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If not, see . + +Also add information on how to contact you by electronic and paper mail. + + If your software can interact with users remotely through a computer +network, you should also make sure that it provides a way for users to +get its source. For example, if your program is a web application, its +interface could display a "Source" link that leads users to an archive +of the code. There are many ways you could offer source, and different +solutions will be better for different programs; see section 13 for the +specific requirements. + + You should also get your employer (if you work as a programmer) or school, +if any, to sign a "copyright disclaimer" for the program, if necessary. +For more information on this, and how to apply and follow the GNU AGPL, see +. diff --git a/README.md b/README.md index b973e042d..99473749e 100644 --- a/README.md +++ b/README.md @@ -34,32 +34,7 @@ Gekko also has a plugin system that can do certain things whenever something hap - Profit Simulator (paper trader): Hold a fake portfolio and simulate trades based on advice. - Redis Beacon: Broadcast events propagating through Gekko on [Redis pub/sub](http://redis.io/topics/pubsub). -<<<<<<< HEAD ### Installing Gekko -||||||| merged common ancestors -## Supported exchanges - -Gekko works on the following exchanges: - -- Mt. Gox -- Bitstamp -- CEX.io -- Kraken -- BTC-e -- ~~Cryptsy~~ (In the [pipeline](https://github.com/askmike/gekko/pull/200)) -======= -## Supported exchanges - -Gekko works on the following exchanges: - -- Mt. Gox -- Bitstamp -- CEX.io -- Kraken -- BTC-e -- Bitfinex -- ~~Cryptsy~~ (In the [pipeline](https://github.com/askmike/gekko/pull/200)) ->>>>>>> 50ed5e840d7a355932bd8ed01410605c35d682ee Windows user? Here is a [step-by-step guide](https://github.com/kuzetsa/gekko/blob/master/docs/installing_gekko_on_windows.md) on how to get Gekko running on Windows. diff --git a/exchanges/cryptsy.js b/exchanges/cryptsy.js new file mode 100644 index 000000000..2cb3a021e --- /dev/null +++ b/exchanges/cryptsy.js @@ -0,0 +1,283 @@ +var cryptsy = require("cryptsy-api"); + moment = require('moment'), + async = require('async'), + _ = require('lodash'), + util = require('../core/util'), + log = require('../core/log'); + + +var Trader = function(config) { + this.key = config.key; + this.secret = config.secret; + this.currency = config.currency; + this.asset = config.asset; + this.pair = config.asset.toUpperCase() + config.currency.toUpperCase(); + + if( config.market_id ) + this.market_id = config.market_id; + + this.name = 'Cryptsy'; + + this.cryptsy = new cryptsy( + this.key, + this.secret + ); + + this.market = this.pair; + + _.bindAll(this); +} + + +Trader.prototype.return_trades = function(market, callback) { + + var m_id; + var main_trades; + var client = this.cryptsy; + + //log.debug('client is ', client); + client.getmarketid(market, function(market_id) { + //log.debug('id is', market_id); + // Display user's trades in that market + client.markettrades(market_id, function(trades) { + m_id = market_id; + //log.debug("Grabbing trades for id ", market_id); + if(trades.length) { + //log.debug("There are ", trades.length, 'trades'); + var full_array = []; + //trades = trades.reverse(); + trades.forEach( function(trade) { + // convert to int + trade.amount = Number(trade.quantity); + trade.price = Number(trade.tradeprice); + trade.tid = Number(trade.tradeid); + // ISSUE: this assumes that the local machine is in PDT + trade.date = moment(Date.parse(trade.datetime)).utc().unix(); + full_array.push(trade); + }); + + callback(null, full_array); + } + }); + }); + //this.market_id = m_id; +} + + +Trader.prototype.get_bid_ask = function(market, callback) { + + var m_id; + var main_trades; + var client = this.cryptsy; + + //log.debug('client is ', client); + client.getmarketid(market, function(market_id) { + //log.debug('id is', market_id); + // Display user's trades in that market + client.markettrades(market_id, function(trades) { + //log.debug("Grabbing trades for id ", market_id); + if(trades.length) { + var data_output = { }; + trades = trades.reverse(); + trades.forEach( function(trade) { + // convert to int + if(trade.initiate_ordertype.toLowerCase() == 'sell') { + //log.debug("Sell with initiate_ordertype", trade.initiate_ordertype, 'so using the price as the ask'); + data_output.bid = Number(trade.tradeprice); + } else { + //log.debug("Buy with initiate_ordertype", trade.initiate_ordertype, 'so using the price as the bid'); + data_output.ask = Number(trade.tradeprice); + } + data_output.datetime = trade.datetime; + }); + + callback(null, data_output); + } + }); + }); + //this.market_id = m_id; +} + +Trader.prototype.return_mkt_id = function(market, callback) { + + var client = this.cryptsy; + + //log.debug('client is ', client); + client.getmarketid(market, function(market_id) { + callback(null, market_id); + }); + //this.market_id = m_id; +} + + +Trader.prototype.getTrades = function(since, callback, descending) { + var args = _.toArray(arguments); + var mkt_id = this.market; + + var process = function(err, trades) { + //log.debug("Err is ", err, 'and length of trades is', trades); + if(err || !trades || trades.length === 0) + return this.retry(this.getTrades, args, err); + + var f = parseFloat; + + if(descending) + callback(null, trades); + else + callback(null, trades.reverse()); + }; + + this.return_trades(mkt_id, _.bind(process, this)); + +} + + + +Trader.prototype.buy = function(amount, price, callback) { + + var mkt_name = this.market; + // [MM]: Something about cryptsy's orders seems to be behind the actual market, which causes orders to go unfilled. + // Make the amount slightly on the upside of the actual price. + price = price * 1.003; + + log.debug('BUY', amount, this.asset, ' @', price, this.currency); + this.place_order(mkt_name, 'buy', amount, price, _.bind(callback, this)); +} + + +Trader.prototype.sell = function(amount, price, callback) { + + var mkt_name = this.market; + // [MM]: Something about cryptsy's orders seems to be behind the actual market, which causes orders to go unfilled. + // Make the amount slightly on the downside of the actual price. + price = price * 0.997; + + log.debug('SELL', amount, this.asset, ' @', price, this.currency); + this.place_order(mkt_name, 'sell', amount, price, _.bind(callback, this)); +} + + +Trader.prototype.place_order = function(market_name, trans_type, amount, price, callback) { + + var client = this.cryptsy; + + //log.debug(trans_type, 'order placed for ', amount, this.asset, ' @', price, this.currency); + + //log.debug('client is ', client); + client.getmarketid(market_name, function(market_id) { + //log.debug('id is', market_id); + client.createorder(market_id, trans_type, amount, price, function(orderid) { + callback(null, orderid); + + }); + }); +} + + +Trader.prototype.retry = function(method, args, err) { + var wait = +moment.duration(10, 'seconds'); + log.debug(this.name, 'returned an error in method', method.name, ', retrying..', err, 'waiting for', wait, 'ms'); + + if (!_.isFunction(method)) { + log.error(this.name, 'failed to retry, no method supplied.'); + return; + } + + var self = this; + + // make sure the callback (and any other fn) + // is bound to Trader + _.each(args, function(arg, i) { + if(_.isFunction(arg)) + args[i] = _.bind(arg, self); + }); + + // run the failed method again with the same + // arguments after wait + setTimeout( + function() { method.apply(self, args) }, + wait + ); +} + +Trader.prototype.getPortfolio = function(callback) { + var args = _.toArray(arguments); + var curr_balance, asst_balance; + var curr = this.currency; + var asst = this.asset; + + var calculate = function(data) { + if(!data) + return this.retry(this.getPortfolio, args, null); + balances = data.balances_available; + holds = data.balances_hold; + + curr_balance = parseFloat(balances[curr]) + asst_balance = parseFloat(balances[asst]); +/* + if(holds) { + if(parseFloat(holds[curr])){ + curr_balance -= parseFloat(holds[curr]) + } + + if( parseFloat(holds[asst])){ + asst_balance -= parseFloat(holds[asst]); + } + } +*/ + var portfolio = []; + portfolio.push({name: curr, amount: curr_balance}); + portfolio.push({name: asst, amount: asst_balance}); + callback(null, portfolio); + } + + this.cryptsy.getinfo(_.bind(calculate, this)); +} + +Trader.prototype.getTicker = function(callback) { + + var mkt_name = this.market; + var set = function(err, data) { + log.debug('Timestamp is', data.datetime, 'with bid ', data.bid, 'and ask ', data.ask); + var ticker = { + ask: data.ask, + bid: data.bid + }; + callback(err, ticker); + } + this.get_bid_ask(mkt_name, _.bind(set, this)); +} + +Trader.prototype.getFee = function(callback) { + callback(false, 0.0025); +} + +Trader.prototype.checkOrder = function(order, callback) { + var check = function(err, result) { + + if(err) + callback(false, true); + + var exists = false; + _.forEach(result, function(entry) { + if(entry.orderid === order) { + exists = true; return; + } + }); + callback(err, !exists); + }; + + this.cryptsy.allmyorders(_.bind(check, this)); +} + +Trader.prototype.cancelOrder = function(order) { + var check= function(err, result) { + if(err) + log.error('cancel order failed:', err); + if(typeof(result) !== 'undefined' && result.error) + log.error('cancel order failed:', result.error); + } + this.cryptsy.cancelorder(order, check); +} + +module.exports = Trader; diff --git a/launcher b/launcher new file mode 100755 index 000000000..d6aa0e0d7 --- /dev/null +++ b/launcher @@ -0,0 +1,16 @@ +#!/bin/bash +# kuzetsa's gekko [re]launcher + +while true; do + echo [`date +%Y.%m.%d/@%H%M.%S/%Z`] attempting to \(re\)start gekko... + sleep 5 + echo [`date +%Y.%m.%d/@%H%M.%S/%Z`] launching node.js gekko bot NOW + echo -e '\n' + node gekko + echo -e '\n' + echo [`date +%Y.%m.%d/@%H%M.%S/%Z`] gekko seems to have stopped, waiting 30 seconds before restarting + sleep 5 + echo [`date +%Y.%m.%d/@%H%M.%S/%Z`] Press Ctrl + C now if you REALLY want to stop gekko + sleep 20 + echo loop starts 5 delay +done diff --git a/lizard b/lizard new file mode 100755 index 000000000..e1a60c64e --- /dev/null +++ b/lizard @@ -0,0 +1,3 @@ +#!/bin/bash +# kuzetsa's gekko lizard wrapper +./launcher | tee -i lizard.log diff --git a/methods/ZERO.js b/methods/ZERO.js new file mode 100644 index 000000000..83fcc5498 --- /dev/null +++ b/methods/ZERO.js @@ -0,0 +1,114 @@ +var _ = require('lodash'); +var log = require('../core/log.js'); + +// configuration +var config = require('../core/util.js').getConfig(); +var settings = config.ZERO; + +// ZERO-lag MACD variant by kuzetsa, 2014 June/July +var method = {}; + +// prepare everything our method needs +method.init = function() { + + this.name = 'ZERO'; + + this.trend = { + direction: 'none', + duration: 0 + }; + + // how many candles do we need as a base + // before we can start giving advice? + this.requiredHistory = config.tradingAdvisor.historySize; + + // define the indicators we need + this.addIndicator('zero', 'ZERO', settings); + +}; + +// what happens on every new candle? +method.update = function(candle) { + // NOTHING!!! + // (just kidding, OOP takes care of it) +}; + +method.log = function() { + var digits = 8; + var zero = this.indicators.zero; + var windowstats = zero.windowstats; + + // historical stats for the sanity checking window: + log.debug('\t', 'VWAP:', windowstats.vwap.toFixed(digits)); + log.debug('(percentiles) window stats:'); + log.debug('\t', '1st:', windowstats.p1st.toFixed(digits)); + log.debug('\t', '5th:', windowstats.p5th.toFixed(digits)); + log.debug('\t', '10th:', windowstats.p10th.toFixed(digits)); + log.debug('\t', '12th~ish:', windowstats.pFancyEighth.toFixed(digits)); + log.debug('\t', '25th:', windowstats.p25th.toFixed(digits)); + log.debug('\t', '40th:', windowstats.p40th.toFixed(digits)); + log.debug('\t', 'median:', windowstats.p50th.toFixed(digits)); + + // these work, but are irrelevant for buy-and-hold reinvestment: + // log.debug('\t', '60th:', windowstats.p60th.toFixed(digits)); + // log.debug('\t', '75th:', windowstats.p75th.toFixed(digits)); + // log.debug('\t', '90th:', windowstats.p90th.toFixed(digits)); + // log.debug('\t', '95th:', windowstats.p95th.toFixed(digits)); + // log.debug('\t', '99th:', windowstats.p99th.toFixed(digits)); + + log.info('\t', '[shortEMA]CLOSE:', zero.shortC.result.toFixed(digits)); + log.info('\t', '[longEMA]CLOSE:', zero.longC.result.toFixed(digits)); + log.info('\t', 'macd:', zero.diff.toFixed(digits)); + log.info('\t', 'signal:', zero.signal.result.toFixed(digits)); + log.info('\t', 'macdiff:', zero.result.toFixed(digits)); +}; + +method.check = function() { + + var zero = this.indicators.zero; + var windowstats = zero.windowstats; + var macd = zero.diff; + var signal = zero.signal.result; + var macdiff = zero.result; + var minup = settings.thresholds.up; + // "divination" lets the signal happen sooner + var crystalball = settings.crystalball; + var divination = macd + crystalball; + var filtered = Math.min(macdiff, divination); + + if ((filtered >= minup) && (macd <= crystalball) && (signal < 0) && (windowstats.vwap <= windowstats.pFancyEighth)) { + + // new trend detected + if(this.trend.direction !== 'up') { + this.trend = { + duration: 0, + direction: 'up', + }; + this.advice('long'); + } else { + // portfolioManager.js needs audited + // as a workaround, this logic will + // IMMEDIATELY release the lizards + // but it doesn't reset the trend + // ... it's to un-enforce position + // kuzetsa, 2014 June/July + this.advice('lizard'); + } + + this.trend.duration++; + log.info('In uptrend since', this.trend.duration, 'candle(s)'); + + } else { + + this.trend = { + // lizard duration always zero + duration: 0, + direction: 'lizards', + }; + + this.advice('lizards'); + + } +}; + +module.exports = method; diff --git a/methods/indicators/BinarySearch.js b/methods/indicators/BinarySearch.js new file mode 100644 index 000000000..a3394d117 --- /dev/null +++ b/methods/indicators/BinarySearch.js @@ -0,0 +1,43 @@ +// http://en.wikipedia.org/wiki/Binary_search_algorithm +// this implementation by kuzetsa, 2014 July 13 +// working code has existed for over 50 years +// I'm only mostly sure this is bug-free... + +var ArrayWrapper = function(arrayToSearch) { + // "Array" object primative is case sensitive, + // but just to be clear, CamelCaseVerbosely + this.arrayToSearch = arrayToSearch; +}; + +ArrayWrapper.prototype.BinarySearch = function(value) { + + var high = this.arrayToSearch.length - 1; // off by one + var low = 0; + var pivot = 0; + var WhatIsHere = 0; + + while (low <= high) { + + // It's fast to use >>> operator for an + // unsigned 32-bit binary shift right... + // the number of minutes you can express + // in 32 bits is thousands of YEARS!!! + + /*jshint bitwise: false */ + pivot = low + ((high - low) >>> 1); // was NOT a typo, jshint!!! + WhatIsHere = this.arrayToSearch[pivot]; + + if (WhatIsHere < value) { + low = pivot + 1; // "lower bound" adjustment + } else if (WhatIsHere > value) { + high = pivot - 1; // "upper bound" adjustment + } else { + return pivot; // neither less, nor greater than. + } + } + return pivot; // high and low crashed into each other + // a best-effort attempt was made, so just go with it + // we're here now, assume it's "close enough", right? +}; + +module.exports = ArrayWrapper; diff --git a/methods/indicators/ZERO.js b/methods/indicators/ZERO.js new file mode 100644 index 000000000..88d4b67c1 --- /dev/null +++ b/methods/indicators/ZERO.js @@ -0,0 +1,72 @@ +// MACD variant using Patrick Mulloy's ideas +// with additional mods by kuzetsa, 2014 June/July: + +// Heikin-Ashi candles, etc. +// NOT QUITE based on xClose average +// ...weighted geometric mean instead +// this method should have less overshoot +// using ONLY x3EMA was a bit too jumpy + +// additionally, a new "averaging window" +// this stats window determines percentiles +// currently: 5/10/25/40/50/60/75/90/95th +// "50th" percentile is the median price. + +var x3EMA = require('./x3EMA.js'); +var x2EMA = require('./x2EMA.js'); +var windowstats = require('./windowstats.js'); + +var Indicator = function(config) { + this.diff = false; + this.shortC = new x3EMA(config.short); + this.longC = new x3EMA(config.long); + this.shortO = new x3EMA(config.short); + this.longO = new x3EMA(config.long); + this.shortL = new x3EMA(config.short); + this.longL = new x3EMA(config.long); + this.shortH = new x3EMA(config.short); + this.longH = new x3EMA(config.long); + this.signal = new x2EMA(config.signal); + this.windowstats = new windowstats(config.window); +}; + +Indicator.prototype.update = function(candle) { + var open = candle.o; + var close = candle.c; + var high = candle.h; + var low = candle.l; + var vwap = candle.p; + + this.windowstats.update(vwap); + this.shortC.update(close); + this.longC.update(close); + this.shortO.update(open); + this.longO.update(open); + this.shortH.update(high); + this.longH.update(high); + this.shortL.update(low); + this.longL.update(low); + this.calculateEMAdiff(); + this.signal.update(this.diff); + this.result = this.diff - this.signal.result; +}; + +Indicator.prototype.calculateEMAdiff = function() { + + var Sc = Math.pow(this.shortC.result, 3); + var Lc = Math.pow(this.longC.result, 3); + var So = this.shortO.result; + var Lo = this.longO.result; + var Sh = Math.pow(this.shortH.result, 2); + var Lh = Math.pow(this.longH.result, 2); + var Sl = Math.pow(this.shortL.result, 2); + var Ll = Math.pow(this.longL.result, 2); + var eightroot = 1 / 8; + + var short = Math.pow((Sc * So * Sh * Sl), eightroot); + var long = Math.pow((Lc * Lo * Lh * Ll), eightroot); + + this.diff = short - long; +}; + +module.exports = Indicator; diff --git a/methods/indicators/nikiehihsa.js b/methods/indicators/nikiehihsa.js new file mode 100644 index 000000000..9a822ffb4 --- /dev/null +++ b/methods/indicators/nikiehihsa.js @@ -0,0 +1,57 @@ +// inspired by Heikin-Ashi candles +// NOT QUITE based on xClose average +// ...weighted geometric mean instead + +var EMA = require('./EMA.js'); + +var Indicator = function(config) { + this.diff = false; + this.shortC = new EMA(config.short); + this.longC = new EMA(config.long); + this.shortO = new EMA(config.short); + this.longO = new EMA(config.long); + this.shortL = new EMA(config.short); + this.longL = new EMA(config.long); + this.shortH = new EMA(config.short); + this.longH = new EMA(config.long); + this.signal = new EMA(config.signal); +} + +Indicator.prototype.update = function(candle) { + var open = candle.o; + var close = candle.c; + var high = candle.h; + var low = candle.l; + + this.shortC.update(close); + this.longC.update(close); + this.shortO.update(open); + this.longO.update(open); + this.shortH.update(high); + this.longH.update(high); + this.shortL.update(low); + this.longL.update(low); + this.calculateEMAdiff(); + this.signal.update(this.diff); + this.result = this.diff - this.signal.result; +} + +Indicator.prototype.calculateEMAdiff = function() { + + var Sc = Math.pow(this.shortC.result, 3); + var Lc = Math.pow(this.longC.result, 3); + var So = this.shortO.result; + var Lo = this.longO.result; + var Sh = Math.pow(this.shortH.result, 2); + var Lh = Math.pow(this.longH.result, 2); + var Sl = Math.pow(this.shortL.result, 2); + var Ll = Math.pow(this.longL.result, 2); + var eightroot = 1 / 8; + + var short = Math.pow((Sc * So * Sh * Sl), eightroot); + var long = Math.pow((Lc * Lo * Lh * Ll), eightroot); + + this.diff = short - long; +} + +module.exports = Indicator; diff --git a/methods/indicators/windowstats.js b/methods/indicators/windowstats.js new file mode 100644 index 000000000..ad25671df --- /dev/null +++ b/methods/indicators/windowstats.js @@ -0,0 +1,98 @@ +// window stats by kuzetsa, 2014 July 12 +// not quite a simple moving average +// contains a series of percentile ranks +// 5/10/25/40/50/60/75/90/95th +// the "50th" percentile is the median. + +var BinarySearch = require('./BinarySearch.js'); + +var Indicator = function(period) { + this.period = period; + this.window = []; + this.sorted = []; + this.enough = false; + this.age = 0; + this.p1st = 0; + this.p5th = 0; + this.p10th = 0; + this.pFancyEighth = 0; + this.p25th = 0; + this.p40th = 0; + this.p50th = 0; + this.p60th = 0; + this.p75th = 0; + this.p90th = 0; + this.p95th = 0; + this.p99th = 0; + this.p1ndx = Math.floor(this.period * (1 / 100)); + this.p5ndx = Math.floor(this.period * (5 / 100)); + this.p10ndx = Math.floor(this.period * (10 / 100)); + var FancyEight = (0 - (1 / 3)); // one over cube root 541 + FancyEight = Math.pow(541, FancyEight); // is aprox 1/8th + this.pFancyEightNdx = Math.floor(this.period * FancyEight); + this.p25ndx = Math.floor(this.period * (25 / 100)); + this.p40ndx = Math.floor(this.period * (40 / 100)); + this.p50ndx = Math.floor(this.period * (50 / 100)); + this.p60ndx = Math.floor(this.period * (60 / 100)); + this.p75ndx = Math.floor(this.period * (75 / 100)); + this.p90ndx = Math.floor(this.period * (90 / 100)); + this.p95ndx = Math.floor(this.period * (95 / 100)); + this.p99ndx = Math.floor(this.period * (99 / 100)); + this.vwap = 0; +}; + +Indicator.prototype.update = function(price) { + var oldest = 0; + var index = 0; + var SearchTheArray = new BinarySearch(this.sorted); + + var SanitizedPrice = price; // catch floating point errors + SanitizedPrice *= 100000000; + SanitizedPrice = Math.round(SanitizedPrice); + SanitizedPrice /= 100000000; + this.vwap = SanitizedPrice; + + if (this.age >= this.period) { + this.enough = true; + } + + if (this.enough) { + oldest = this.window[0]; + // remove first (oldest) from... + + // incremental sorting array: + index = SearchTheArray.BinarySearch(oldest); + this.sorted.splice(index, 1); // remove only + + // moving window: + this.window.shift(); + } + + this.age++; + + this.window.push(SanitizedPrice); + + index = SearchTheArray.BinarySearch(SanitizedPrice); + this.sorted.splice(index, 0, SanitizedPrice); // insert only + + this.calculate(); + + return this.p50th; // return the median as a default +}; + +Indicator.prototype.calculate = function() { + this.p1st = this.sorted[this.p1ndx]; + this.p5th = this.sorted[this.p5ndx]; + this.p10th = this.sorted[this.p10ndx]; + this.pFancyEighth = this.sorted[this.pFancyEightNdx]; + this.p25th = this.sorted[this.p25ndx]; + this.p40th = this.sorted[this.p40ndx]; + this.p50th = this.sorted[this.p50ndx]; + this.p60th = this.sorted[this.p60ndx]; + this.p75th = this.sorted[this.p75ndx]; + this.p90th = this.sorted[this.p90ndx]; + this.p95th = this.sorted[this.p95ndx]; + this.p99th = this.sorted[this.p99ndx]; +}; + +module.exports = Indicator; diff --git a/methods/indicators/x2EMA.js b/methods/indicators/x2EMA.js new file mode 100644 index 000000000..3d75de1ca --- /dev/null +++ b/methods/indicators/x2EMA.js @@ -0,0 +1,20 @@ +// filename "DEMA.js" already in use by some old legacy code +// name x2EMA means: "double EMA" (usually called DEMA) +// (2 * x1EMA(x)) - x1EMA(x1EMA(x)) + +var x1EMA = require('./EMA.js'); + +var Indicator = function(weight) { + this.EMA = new x1EMA(weight); + this.EMAprime = new x1EMA(weight); +} + +Indicator.prototype.update = function(weight) { +var EMA = 0.0; + this.EMA.update(weight); + EMA = this.EMA.result; + this.EMAprime.update(EMA); + this.result = (2 * EMA) - this.EMAprime.result; +} + +module.exports = Indicator; diff --git a/methods/indicators/x2MACD.js b/methods/indicators/x2MACD.js new file mode 100644 index 000000000..6426025b0 --- /dev/null +++ b/methods/indicators/x2MACD.js @@ -0,0 +1,26 @@ +// DEMA-based MACD by kuzetsa, 2014 June 26 +var x2EMA = require('./x2EMA.js'); + +var Indicator = function(config) { + this.diff = false; + this.short = new x2EMA(config.short); + this.long = new x2EMA(config.long); + this.signal = new x2EMA(config.signal); +} + +Indicator.prototype.update = function(price) { + this.short.update(price); + this.long.update(price); + this.calculateEMAdiff(); + this.signal.update(this.diff); + this.result = this.diff - this.signal.result; +} + +Indicator.prototype.calculateEMAdiff = function() { + var shortEMA = this.short.result; + var longEMA = this.long.result; + + this.diff = shortEMA - longEMA; +} + +module.exports = Indicator; diff --git a/methods/indicators/x3EMA.js b/methods/indicators/x3EMA.js new file mode 100644 index 000000000..448d0ffcb --- /dev/null +++ b/methods/indicators/x3EMA.js @@ -0,0 +1,35 @@ +// Credits for the indicator: +// Patrick Mulloy, 1994 +// name x3EMA means: "triple EMA" AKA "TEMA" + +// (3 * (x1EMA(x) - x1EMA(x1EMA(x)))) + x1EMA(x1EMA(x1EMA(x) +// easier readability: +// (3 * (EMA - EMAprime)) + EMADoublePrime + + +var x1EMA = require('./EMA.js'); + +var Indicator = function(weight) { + this.EMA = new x1EMA(weight); + this.EMAprime = new x1EMA(weight); + this.EMADoublePrime = new x1EMA(weight); + }; + +Indicator.prototype.update = function(weight) { +var EMA = 0.0; +var EMAprime = 0.0; +var EMADoublePrime = 0.0; + + this.EMA.update(weight); + EMA = this.EMA.result; + + this.EMAprime.update(EMA); + EMAprime = this.EMAprime.result; + + this.EMADoublePrime.update(EMAprime); + EMADoublePrime = this.EMADoublePrime.result; + + this.result = (3 * (EMA - EMAprime)) + EMADoublePrime; +}; + +module.exports = Indicator; diff --git a/methods/indicators/x3nikiehihsa.js b/methods/indicators/x3nikiehihsa.js new file mode 100644 index 000000000..1194728c1 --- /dev/null +++ b/methods/indicators/x3nikiehihsa.js @@ -0,0 +1,59 @@ +// MACD variant using Patrick Mulloy's TEMA +// with secondary mod by kuzetsa, 2014 June 29: +// inspired by Heikin-Ashi candles +// NOT QUITE based on xClose average +// ...weighted geometric mean instead + +var x3EMA = require('./x3EMA.js'); + +var Indicator = function(config) { + this.diff = false; + this.shortC = new x3EMA(config.short); + this.longC = new x3EMA(config.long); + this.shortO = new x3EMA(config.short); + this.longO = new x3EMA(config.long); + this.shortL = new x3EMA(config.short); + this.longL = new x3EMA(config.long); + this.shortH = new x3EMA(config.short); + this.longH = new x3EMA(config.long); + this.signal = new x3EMA(config.signal); +}; + +Indicator.prototype.update = function(candle) { + var open = candle.o; + var close = candle.c; + var high = candle.h; + var low = candle.l; + + this.shortC.update(close); + this.longC.update(close); + this.shortO.update(open); + this.longO.update(open); + this.shortH.update(high); + this.longH.update(high); + this.shortL.update(low); + this.longL.update(low); + this.calculateEMAdiff(); + this.signal.update(this.diff); + this.result = this.diff - this.signal.result; +}; + +Indicator.prototype.calculateEMAdiff = function() { + + var Sc = Math.pow(this.shortC.result, 3); + var Lc = Math.pow(this.longC.result, 3); + var So = this.shortO.result; + var Lo = this.longO.result; + var Sh = Math.pow(this.shortH.result, 2); + var Lh = Math.pow(this.longH.result, 2); + var Sl = Math.pow(this.shortL.result, 2); + var Ll = Math.pow(this.longL.result, 2); + var eightroot = 1 / 8; + + var short = Math.pow((Sc * So * Sh * Sl), eightroot); + var long = Math.pow((Lc * Lo * Lh * Ll), eightroot); + + this.diff = short - long; +}; + +module.exports = Indicator; diff --git a/methods/nikiehihsa.js b/methods/nikiehihsa.js new file mode 100644 index 000000000..d76b078c1 --- /dev/null +++ b/methods/nikiehihsa.js @@ -0,0 +1,84 @@ +var _ = require('lodash'); +var log = require('../core/log.js'); + +// configuration +var config = require('../core/util.js').getConfig(); +var settings = config.nikiehihsa; + +// nikiehihsa by kuzetsa, 2014 June 29 +var method = {}; + +// prepare everything our method needs +method.init = function() { + + this.name = 'nikiehihsa'; + + this.trend = { + direction: 'none', + duration: 0 + }; + + // how many candles do we need as a base + // before we can start giving advice? + this.requiredHistory = config.tradingAdvisor.historySize; + + // define the indicators we need + this.addIndicator('nikiehihsa', 'nikiehihsa', settings); + +} + +// what happens on every new candle? +method.update = function(candle) { + // NOTHING!!! + // (just kidding, OOP takes care of it) +} + +method.log = function() { + var digits = 8; + var nikiehihsa = this.indicators.nikiehihsa; + + log.info('\t', '[shortEMA]CLOSE:', nikiehihsa.shortC.result.toFixed(digits)); + log.info('\t', '[longEMA]CLOSE:', nikiehihsa.longC.result.toFixed(digits)); + log.info('\t', 'macd:', nikiehihsa.diff.toFixed(digits)); + log.info('\t', 'signal:', nikiehihsa.signal.result.toFixed(digits)); + log.info('\t', 'macdiff:', nikiehihsa.result.toFixed(digits)); +} + +method.check = function() { + var nikiehihsa = this.indicators.nikiehihsa; + + var macddiff = nikiehihsa.result; + // This is not a histogram... + // it's more of an oscillator + // and it's nearly identical to MACD + // ... but it uses the entire candle + + if(macddiff > settings.thresholds.up) { + + // new trend detected + if(this.trend.direction !== 'up') + // reset the state for the new trend + this.trend = { + duration: 0, + direction: 'up', + }; + + this.trend.duration++; + + log.info('In uptrend since', this.trend.duration, 'candle(s)'); + + this.advice('long'); + + } else { + + this.trend = { + duration: 0, + direction: 'lizards', + }; + + this.advice('lizards'); + + } +} + +module.exports = method; diff --git a/methods/x2MACD.js b/methods/x2MACD.js new file mode 100644 index 000000000..3d0f34f07 --- /dev/null +++ b/methods/x2MACD.js @@ -0,0 +1,105 @@ +/* + + MACD, double-EMA variant + by kuzetsa 2014 June 26 + (CEXIO lizards variant) + + only change is x2EMA instead of (x1)EMA + + */ + +// helpers +var _ = require('lodash'); +var log = require('../core/log.js'); + +// configuration +var config = require('../core/util.js').getConfig(); +var settings = config.x2MACD; + +// let's create our own method +var method = {}; + +// prepare everything our method needs +method.init = function() { + + this.name = 'x2MACD'; + + // keep state about the current trend + // here, on every new candle we use this + // state object to check if we need to + // report it. + this.trend = { + direction: 'none', + duration: 0 + }; + + // how many candles do we need as a base + // before we can start giving advice? + this.requiredHistory = config.tradingAdvisor.historySize; + + // define the indicators we need + this.addIndicator('x2macd', 'x2MACD', settings); + +} + +// what happens on every new candle? +method.update = function(candle) { + // nothing! +} + +// for debugging purposes: log the last calculated +// EMAs and diff. +method.log = function() { + var digits = 8; + var x2macd = this.indicators.x2macd; + + var diff = x2macd.diff; + var signal = x2macd.signal.result; + + log.debug('calculated MACD properties for candle:'); + log.info('\t', 'short:', x2macd.short.result.toFixed(digits)); + log.info('\t', 'long:', x2macd.long.result.toFixed(digits)); + log.info('\t', 'macd:', diff.toFixed(digits)); + log.info('\t', 'signal:', signal.toFixed(digits)); + log.info('\t', 'macdiff:', x2macd.result.toFixed(digits)); +} + +method.check = function() { + var price = this.lastPrice; + var x2macd = this.indicators.x2macd; + + var long = x2macd.long.result; + var short = x2macd.short.result; + var signal = x2macd.signal.result; + var macddiff = x2macd.result; + + if(macddiff > settings.thresholds.up) { + + // new trend detected + if(this.trend.direction !== 'up') + // reset the state for the new trend + this.trend = { + duration: 0, + direction: 'up', + }; + + this.trend.duration++; + + log.info('In uptrend since', this.trend.duration, 'candle(s)'); + + this.advice('long'); + + } else { + + this.trend = { + duration: 0, + direction: 'lizards', + }; + + + this.advice('lizards'); + + } +} + +module.exports = method; diff --git a/methods/x3nikiehihsa.js b/methods/x3nikiehihsa.js new file mode 100644 index 000000000..90febb4f3 --- /dev/null +++ b/methods/x3nikiehihsa.js @@ -0,0 +1,85 @@ +var _ = require('lodash'); +var log = require('../core/log.js'); + +// configuration +var config = require('../core/util.js').getConfig(); +var settings = config.x3nikiehihsa; + +// x3nikiehihsa by kuzetsa, 2014 June 29 +var method = {}; + +// prepare everything our method needs +method.init = function() { + + this.name = 'x3nikiehihsa'; + + this.trend = { + direction: 'none', + duration: 0 + }; + + // how many candles do we need as a base + // before we can start giving advice? + this.requiredHistory = config.tradingAdvisor.historySize; + + // define the indicators we need + this.addIndicator('x3nikiehihsa', 'x3nikiehihsa', settings); + +}; + +// what happens on every new candle? +method.update = function(candle) { + // NOTHING!!! + // (just kidding, OOP takes care of it) +}; + +method.log = function() { + var digits = 8; + var x3nikiehihsa = this.indicators.x3nikiehihsa; + + log.info('\t', '[shortEMA]CLOSE:', x3nikiehihsa.shortC.result.toFixed(digits)); + log.info('\t', '[longEMA]CLOSE:', x3nikiehihsa.longC.result.toFixed(digits)); + log.info('\t', 'macd:', x3nikiehihsa.diff.toFixed(digits)); + log.info('\t', 'signal:', x3nikiehihsa.signal.result.toFixed(digits)); + log.info('\t', 'macdiff:', x3nikiehihsa.result.toFixed(digits)); +}; + +method.check = function() { + var x3nikiehihsa = this.indicators.x3nikiehihsa; + + var macddiff = x3nikiehihsa.result; + // This is not a histogram... + // it's more of an oscillator + // and it's nearly identical to MACD + // ... but it uses the entire candle + + if(macddiff > settings.thresholds.up) { + + // new trend detected + if(this.trend.direction !== 'up') { + // reset the state for the new trend + this.trend = { + duration: 0, + direction: 'up', + }; + } + + this.trend.duration++; + + log.info('In uptrend since', this.trend.duration, 'candle(s)'); + + this.advice('long'); + + } else { + + this.trend = { + duration: 0, + direction: 'lizards', + }; + + this.advice('lizards'); + + } +}; + +module.exports = method;