Merge pull request #15 from CAFECA-IO/feat/linear_strategy

feat: linear strategy

Author: RexBearIU

.env

@@ -1,5 +1,4 @@
 SUGGESTION = "autoArima"
-TRADE_STRATEGY = "autoArima"
 STOP_LOSS = "autoArima"
 TAKE_PROFIT = "autoArima"
 PRIVATE_KEY = "YOUR_PRIVATE_KEY"

src/strategies/strategies.service.spec.ts

@@ -64,16 +64,6 @@ describe('StrategiesService', () => {
     expect(ETHSuggestion).toBe('BUY');
   });
 
-  it('should run executeStrategy', async () => {
-    const suggestion = 'BUY';
-    const holdingStatus = 'BUY';
-    const result = await strategiesService.getTradeStrategy('autoArima', {
-      suggestion: suggestion,
-      holdingStatus: holdingStatus,
-    });
-    expect(result).toBe('WAIT');
-  });
-
   it('should run takeProfit', async () => {
     const openPrice = 100;
     const currentPrice = 120;
@@ -119,13 +109,12 @@ describe('StrategiesService', () => {
       'autoArima',
       'autoArima',
       'autoArima',
-      'autoArima',
       priceData,
     );
     // Info: (20240320 - Jacky) this is aim to sum the profit of all trades
     const profitArray = tradeArray.map((trade) => trade.profit);
     const sum = profitArray.reduce((total, profit) => total + profit, 0);
-    expect(sum).toBe(-2093.879039695004);
+    expect(sum).toBe(-67.06188301500049);
   });
 
   it('should backtest use api', async () => {
@@ -172,12 +161,11 @@ describe('StrategiesService', () => {
       'autoArima',
       'autoArima',
       'autoArima',
-      'autoArima',
       ETHPriceArray,
     );
     // Info: (20240320 - Jacky) this is aim to sum the profit of all trades
     const profitArray = tradeArray.map((trade) => trade.profit);
     const sum = profitArray.reduce((total, profit) => total + profit, 0);
-    expect(sum).toBe(-347.9295500000012);
+    expect(sum).toBe(-214.9824);
   });
 });

src/strategies/strategies.service.ts

@@ -8,12 +8,6 @@ export class StrategiesService {
     return suggestion;
   }
 
-  async getTradeStrategy(strategyName: string, data: Record<string, any>) {
-    const strategyModule = await import('./strategy/' + strategyName);
-    const tradeStrategy = await strategyModule.tradeStrategy(data);
-    return tradeStrategy;
-  }
-
   async getTakeProfit(strategyName: string, data: Record<string, any>) {
     const strategyModule = await import('./strategy/' + strategyName);
     const takeProfit = await strategyModule.takeProfit(data);
@@ -25,7 +19,7 @@ export class StrategiesService {
     const stopLoss = await strategyModule.stopLoss(data);
     return stopLoss;
   }
-  async backTesting(suggestion, strategy, stopLoss, takeProfit, priceData) {
+  async backTesting(suggestion, stopLoss, takeProfit, priceData) {
     let holdingStatus = 'WAIT';
     let openPrice;
     let openSpreadFee;
@@ -37,71 +31,67 @@ export class StrategiesService {
       let stopLossResult;
       let takeProfitResult;
       const suggestionResult = await this.getSuggestion(suggestion, {
+        currentPrice: currentPrice,
         priceArray: priceArray.slice(index - 30, index),
         spreadFee: spreadFee,
-      });
-      const tradeStrategy = await this.getTradeStrategy(strategy, {
-        suggestion: suggestionResult,
         holdingStatus: holdingStatus,
       });
       if (holdingStatus !== 'WAIT') {
         stopLossResult = await this.getStopLoss(stopLoss, {
           openPrice: openPrice,
-          currentPrice: currentPrice,
+          currentPrice: currentPrice + spreadFee,
           spreadFee: spreadFee,
           holdingStatus: holdingStatus,
         });
         takeProfitResult = await this.getTakeProfit(takeProfit, {
           openPrice: openPrice,
-          currentPrice: currentPrice,
+          currentPrice: currentPrice + spreadFee,
           spreadFee: spreadFee,
           holdingStatus: holdingStatus,
         });
       }
       if (
-        tradeStrategy === 'CLOSE' ||
+        suggestionResult === 'CLOSE' ||
         stopLossResult === 'CLOSE' ||
         takeProfitResult === 'CLOSE'
       ) {
         if (holdingStatus === 'BUY') {
-          const profit = currentPrice - openPrice;
+          const profit = currentPrice - openPrice - openSpreadFee;
           tradeArray.push({
             openPrice: openPrice,
             price: currentPrice,
             openSpreadFee: openSpreadFee,
             profit: profit,
+            holdingStatus: holdingStatus,
             tradeStrategy: 'CLOSE-BUY',
           });
         }
         if (holdingStatus === 'SELL') {
-          const profit = openPrice - currentPrice;
+          const profit = openPrice - currentPrice - openSpreadFee;
           tradeArray.push({
             openPrice: openPrice,
             price: currentPrice,
             profit: profit,
             openSpreadFee: openSpreadFee,
+            holdingStatus: holdingStatus,
             tradeStrategy: 'CLOSE-SELL',
           });
         }
         holdingStatus = 'WAIT';
         openPrice = null;
         openSpreadFee = null;
       }
-      if (tradeStrategy === 'BUY' || tradeStrategy === 'SELL') {
-        holdingStatus = tradeStrategy;
+      if (suggestionResult !== 'WAIT' && holdingStatus === 'WAIT') {
         openSpreadFee = spreadFee;
-        if (holdingStatus === 'BUY') {
-          openPrice = currentPrice + openSpreadFee;
-        }
-        if (holdingStatus === 'SELL') {
-          openPrice = currentPrice - openSpreadFee;
-        }
+        holdingStatus = suggestionResult;
+        openPrice = JSON.parse(JSON.stringify(currentPrice));
         tradeArray.push({
           openPrice: openPrice,
           price: currentPrice,
           profit: 0,
           openSpreadFee: openSpreadFee,
-          tradeStrategy: tradeStrategy,
+          holdingStatus: holdingStatus,
+          suggestionResult: suggestionResult,
         });
       }
     }

src/strategies/strategy/autoArima.ts

@@ -1,6 +1,11 @@
 import * as ARIMA from 'arima';
 
-export function suggestion(data: { priceArray: number[]; spreadFee: number }) {
+export function suggestion(data: {
+  currentPrice: number;
+  priceArray: number[];
+  spreadFee: number;
+  holdingStatus: string;
+}) {
   let suggestion = 'WAIT';
   const arima = new ARIMA('auto');
   arima.train(data.priceArray);
@@ -10,37 +15,25 @@ export function suggestion(data: { priceArray: number[]; spreadFee: number }) {
   const predictMax = Math.max(...predict);
   const predictMin = Math.min(...predict);
   const predictProfit = AbsspreadFee * 2.2;
-  const currentPrice = data.priceArray[data.priceArray.length - 1];
+  const currentPrice = data.currentPrice;
   if (predictMax - currentPrice > predictProfit) {
     suggestion = 'BUY';
-    return suggestion;
   }
   if (currentPrice - predictMin > predictProfit) {
     suggestion = 'SELL';
+  }
+  if (suggestion === 'WAIT') {
     return suggestion;
   }
-  return suggestion;
-}
-
-export function tradeStrategy(data: {
-  suggestion: string;
-  holdingStatus: string;
-}) {
   if (data.holdingStatus === 'WAIT') {
-    return data.suggestion;
-  }
-  if (data.holdingStatus === 'BUY') {
-    if (data.suggestion === 'SELL') {
-      return 'CLOSE';
-    }
+    return suggestion;
   }
-  if (data.holdingStatus === 'SELL') {
-    if (data.suggestion === 'BUY') {
-      return 'CLOSE';
-    }
+  if (suggestion !== data.holdingStatus) {
+    return 'CLOSE';
   }
   return 'WAIT';
 }
+
 export function takeProfit(data: {
   openPrice: number;
   currentPrice: number;
@@ -50,7 +43,7 @@ export function takeProfit(data: {
   const AbsOpenSpreadFee = Math.abs(data.spreadFee);
   const openPrice = data.openPrice;
   const currentPrice = data.currentPrice;
-  const takeProfit = AbsOpenSpreadFee * 2;
+  const takeProfit = AbsOpenSpreadFee * 1.8;
   const holdingStatus = data.holdingStatus;
   if (holdingStatus === 'BUY') {
     if (currentPrice - openPrice > takeProfit) {
@@ -73,7 +66,7 @@ export function stopLoss(data: {
   const AbsOpenSpreadFee = Math.abs(data.spreadFee);
   const openPrice = data.openPrice;
   const currentPrice = data.currentPrice;
-  const stopLoss = AbsOpenSpreadFee * 1.5;
+  const stopLoss = AbsOpenSpreadFee * 0.6;
   const holdingStatus = data.holdingStatus;
   if (holdingStatus === 'BUY') {
     if (openPrice - currentPrice > stopLoss) {

src/strategies/strategy/linear.ts

@@ -0,0 +1,27 @@
+export function suggestion(data: {
+  currentPrice: number;
+  priceArray: number[];
+  spreadFee: number;
+  holdingStatus: string;
+}) {
+  let suggestion = 'WAIT';
+  const priceArray = data.priceArray;
+  const currentPrice = data.currentPrice;
+  const lastHourPrice = priceArray[priceArray.length - 11];
+  if (currentPrice > lastHourPrice) {
+    suggestion = 'BUY';
+  }
+  if (currentPrice < lastHourPrice) {
+    suggestion = 'SELL';
+  }
+  if (suggestion === 'WAIT') {
+    return suggestion;
+  }
+  if (data.holdingStatus === 'WAIT') {
+    return suggestion;
+  }
+  if (suggestion !== data.holdingStatus) {
+    return 'CLOSE';
+  }
+  return 'WAIT';
+}

src/strategies/strategy/random.ts

@@ -0,0 +1,25 @@
+export function suggestion(data: {
+  currentPrice: number;
+  priceArray: number[];
+  spreadFee: number;
+  holdingStatus: string;
+}) {
+  let suggestion = 'WAIT';
+  const random = Math.random();
+  if (random > 0.9) {
+    suggestion = 'BUY';
+  }
+  if (random < 0.1) {
+    suggestion = 'SELL';
+  }
+  if (suggestion === 'WAIT') {
+    return suggestion;
+  }
+  if (data.holdingStatus === 'WAIT') {
+    return suggestion;
+  }
+  if (suggestion !== data.holdingStatus) {
+    return 'CLOSE';
+  }
+  return 'WAIT';
+}

src/tradebot/entities/tradebot.entity.ts

@@ -10,7 +10,6 @@ export class Tradebot {
     this.created_at = new Date();
     this.updated_at = new Date();
     this.suggestion = process.env.SUGGESTION;
-    this.tradeStrategy = process.env.TRADE_STRATEGY;
     this.stopLoss = process.env.STOP_LOSS;
     this.takeProfit = process.env.TAKE_PROFIT;
     this.holdingStatus = 'WAIT';
@@ -30,7 +29,6 @@ export class Tradebot {
   wallet: HDNodeWallet | Wallet;
   dewt: string;
   suggestion: string;
-  tradeStrategy: string;
   stopLoss: string;
   takeProfit: string;
   currentAsset: myAsset;

src/tradebot/tradebot.controller.ts

@@ -55,7 +55,6 @@ export class TradebotController {
     @Body()
     data: {
       suggestion?: string;
-      tradeStrategy?: string;
       stopLoss?: string;
       takeProfit?: string;
     },
@@ -68,12 +67,7 @@ export class TradebotController {
       tradebot,
       data,
     );
-    return (
-      updatedTradebot.id +
-      ' is updated' +
-      ' and tradebot = ' +
-      updatedTradebot.toJSON()
-    );
+    return tradebot.id + ' update ' + ' is ' + updatedTradebot;
   }
 
   @Post(':tradebotId')