sma3_close_vec)) = (sma3_open.get(&element.symbol), sma3_close.get(&element.symbol)) { - if sma3_close_vec.len() > 10 && sma3_open_vec.len() > 10 { - if sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time + if let (Some(sma3_open_vec), Some(tema3_vec)) = (sma3_open.get(&element.symbol), tema3.get(&element.symbol)) { + if tema3_vec.len() > 10 && sma3_open_vec.len() > 10 { + if sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time && sma3_open_vec.last().unwrap().close_time > server_epoch - && sma3_open_vec.last().unwrap().sma_value < sma3_close_vec.last().unwrap().sma_value { + && sma3_open_vec.last().unwrap().sma_value < tema3_vec.last().unwrap().tema_value { over_turned = true; } } @@ -311,7 +315,7 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha 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 * 1.0); + average_amplitude - (standard_deviation_amplitude * 1.5); } } @@ -329,13 +333,14 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha // } else if element.pure_profit_percent <= target_profit_percent * -2.0 { // is_sell = true; // } - if over_turned == true && server_epoch - element.registered_server_epoch > 1_800_000 { + // if over_turned == true && server_epoch - element.close_time > 1_800_000 { + // is_sell = true; + // } else + if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent + 0.7 { is_sell = true; - } else if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent * 2.5 { + } else if target_profit_percent.is_normal() && element.pure_profit_percent < (target_profit_percent * -1.0) - 0.7 { is_sell = true; - } else if target_profit_percent.is_normal() && element.pure_profit_percent < target_profit_percent * -1.5 { - is_sell = true; - } else if server_epoch - element.registered_server_epoch > 1_800_000 * 6 { + } else if server_epoch - element.registered_server_epoch > 1_800_000 * 5 && element.pure_profit_percent >= 0.35{ is_sell = true; }